Understanding WebSocket tick data

rajanprabu · Apr 4, 2021, 1:31 PM

@softice

pandas has resample function which can do this automatically for you.. I wrote it just for theoretical explanation.

for volume you can use delta volumes ( tick V now - tick V previous )

softice · Apr 4, 2021, 1:31 PM

@rajanprabu one more question. How to build the volume for a 1 min candle from this tick data?

softice · Apr 4, 2021, 12:06 PM

@rajanprabu Thanks a ton man. You made my day. This turned out to be very simple than all the hacks I was trying.

Thanks once again.

rajanprabu · Apr 4, 2021, 5:29 AM

@softice

you get LTP from the websokcets. one need to aggregate it for the time desired to get high and low. first entry in that time period is open and last entry is close.

for example :

time       ltp
10:01:01 100
10.01:02 110
.
.
.

10:01:30 120
10:01:31  90
.
.
.
10:01:59 101

open 100
high 120
low. 90
close 101

I hope its clear now.. this is how candles are made..
https://smartapi.angelbroking.com/docs/WebSocket

softice · Apr 3, 2021, 1:14 PM

@rajanprabu Thanks I didn't find what I was looking for. But then I realized that I never asked for it explicitly. So here it is.

I am just looking for OHLC + Volume data. The following section of response seems to have a few of this:

{"tbq":"67425","lo":"442.00","c":"484.50","e":"nse_fo","ltq":"25","ltp":"622.75","ltt":"30/03/2021 15:04:04","bp":"621.80","bq":"25","ap":"606.55","bs":"50","tsq":"54600","nc":"28.53","v":"5737850","tk":"58737","name":"sf","to":"3480292917.50","sp":"624.80","cng":"138.25"}

but the high and open price seems to be missing here.

So suppose if I want to build OHLC + Volume data from a tick,

Open - missing
High - missing
Low - "lo":"<number of double type from this tick data>"
Close - "c":"<number of double type from PREVIOUS tick data>"
Volume - "v":"<long number from this tick data>"

How do I get Open and High?

The API documentation shows "h" and "op" for High and Open Price respectively but I am not seeing both these in the response.

rajanprabu · Apr 3, 2021, 6:16 AM

@softice @krishna

One need to search the keys of the dictionary. there is a sample code for old SDK here. modify it for new SDK.

https://smartapi.angelbroking.com/topic/329/working-websocket-sample-code-to-retrieve-ltp-python?_=1617430271269

HTH

softice · Apr 3, 2021, 5:46 AM

Any updates on this? I am also having same confusion.

admin · Jan 28, 2021, 9:07 AM

Hi @krishna , it's still under review. We will update you once we start the development activity on this.

krishna · Jan 28, 2021, 6:08 AM

@admin

Did you get a chance to look into this? Any updates?

Thanks!

admin · Jan 9, 2021, 4:25 PM

Hi @krishna , we are reviewing the response structure.