Real Time Data from NSE, BSE & MCX is distributed to various data vendors as 4 different levels. These levels are mainly based upon the amount of real time market depth (order book) provided by the exchanges. This precision and the knowledge of market pricing is far more important for the day traders than for a long term investor.
There are 4 different Levels of Real Time Data from NSE, BSE and MCX (vary from market to market) :
Market depth is the order book or an electronic list of buy and sell orders. This list is organized by price level and updated to reflect real-time market activity. Most of today’s trading platforms offer some type of market depth display. This allows the traders to see the "buy and sell orders", waiting to be executed. This could include the best bid and ask prices and the size of all the bids and offers. The Market Depth, therefore, mainly segregates the different levels of the real-time data feed from the NSE, BSE & MCX.
Level 1 data includes only the Real Time Data of the first level in the order book. This includes the Best Bid and Best Ask, plus the total accumulated volumes displayed as Bid Size and Ask Size. Depending on the exchange the number of orders might also be made available for each side as an order. Currently, the number of orders is not provided by any exchange in India. The Basic market data is known as level 1 market data, and mainly includes the following information:
Level 1 market data provides all of the information needed to trade using most trading systems. If you trade price action or indicator-based strategy, then Level 1 market data should satisfy your informational needs. Level 1 Data is also sufficient for complex indicators, including Market Profile, Market Balance, Delta Divergence, etc. If you are not doing Depth of depth-of-market trading, Level 1 data is all you need. Scalpers who trade based on changes in how other traders are bidding and offering will need Level 2 market data.
This type of quotation system is a step up from Level 1. Data providers offer Level 2 market data at a premium to Level 1. It offers extra information that is neither useful for normal day traders nor for long-term investors. Level 2 market data is also known as the ‘order book’. Level 2 market data shows the trader a bigger picture of the market order flow. This is because it shows the orders that are currently pending for the market. It is also known as the ‘depth of market’ (DOM) or ‘market depth’. This is because it shows the number of shares or lots that are available at each bid and ask price. In Level 1, the trader was only able to see the best prices for buying and selling. He could not look any deeper into the details of other less competitive orders on the system. The distribution of noncompetitive orders is important to institutional investors who plan to buy or sell large blocks of shares. Depending on the exchange the level of market depth (of the order book) can be 5, 10, or 20 levels. Normally the level of depth is 5 for Level 2, Real Time Data from NSE, BSE & MCX.
Market depth data can be viewed on a separate Level 2 window or a price ladder. Because market depth is in real-time, it changes constantly throughout the trading session. A "Price Ladder" or "DOM Display" shows each price level in the middle column. The number of buyers at each price level on the left, and the number of sellers on the right.
DOM Displays
Another way to view market depth is to overlay it on a price chart, as shown in “Charting depth” (below). This is the same data that would appear on a Level 2 window or DOM. The only difference between the two is the visual presentation. In this example, the levels of market depth are displayed over the right-hand side of a price chart, next to the various prices.
Charting the Market Depth
Green bars represent the buy orders. The size of each green bar reflects the relative number of shares or lots that buyers would like to purchase. Red bars indicate market participants who want to sell. The size of each red bar reflects the number of shares or lots that traders would like to sell.
NSE Real-Time Data also provides a 20-level deep order book. This is a subset of the Level 2 Data, known as Level 3. Here, Level 2 provides market depth data up to 5 best bid and ask prices. Level 3 provides market depth data up to 20 best bid and ask prices. Everything else in Level 3, is the same as Level 2. More details of the various Levels provided by the NSE can be obtained from the NSE Website (Data Vending Info).
The NSE provides the Tick by Tick Feed. This feed consists of every order or a change in the order. It includes:-
This feed sends a huge amount of data. For just one symbol, say, the NIFTY future, the number of trades goes to 200 – 300 trades per second. This much data is not easy to handle. It also needs better applications to churn out meaningful information from this data. This feed works best on collocated servers and the LAN of the exchange. If you required this feed at your location, from a data vendor, you would need a leased line and also a specific software different from Amibroker or NinjaTrader, which can crunch the huge data flowing from the exchange with micro second-time stamps. And if you were able to do that, you would also need to be able to trade instantly. Therefore, this feed is not for the retail traders or fund houses. This feed is best suited for High-Frequency Trading (HFT) with servers co-located at the exchange.
