Trade and Order book data now avaliable

We’ve recently added fields from “Trade book” and “Order book” to help you gain deeper insights into how they impact the price. Below is the list of new fields added:

Trade book fields:

The below fields can be accessed across all timeframes, starting from 1 minute to a yearly timeframe

    • Buyer-initiated tradesIndicates the number of trades that were executed at sellers/offer/ask price; an increasing number would indicate buyers are more aggressive than sellers.
    • Buyer-initiated trades quantity – Indicates the number of trades that were executed at sellers/ask price; an increasing quantity would indicate more number of shares are being bought at a price as requested by sellers.
    • Buyer-initiated trades average quantity – Indicates the average quantity of trades for “buyer-initiated trades.”
    • Seller-initiated trades – Indicates the number of trades executed at a buyers/bid price; an increasing number would indicate sellers are more aggressive than buyers.
    • Seller-initiated trades quantity – Indicates the number of trades executed at a buyers/bid price; an increasing quantity would indicate more shares are being sold at a price as requested by buyers.
    • Seller-initiated trades average quantity– Indicates the average quantity of trades for “seller-initiated trades.”
    • Buyer vs. Seller initiated trades ratioA ratio of “buyer initiated trades / seller initiated trades” above 1 indicates that buyer-initiated trades are more than Seller for the given timeframe
    • Buyer vs. Seller initiated trades quantity ratioA ratio of “buyer initiated trades quantity / seller initiated trades quantity” above 1 indicates that the buyer-initiated quantity of trades is more than the Seller for the given timeframe.
    • Buyer-initiated trades VWAP – Volume weighted average price (VWAP) of trades that buyers initiated.
    • Seller-initiated trades VWAP Volume weighted average price (VWAP) of trades that sellers initiated.

These fields can be used to evaluate trades for intraday, short or long-term, as they are available across all timeframes. There has been limited research on these fields, as their availability is limited, considering the amount of data that needs to be processed for these. Here’s one interesting research paper on this.

Order book fields:

The below fields can be accessed across all timeframes, starting from 1 minute to a yearly timeframe

    • Orders Indicates the orders received for the specified timeframe, e.g., total orders within a minute
    • Orders Quantity – Indicates the number of orders received for the specified timeframe, e.g., total order quantity within a minute.
    • Buy Orders Indicates the “Buy orders” received for the specified timeframe.
    • Buy Orders Quantity Indicates the “Buy order” quantity received for the specified timeframe.
    • Sell Orders Indicates the “Sell orders” received for the specified timeframe.
    • Sell Orders Quantity  Indicates the “Sell order” quantity received for the specified timeframe.
    • Buy vs. Sell orders ratioA ratio of “Buy orders / Sell orders” above 1, indicating buy orders are more than sell orders.  
    • Buy vs. Sell quantity ratio A ratio of “Buy orders quantity / Sell orders quantity” above 1, indicating buy order quantities are more than sell order quantity.
    • Canceled Buy Orders – Indicates the total orders canceled in the specified timeframe.
    • Canceled Buy Orders Quantity Indicates total buy orders quantity canceled in the specified timeframe.
    • Canceled Sell Orders Indicates the total  sell orders canceled in the specified timeframe
    • Cancelled Sell Orders Quantity Indicates the total  sell orders  quantity canceled in the specified timeframe
    • Total Cancelled orders Indicates the total orders canceled in the specified timeframe
    • Total Cancelled orders quantity – Indicates the total order quantity canceled in the specified timeframe
    • Canceled orders ratioA ratio of “Cancelled orders / Orders” gives an idea of the pie of orders being canceled from the ones received
    • Canceled orders quantity ratio A ratio of “Cancelled orders quantity / Orders quantity” gives an idea of the pie of orders quantity being canceled from the ones received
    • Buy Orders Vwap – Volume weighted average price (VWAP) of buy orders.
    • Sell Orders Vwap – Volume weighted average price (VWAP) of sell orders.
    • Orders Vwap – Volume weighted average price (VWAP) of all orders.

The order numbers indicated above are the actual orders(not disclosed) for the cash market & hence the values will not match with the market depth seen within your broker’s terminals, which helps get a much clearer picture of how this is driving the price of a stock.

These new fields can be combined with existing functions, e.g., SMA, Min, Max, Count and so on.. to derive onto more complex indicators.

Sample dashboards

Buyer vs. Seller initiated trades

While we are working on adding more scans & dashboards for the same, I wanted you to be updated on adding these new fields. HI hope these are useful for gaining more insights along with the existing fields of technical analysis.

57 thoughts on “Trade and Order book data now avaliable”

  1. 2 quick questions:
    1. Data uploaded from Oct 2020?
    2. Data for 3 days, between March 30 and 1 April are showing up as zero. This is skewing the graph plots on Atlas Dashboards. Can it be corrected?

    Thanks,
    Best regards,
    bharattrader

    1. Sure
      @1: Yes
      @2: There was a maintenance related issue from NSE for the 3 days, they are working on provided the missing data.

  2. Thank you so so much brother, loving how you are creating a level playing field for us retail traders. now its much much obvious to prefer chartink over any other scanner, loved it!

    1. Yes, we can create a column for display on Atlas dashboards.

      Note, the results will not exactly match with your brokers terminal of market depth, the reason being,
      Brokers market depth shows only the disclosed quantity, meaning, the quantity that you see could be actually less than the real quantity
      Brokers market depth shows the active order(i.e total orders received – total orders traded), we on the other hand, show the actual number of orders received for a given timeframe, eg: Day, week, 5 minute and so on..

  3. Please add sector column in side of each shares. It’s very helpfull to understand which sector shares are going to high today in intraday.

