Understanding Market Data
When working in the market, it is possible that you could be able to see names such as SEM_EXM_EXCH_ID or SEM_TRADING_SYMBOL.
Let’s see what each signifies.
1 SEM_EXM_EXCH_ID — Exchange ID
It indicates which exchange in which it is traded.
Example:
NSE= National Stock ExchangeBSE= Bombay Stock Exchange
2 SEM_SEGMENT — Market Segment
Indicates what segment where an instrument trades.
Example:
EQ= Equity (stocks)OPTIDX= Index OptionsFUTSTK= Stock Futures
3 SEM_SMST_SECURITY_ID — Security ID
A unique identification number that is assigned to every trader in the database of exchanges.
Example:
12345= Reliance Industries in NSE’s database
4 SEM_INSTRUMENT_NAME — Instrument Type
Defines the kind of instrument like Index or Stock. Option or Future.
Example:
OPTIDX= Option on an Index (like NIFTY)FUTSTK= Future of a Stock
5 SEM_EXPIRY_CODE — Expiry Code
The expiry date is represented in a codified format.
Example:
20240814= 14th August 2024
6 SEM_TRADING_SYMBOL — Trading Symbol
This is the official symbol used to trade the instrument.
Example:
NIFTY24AUG24000CE= NIFTY, August 2024, 24000 Call Option
7 SEM_LOT_UNITS — Lot Size
The number of units contained in a lot of bulk or derivative trades.
Example:
- NIFTY Option Lot = 75
8 SEM_CUSTOM_SYMBOL — Custom Symbol
An defined by the user name that makes it easier to reference.
Example:
- Instead of
RELIANCEIND-EQ, you set it asREL-EQ
9 SEM_EXPIRY_DATE — Expiry Date
The actual date of expiration of an option or future.
Example:
14-AUG-2024
SEM_STRIKE — Strike Price
The reached-upon the strike cost for an option contract.
Market Data Functions in TSL
Below are a few most important functions used to gat
1 Get Latest Price – LTP
Finds the latest trading price of a share or index currently.
data = tsl.get_ltp_data(names=['CRUDEOIL', 'NIFTY'])
crudeoil_ltp = data['CRUDEOIL']
2 Get Full Quote Data
The complete live details of a security, such as LTP price, bid/ask volumes, as well as other information about the market.
data = tsl.get_quote_data(names=['CRUDEOIL', 'NIFTY'])
crudeoil_quote_data = data['CRUDEOIL'] #Full current detail
3 Get OHLC Data
It displays the open, High, Low, and Close prices of a instrument or a stock during the specified timeframe.
data = tsl.get_ohlc_data(names=['CRUDEOIL', 'NIFTY'])
crudeoil_ohlc_data = data['CRUDEOIL']
4 Get Historical Data
Offers historical price and volume information for a instrument or stock over months, days, weeks or even years.
data = tsl.get_historical_data(tradingsymbol='NIFTY', exchange='NSE', timeframe="DAY")
data = tsl.get_historical_data(tradingsymbol='ACC', exchange='NSE', timeframe="1")
Make use of "1", "5", "15" for minutes, or "DAY" for daily candles.
5 ATM, OTM, and ITM Strike Selection
Helps you choose the best option strike prices:
- ATM = At The Money (strike price to be close to the current market price)
- OTM means Out of the Money (strike price from the market price)
- ITM = In The Money (strike price that is already profitable if exercised right now)
ATM Example:
CE_symbol_name, PE_symbol_name, strike_price = tsl.ATM_Strike_Selection(Underlying='NIFTY', Expiry=0)
OTM Example:
CE_symbol_name, PE_symbol_name, CE_OTM_price, PE_OTM_price = tsl.OTM_Strike_Selection(Underlying='NIFTY', Expiry=0, OTM_count=5)
ITM Example:
CE_symbol_name, PE_symbol_name, CE_ITM_price, PE_ITM_price = tsl.ITM_Strike_Selection(Underlying='NIFTY', Expiry=0, ITM_count=1)
6 Get Option Greeks
Calculates sensitivity and risk values (Delta, Gamma, Theta, Vega) that show the way an option’s price could alter with the market’s movements.
all_values = tsl.get_option_greek(
strike=24400, expiry=0, asset='NIFTY',
interest_rate=10, flag='all_val', scrip_type='CE'
)
Through these functions and definitions you can access, analyze market data efficiently to automate trading or analytics or for strategies.