If you are a new trader, then you only need level-I market data. You can always add Level II data, later, if you wish. Level 1 market data provides all of the trading information that is needed to display the price charts. This is what you will use to perform analysis and make trading decisions. For many traders, watching the constant flurry of changing bids and ask prices on the Level 2 will result in information overload. This could have a detrimental effect as opposed to a positive one.
Yes, because it not only shows, where the price is now but where it is likely to be soon. Some trading strategies might require Level 2 market data. Typically, this data be used in a scalping strategy, where traders take advantage of short-term patterns seen in the bidding/offering activities of other traders. Also, for example, if a big fund wished to sell 5 crore shares in a medium-sized company. Using level 1 data, they may see that the highest bid price on the market is Rs.2000 for 50k shares. The fund manager will now know that they can sell their first 50k shares at Rs. 2000. However, the fund managers will have to accept less in order to shift the rest of their holdings. Therefore they would then trade at the next best bid price, and so on, receiving marginally less for their shares each time they exhaust an order in the marketplace. It would therefore benefit the fund manager to be able to assess how quickly the competitiveness of the bid prices trail off before they place a large block of shares for sale. This is called - being able to see the ‘depth’ of the market. If the competitive orders are thin on the ground then they may decide to delay their sale or only sell a small batch. As a result of strong demand; the fund may be able to offload its shares without moving the share price down too much and achieving the best deal for their account holders.
This demonstrates why level 2 data is quite pointless for your average day trader. Trading in such small quantities will rarely exhaust the bid price or offer price which they could see on level 1. Other than very large institutions, the only other viable market participant who could fully utilize such data would be a high-speed, automatic trading algorithm that pays extremely low commissions. Hope, I have been able to give you an insight on the various levels of Real-Time market data & their implications in trading. Do leave your thoughts and comments below.
Kapil Marwaha is the Founder & Managing Director of TrueData Financial Information Pvt. Ltd..
His aim - "To make TrueData the Best Trading Decision Support company in the country." TrueData's flagship product Velocity 2.0 has already become immensely popular and is used by a large audience through out the country.
Informative article. Thank you. Recently went through, http://j.mp/2uAN7FA Have you tried this in India NSE futures? Is there a way to try ? Also, to understand DOM, is velocity 2.0 standard good enough? BR, Sar Nifty
Yes! (1) Order Flow works with Velocity 2.0 >> http://j.mp/2TXorBI (2) Velocity Standard 2.0 can get Level 1 feeds currently. We are going to be soon adding multiple Levels for the DOM.
Coverage of topic appears narrowed to DOM. An important part, quality of data apropos snapshot vs true data with true bid-ask etc seems to have been left out.
Thanks for the feedback. Will add those details and also have another thread planned for the same.
Good one
Glad you liked it ! :-)
HI KAPIL,i am interested in upgrading to level 3 data. I generally trade in f&o segment.will it help?
Level 3 Data would help you if you are looking to trade of the DOM as a scalper.
Nice
Glad you liked it !
Can we apply algorithms and websraping on nseindia website? Just for personal use not commercial
I don't think there should be any issue in doing this for personal use.
@Kapil Marwaha Are you guys providing only snapshot level1 data ????
Yes, we are .. for NSE EQ, FO & MCX !
This site is absolutely fabulous!
Thank you that you liked it.
Keep up the great work guyz.
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Very nice post. I just stumbled upon your blog and wanted to say that I've truly enjoyed surfing around your blog posts. After all I will be subscribing to your rss feed and I hope you write again soon!
Good to know that you enjoyed our blog posts. We do post articles frequently and I hope you would like them. :)
Great work !. Does any of your product provide level 2 or level 3 data. if not when does that supported ?
Thank you Jay! At this time, we provide only Level 1 Data and does not provide Level 2 or 3 Data; however, in future if we provide it, we will notify you. You can also follow us on our social media platforms, as we post any new update regarding our products/services first on social media.
In 1 sec snapshot data do we get know about how many orders were executed in 1 sec. I m taking about order count(1 order can have multiple lots or contracts)
No, we do not. This data does not come from the exchange as of now.
thank u sir for your reply. sir i have one doubt there are some broker who shows no of orders data along with bid/ask price and quantity on their platform during live market how do they get the data of no of trades.
