Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

Tick Data Vendors and Quality of Tick Datafeeds

1 min read

Last couple of weeks we spend our energy in understanding the quality of the datafeeds (Indian & International vendors) for NSE Futures. Since data is the critical element for Derivative traders & Short Term traders we took our observation from Authentic Data vendors( Globaldatafeeds, Truedata, Esignal) for NSE Derivative markets.

Though there was initial confusion about what kind of datafeeds vendors use. we quickly learned that almost all the data vendors(both Domestic, International vendors) get the same legacy netted consolidated 1-second snapshot data feed. Where each and every second NSE sends data feed at a 1-second interval (it is not a true tick data but consolidated tickfeed at every 1-second interval).

Nifty Futures – 1 Tick Charts

What is a Tick Chart?

1-Tick Chart is a price chart which plots the price at each and every price transaction where price goes up with upticks and goes down with downticks.

Basically 1 Tick = 1 Trade transaction ( 1 Executed Order)

since the data vendors for NSE FNO are using consolidated 1-second snapshot data. It is really difficult to say how many actual ticks/trades are getting traded every second unless one have access to TBT (tick by tick) feed which currently most of the HFT members have access to such feeds.

Why Iam Getting Ticks wth Zero Volume?

Last time I heard from Globaldatafeeds they said

we update the ticks when data vendors push update from server whenever any of these things happen :

1. There is a change in bid price or size

2. There is a change in ask price or size

3. A Trade happens

Zero ticks because of Point 1 & 2?.

Means one will get a tick data from the vendor with zero volume if there is a change in bid price/size or ask price/size

Globaldatafeeds transmits all those zero volume ticks. And when asked their comment was “Many a times we have observed that we receive new trade price with 0 volume from exchange. It is observed that many a times, day High / Low or reversals happen at such points and if we choose to filter these updates, they go missing in user’s data / chart

They also provided a filter in their data manager to remove such zero volume ticks. It is upto the user discretion whether the user wants zero ticks or filtered ticks only with volume.

The other authentic vendors like truedata, esignal they filter the zero tick volume mostly at their end and only transmit very few quantities of ticks with zero volume. But quality of the data vendor remains the same irrespective of whether they sent filtered tick data or unfiltered tick data.

Conclusion 

1)Data vendor quality remains the same irrespective of which data vendor you use.

2)Tick Data quality remains the same across the different data vendors. Some ticks might rarely gets missed because of the traders internet bandwidth or frequent disturbance from the internet. manul Re-Backfill from the charts or data manager could solve this issue.

3)Tools like Amibroker does a r-ebackfill at frequent intervals even if the internet got disconnected. However, softwares like Ninjatrader requires manual re-connect or manual re-backfill whenever there is an internet connectivity issue.

4)If you are using Orderflow kind of tools which requires critical information like trade executed at ask price/bid price. In that case all the authentic data vendors(Globaldatafeeds, Truedata, Esignal) provides same information.

Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

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3 Replies to “Tick Data Vendors and Quality of Tick Datafeeds”

  1. Hi Rajendran,

    Had a question: I have been experimenting with the footprint chart and data from a few vendors (globaldatafeeds, ticanalytics etc.). I noticed that NIFTY futures footprint showed the entire volume on the bid side (with all ask being zero – for the *entire* day). So the delta was negative for all candles. This was true for the day before as well, which was actually not a bearish day (and I only had 2 days’ worth of tick data). I checked the total volume with that of my broker for each candle and those seemed to match. But the bid/ask thing was a problem. Is this something that you have seen as well? If it is an issue, how would one resolve it? (I tried footprint charts from various vendors too and all showed the same behavior).

    Thanks!
    Sid.

  2. Rajandran Sir,

    Through your expertise, I would like to know. I want to have breakdown of Volume; like for example Large Lot trader only punches 10 Lots/ contracts or above in Nifty and any number below 10 lot is a Small Lot traders. You have to look in at every tick. So, if any trade with 10 or above 10 contracts at a time will tell me that is a Large Lot trader.

    Since, the

    Buy Volume – Volume at or above Ask price
    Sell Volume – Volume at or below Bid price.

    According to does our local datafeed can provide these info

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