NSE(India) Data

[pratima-art]

Hi,

I’m mapping NSE (India) TBT data to hftbacktest, and I need some clarification regarding the event constants. The current documentation doesn’t fully explain, how these constants should be used, so I want to confirm whether my interpretation is correct.

NSE TBT provides two categories of messages:

Trade Messages

In NSE trade messages, each trade includes two order IDs corresponding to the matched orders. I am currently mapping a single NSE trade message to both EXCH_FILL_EVENT and EXCH_TRADE_EVENT. Also, clarify the distinction between FILL_EVENT and EXCH_FILL_EVENT?

NSE Trade → EXCH_FILL_EVENT + EXCH_TRADE_EVENT

Order Messages
Additionally, I want to confirm whether the following mapping is correct for NSE order messages:
NSE New Order → EXCH_ADD_ORDER_EVENT
NSE Modify Order → EXCH_MODIFY_ORDER_EVENT
NSE Cancel Order → EXCH_CANCEL_ORDER_EVENT

Please confirm whether this overall mapping approach makes sense, or suggest corrections if needed?

Thanks

[nkaz001]

You are trying to process the L3 feed, right? EXCH_FILL_EVENT should be used when an order on the limit order book is filled, the order id must match the order id of the corresponding order matched in the limit order book. EXCH_TRADE_EVENT should be used when a trade occurs outside the (visible) order book, for example, a trade on the implied order book at CME.

Additionally, you may need to check whether a cancel order event is sent by the exchange even when the order is filled. Some exchanges use a cancel order event as a delete order event.

[pratima-art]

Thanks for the response. Yes, I am working with L3 dataset.

As per my understanding, in NSE there is no concept of hidden orders. Typically a trade message from NSE will have 2 order Ids, one will be a resting order from limit order book and other might a market order or aggressive limit order. So the exchange will not send a cancel message for a fill as fill leads to a NSE trade message that explicitly contains the order ID. Trade message from NSE should lead to removal of order from LOB.

In my case while I translate a NSE Trade message I will not know which of the order id is in orderbook and which is a aggressive order. How do you suggest to map NSE trade message to hftbacktest event?

[nkaz001]

You need to find out which order id field corresponds to the matched order in the LOB.

[pratima-art]

That will be a lot of hard work. While translating message from NSE messages to hftbacktest I will have to generate orderbook and track which orderId of the trade message was in order book. Do you have a work around?

[nkaz001]

Do you mean that the message has two order id fields, but one corresponds to the order id in LOB, the field is randomly chosen for each message? If so, I think that is the only way, but I doubt it. There should be a rule.

[pratima-art]

If there is a rule, I am not aware of it. I will look it up.