Hello Traders,
With Dhan, we have introduced many features, products and capabilities that enhance the overall trading experience for Super Traders in India.
Dhan’s list of innovations over our journey of 3 years are many. To list down a few - Charts Data in Seconds, Scalper on Charts, Flash Trade, Trader Controls, Power Trade Mode and extending the same with our Trading APIs with launch of Kill Switch, Iceberg on APIs and also the recently introduced 20-Depth Market Data on DhanHQ Trading APIs.
Having said that, through our multiple interactions with the trader community; it always felt that the Indian trading ecosystem has always skewed information edge towards institutional traders.
Traders have always looked for alternative sources of data to build their models or to try to read the markets. This, at times, has made markets difficult to navigate for Indian traders. When people look at markets, they look at prices. Whether that be in their portfolio, watchlists or on charts. This price is the LTP or Last Traded Price. But it will be wrong to say that this is the price available in the market.
LTP is the price on which the last trade happened in the market. To see the best possible price that you can get, you need to look at the best bid/ask available on that scrip at any time. But if someone is looking to place orders for bigger quantities or trying to see how the order book is looking, they head to the Market Depth.
Almost all broking and trading platforms usually show only 5-level market depth. This means the 5 best possible bids/ask for any instrument. However, looking at this data does not show the entire market picture, and often levels beyond these 5 price levels have large order build-ups which affect the direction of the market.
This is why we recently introduced a 20-level market depth on Dhan Charting platform (tv.dhan.co). This gives access to market movements like never before - wherein you can track all major order levels beyond 5 - level. This was a big move and advantage as no other platform provides Level 3 data or 20 level market depth for both equity and derivative segments. Recently, we also introduced this same data on APIs - 20-Depth Market Data on DhanHQ Data APIs - making our existing APIs even more powerful.
When we were building this, we started the work on the exchange order book as well. We started consuming the entire order book of all equity and derivative instruments on NSE and observed patterns in depth which can be useful for traders to analyse and build insights upon. In our pursuit in bridging the knowledge gap between institutional and retail traders, we are taking a further step in this direction by opening up the entire order book.
Introducing: Full Market Depth for Equity, Options and Futures on Dhan TradingView Charts
This newer capability gives a wide range of data on your trading window, which can help you view the entire order book of any instrument. You can find out all levels of high order volumes and visualise it as an order flow.
Looking into the tech that went behind this. For every tick that we receive for a single instrument, it includes 1000s of rows of order data that needs to be cleaned up and stored in sequential order to form the depth. This data is then streamed over websockets to your Dhan platform. The processing required for each instrument consumes high bandwidth on both server and the user’s device. On server, we do this for all NSE listed equities and all active futures & options contracts. This means processing millions of rows of data each second and streaming it in milliseconds. Also, the rate of update of order books exceeds snapshot or tick-by-tick data (which is the trade data).
To deliver this, we had to go back to the drawing board, optimise matching algorithms down to microseconds for each order update on the order book and then do this hundred and thousand times again to deliver the full market depth.
Note: Full Market Depth is currently available only for NSE Equity & Derivatives. We are streaming 200 level data as of now, since this covers broadly all market depth.
Analysing entire market depth data might be difficult to comprehend at first, but once you start observing the trends on the same, you definitely get build-up visualisation right on top of charts.
As always, we are building Dhan with your feedback, reinventing trader experience for better. We would love to hear your thoughts on how you will be using this and what next we should build.
Happy Trading!
– Hardik
