Stock Analysis using best Bid and Ask quantities - Live data

#1
Bid and Ask quantities are used by traders for trend analysis. In this tool we extract them for 200 NSE stocks and capture them every 5 minutes.
Data comes from nseindia site and updated every 1 minute.

The different columns are as below.
A. Scrip name
C. Total Bid amount at any time.(Total bid quantity is multiplied with stock price.
D. Total Ask amount at any time.(Total ask quantity is multiplied with stock price.
F. Highest of the best 5 bids(in Rs. Lakhs). The highest bid quantity is multiplied with corresponding bid price.
G. The bid price corresponding to highest quantity.
H. Highest of the best 5 asks(in Rs. Lakhs). The highest ask quantity is multiplied with corresponding ask price.
I. The ask price corresponding to highest quantity.

Data is captured in every 5 min for eod analysis. Tool runs from 9am to 3pm.
Example: The highest bid of Reliance at 9:20 was Rs. 58 Lakh at price 1158.9
1565360828534.png


https://docs.google.com/spreadsheets/d/1WalOS_-4BnUAh2NJKqPz6-5oNxjI_iurmFq5U8NWTto/edit?usp=sharing

People who want to explore more with their strategy on this can contact me. Will create a new screen which will show up stock names when buy/sell condition matches in live market.
 
#5
Its not available... one has to predict order flow thru trade book...as per i no Level 2 is not available...
To understand the order flow lets take below example.
At 10:25 an Ask was placed worth 119 lakh @89.6. After 5 min highest ask moved to 89.9. That means the trade was absorbed. This continued till 10:45.
Can we say that enough short positions are built for the stock to fall?
I am not sure if my understanding is right or not. Please advice.
I am looking some way to shortlist all stocks which has accumulated enough bids/ask and display them in descending manner.
1565410324787.png
 
Last edited:
#6
To understand the order flow lets take below example.
At 10:25 an Ask was placed worth 119 lakh @89.6. After 5 min highest ask moved to 89.9. That means the trade was absorbed. This continued till 10:45.
Can we say that enough short positions are built for the stock to fall?
I am not sure if my understanding is right or not. Please advice.
I am looking some way to shortlist all stocks which has accumulated enough bids/ask and display them in descending manner.
View attachment 37004

Im no expert in this..still im learning the OFA...but i can say one thing... due to aggressive buying at market order the ask/bid moves...and market makers no what is the level at which price can move... u can try to predict that with help of patterns,volume and offcourse price action...take account of support and resistance as pivot... finally adding volume profile at the price action..u can make move... again check with indicators whether the momemtum of the stock is on right direction...
whatever the pending limit orders may trigger

Take a look at the attachment of liqudity distribution model

Each column is comprised of some combination of four interest types. Those four
interest types consist of MM orders, Pending Limit Orders, Technical Trader Orders,
and, finally, Latent Demand Interest.

MM Orders
Starting from the centerline equilibrium value, note that there are two large columns
labeled “MM.” These orders represent the bids and offers of the Market Makers
participating in this particular security.

Pending Limit Orders
If you have ever looked at a depth of market screen, you know that the majority of
limit orders cluster close to the current price. As you move away from the current
price, the quantity of those limit orders grows progressively smaller. The pending
limit orders you see on this chart represents the actual limit orders that participants
have placed into the market.

Technical Player Orders
The big spikes scattered across the liquidity distribution represent the pending limit
orders of technical traders. Technical traders, in the aggregate, tend to cluster their
orders at specific price levels because those levels are readily identifiable on a price
chart.

Latent Interest
The final component represents latent order interest.
Latent order interest is simply an accounting of participants who can/will trade if price
were to move to a specific price level. But, due to the costs associated with managing
orders, remain on the sideline until it does.
 

Attachments

#7
Bid and Ask quantities are used by traders for trend analysis. In this tool we extract them for 200 NSE stocks and capture them every 5 minutes.
Data comes from nseindia site and updated every 1 minute.

The different columns are as below.
A. Scrip name
C. Total Bid amount at any time.(Total bid quantity is multiplied with stock price.
D. Total Ask amount at any time.(Total ask quantity is multiplied with stock price.
F. Highest of the best 5 bids(in Rs. Lakhs). The highest bid quantity is multiplied with corresponding bid price.
G. The bid price corresponding to highest quantity.
H. Highest of the best 5 asks(in Rs. Lakhs). The highest ask quantity is multiplied with corresponding ask price.
I. The ask price corresponding to highest quantity.

Data is captured in every 5 min for eod analysis. Tool runs from 9am to 3pm.
Example: The highest bid of Reliance at 9:20 was Rs. 58 Lakh at price 1158.9
View attachment 36992

https://docs.google.com/spreadsheets/d/1WalOS_-4BnUAh2NJKqPz6-5oNxjI_iurmFq5U8NWTto/edit?usp=sharing

People who want to explore more with their strategy on this can contact me. Will create a new screen which will show up stock names when buy/sell condition matches in live market.
link you provided, is dead, kindly share the same again.
Thanking you
 
#10
For stocks and index analysis, have a look at below strategy. I am trying to analyze trend by combining indicators from Cash, Future and Options market together.
Stocks and Index analysis

1. Bid Ratio -> Cash and Future combined
2. Volume -> Cash market
3. Open interest & futures volume -> Future
4. Put Call Ratio -> Option

View attachment 38789
Sir some columns like put call ratio and few more calls not working they are not updating, just showing error . Please sir update it a huge request
 

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