I am planning to use bookmap addons software. Can you guide, which data to be useful
For Bookmap you would need full depth TBT feed (Tick by Tick feed).
Is is possible to make one second snapshot data from tick data. I need to make snapshot data from live tick data.
All data provided by the exchange for retail trades lies in Level 1/2/3 (and further by all brokers and vendors) which is a 1-second snapshot... So the data you are getting from most Data vendors and Brokers falls in this category already.
What is costing for real time feed..can we use for our own charting application.
Yes Yogesh, you would be able to fetch Real-Time Data on your own charting application using our API services. To know more about the product, pricing and to avail free Trial please fill this form >> https://docs.google.com/forms/d/e/1FAIpQLSebnQLfwOgM6G_GMgejlOhYpx_kY1adILzu5SBUU3U_sk_d_A/viewform
Do you provide level 2 data in websocket api?
At this time we provide Level 1 Data only with our WebSocket API.
Do you provide level 2 data in AmiBroker Platform? I'm using python for trading and AmiBroker also
We do not provide Level 2 Data in Amibroker platform or Python. We are an Authorized Data Feed Vendor of NSE and MCX and provide ONLY Level 1 Data.
Hi Kapil. Been a satisfied user of truedata for some years now. I want to use bookmap but I understand that for Bookmap you would need full depth TBT feed (Tick by Tick feed). Can you help me with this ? I really need to get the heatmap to help my trades. If anything you guys should be able to do something. Do let me know my options at this time.
Hello Sumeet! Thank you for being a loyal TrueData Customer! At this time, we don't have TBT feed and thus - No Bookmap. Also, whenever we get this, it will be really very costly for the clients as well. In case we provide this service in future, we would notify you about the same.
Hi . Thanks for explnations of data from nse . i use 1/5 /15 min candle for my trading ( both for anaylysis and stoploss putting using candle high/low ). i have observed many times that 1/5/15 min candle high/low not matching with actual trades . my stoplos occured many times below the low of candle .why can't nse provide correct data to vendors and brokers . even if the data is delayed by 1 second also no problem but with incorrect low/high of 1/5/15 min candle suffers traders. one recent example i will give . infy buy order below on 12/07. this price is not shown as high price of 10.30 5 min candle in any data vendor /broker . all are showing 1570.20 as cadnle high. diff of 1.4 is not negligable . 12/07/2021 10:32:09 NSE-EQ INFY EQ Buy 100 1571.6 1100000004855648 27011971
Yes, understand your pain. For this we need full depth Tick by Tick data which will cater for each and every tick. When we work with any other level of data, you do miss out the extremities of the 1 min bars because every second the exchange is only sending you an aggregated snapshot of the data. Only if each and ever data point is sent to you would you get the extremities which you are looking for. As of now NSE has stopped providing TBT data for F&O segment also.
Market depth can be really useful in determining the trend of the share or stock. This is really useful for traders.
Yes, absolutely useful for some specific strategies !
Which level of data would be required to run DOM? Also, what will be approx. price of it for end user? Does anyone even use this in India? Be it prop firms or retail individuals?
Depends upon how many levels of the DOM you wish to see. To get a Level 3 DOM (20 deep each side), the exchange charges a lot per user and also as a fixed cost for the feed. The pricing if this service is provided could start anywhere from INR 5000 upwards to 10,000 per month per user.
Hi mates, how is everything, and what you wish for to say about this post, in my view its genuinely remarkable in support of me.
Glad you liked it !
Hi kapil ...nse daily bhai copy report has a "number of trades" column..can you provide this data for equity stocks in real time... same how the price or volume changes in real time...need the "number of trades" data in real time
Thank you for your comment Prakash ! Unfotunately, this data does not come from the exchange as of now and to be accurate this needs to flow from the exchange. This could happen in the future though and we will update you if that happens.
Are you still provide level 4 or 3 nse data ???
Thank you Sonu! At this time, we provide only Level 1 Data and do not provide Level 2 or 3 Data; however, in future if we provide it, we will notify you. You can also follow us on our social media platforms,for any new updates regarding our products/services.
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