  4. Hi, Need help in entering the SMA attributes… I am unable to remove the Operation elements that show up.

    Pl help

    1. Hello,

      Here is an example dashboard view: https://chartink.com/dashboard/90985

      Kindly note, the results will not exactly match with your brokers terminal of market depth, the reason being,
      Brokers market depth shows only the disclosed quantity, meaning, the quantity that you see could be actually less than the real quantity
      Brokers market depth shows the active order(i.e total orders received – total orders traded), we on the other hand, show the actual number of orders received for a given timeframe, eg: Day, week, 5 minute and so on..
      For more details, please read: https://chartink.com/articles/scanner/trade-and-order-book-data-now-avaliable/

  5. how do i see a particular stock – buyer vs seller initiated quantity data – rather running a scanner – i am facing issues as i have to go here https://chartink.com/dashboard/47703 then select industry & i am unable to see the past week or montly data. Also please add cumulative buyer vs seller data.

    Thanks.

  6. I have 5 questions – Requesting your kind response.

    1. Buyer initiated trades – do these reflect buy market orders?
    2. Seller initiated trades – Do these reflect sell market orders?

    3. I was observing graph of this data intraday and noticed that the price had significant jump when both ‘Buyer initiated trades’ and ‘Seller initiated trades’ spiked up. Based on the definition, I would expect the price to rise due to rise in ‘Buyer initiated trades’ while ‘Seller initiated trades’ are at normal levels.. indicating bullishness. Could you please explain

    4. Does Buyer initiated trades include only the trades executed in the Ask column? I need to understand this because your definition used the word ‘Aggressive’ and not every order fulfilled in ASK is necessarily aggressive.
    Below trades are executed in ASK Colum –
    Buy Market – Aggressive buying moves price up
    Buy Stop Market – Short covering hence may not provide aggressiveness as they are exiting the
    stock.
    Sell Limit – Not aggressive .. limit sell orders
    Sell Stop Limit – Not aggressive..

    5. Which indicator shows aggressive buying and which shows aggressive selling. Here aggressive means market orders being executed consuming liquidity and moving the price up.

    1. We are noticing an issue with NSE Trade & Order book data for 12th Sep’22 from the exchange, we’ve started receiving the data today. However, we’ll restore the values for yesterday once we get them from the exchange.

    1. Hello,

      You can view this information on our Atlas dashboard. We can achieve this by “total buyer + seller-initiated trade data”. Please note that this would miss IOC trades.

      Dashboard URL: https://chartink.com/dashboard/65213

      Please note that the results will not exactly match with your brokers terminal of market depth, the reason being,
      Brokers’ market depth shows only the disclosed quantity, meaning the quantity you see could be less than the actual quantity.
      Brokers’ market depth shows the active order(i.e., total orders received – total orders traded). On the other hand, we show the actual number of orders received for a given timeframe, e.g., Day, Week, 5 minutes, and so on…
      Orders like IOC(Immediate or Cancelled orders) & Stop Loss orders are not tracked in the “order book”, which causes the values to be slightly off. This is something that the exchange does not maintain.
      “Trade book” and “Order book” derive information from the exchange’s actual trade and order book. They are calculated in real-time and available across all timeframes; please visit for details on these fields

      https://chartink.com/articles/scanner/trade-and-order-book-data-now-avaliable/.

      Also, please note that it’s impossible to get the actual number of pending orders as IOC orders are not tracked; the values you see on nseindia.com and your broker’s depth contain a lot of noise & don’t indicate the actual picture.

  7. hi how to get

    Total buy quantity > sell orders quantity like real time shown like zerodha

    this is my code

    [ =1 ] 1 hour Buy Orders Quantity Greater than [ =1 ] 1 hour Sell Orders Quantity
    hope u guys replay

    1. Hello,

      Here is your scan; kindly review it:

      https://chartink.com/screener/first-1-hour-buy-orders-quantity-greater-than-1-hour-sell-orders-quantity

      Kindly note, the results will not exactly match with your brokers terminal of market depth, the reason being,
      Brokers’ market depth shows only the disclosed quantity, meaning the quantity you see could be less than the actual quantity.
      Brokers’ market depth shows the active order(i.e., total orders received – total orders traded). On the other hand, we show the actual number of orders received for a given timeframe, e.g., Day, Week, 5 minutes, and so on…
      Orders like IOC(Immediate or Cancelled orders) & Stop Loss orders are not tracked in the “order book”, which causes are the values to be a bit off. This is something that the exchange does not maintain.
      “Trade book” and “Order book” derive information from the exchange’s actual trade and order book. They are calculated in realtime and available across all timeframes; for details on these fields, please visit https://chartink.com/articles/scanner/trade-and-order-book-data-now-avaliable/.

      Also, please do note, it’s impossible to get the actual number of pending orders as IOC orders are not tracked; the values you see on nseindia.com, and your broker’s depth contain a lot of noise & don’t indicate the actual picture.

  8. Please elaborate…
    What is the exact difference between
    Buy orders & Buy order quantity
    Same question for sell.

    1. Greetings!

      At this moment, we do not offer the feature you mentioned. Nonetheless, we are actively exploring the option of adding it along with new indicators.

      I am unable to provide a specific timeline for the addition of this feature, but I have forwarded your request to our Development team for future consideration.

      We value your patience and look forward to enhancing our service for our valuable users.
      ​​​​​​​

  9. Required a Filter

    Time Frame Is Daily
    One Day ago ADX(+) ve Cross from below to ADX ( -) Ve
    Today latest Close is greater than sma 50
    Latest Close price 5 day ago price

Leave a Reply to Sumit gupta Cancel reply

Your email address will not be published.