EOD Download/ Convert from NSE and BSE

[pkjha30]

Hi parsi

good software. Why don't you start your own thread as this is meant for EODDlc .

pk

 

[pkjha30]

Hi

It seems that now BSE is offering FNO data from Jan 2008

Here is the sample of data

Contract Definition,,,,,Trading Prices,,,,,,Premium/Discount,,Volume,,Open Interest (No. Of Contracts),,,,,,
Contract Type,Symbol,Expiry,Strike,Option Type,Open,High,Low,Close,L T Date,Wt. Avg. Price,Prem/Disc,Prem/Disc(%),Contracts Traded,Turnover(Rs Lakhs),Open Interest,Change in OI,% Change in OI,Cost of Carry % p.a.,Margin %,Margin Value,Is Traded
IF,BSXOCT2009            ,29-Oct-2009,0,    ,-,0.00,0.00,16812.25,22-Oct-2009,-,0.00,0.00,0,0.00,1,0,0,76.25,-,-,N
EO,ABBDEC09C740          ,31-Dec-2009,74000,CALL,-,-,-,72.25,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09C760          ,31-Dec-2009,76000,CALL,-,-,-,58.40,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09C780          ,31-Dec-2009,78000,CALL,-,-,-,46.20,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09C800          ,31-Dec-2009,80000,CALL,-,-,-,35.80,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09C820          ,31-Dec-2009,82000,CALL,-,-,-,27.15,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09C840          ,31-Dec-2009,84000,CALL,-,-,-,20.15,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09C860          ,31-Dec-2009,86000,CALL,-,-,-,14.60,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P740          ,31-Dec-2009,74000,PUT ,-,-,-,11.95,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P760          ,31-Dec-2009,76000,PUT ,-,-,-,17.80,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P780          ,31-Dec-2009,78000,PUT ,-,-,-,25.35,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P800          ,31-Dec-2009,80000,PUT ,-,-,-,34.70,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P820          ,31-Dec-2009,82000,PUT ,-,-,-,45.75,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P840          ,31-Dec-2009,84000,PUT ,-,-,-,58.50,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N
EO,ABBDEC09P860          ,31-Dec-2009,86000,PUT ,-,-,-,72.70,-,-,0.00,0.00,-,-,-,-,-,0.00,-,-,N

Hope someone can make sense out of it and tell me the final output needed with specific header format, symbols etc. I can integrate BSE FNO also with EODDlc.

pk

 

[parsi81]

Hi parsi

good software. Why don't you start your own thread as this is meant for EODDlc .

pk

yeah I think admin has moved this thread and started new thread. I am in a process of modifying and doing some more enchantment in this tool.

I hope you all will like it, Please do send me your reply .

 

[nmntmn]

i download future data from www. equityonsms. com and also download data through EODdlc from this thread http://www.traderji.com/software/5966-eod-download-convert-nse-bse-80.html#post375491 but there is one contradiction in volume data as data from www. equityonsms. com is equal to lot size * total no of lot traded .data download through EODdlc is giving volume in total no of lot traded .
please tell me which volume should i use

 

[pkjha30]

i download future data from www. equityonsms. com and also download data through EODdlc from this thread http://www.traderji.com/software/5966-eod-download-convert-nse-bse-80.html#post375491 but there is one contradiction in volume data as data from www. equityonsms. com is equal to lot size * total no of lot traded .data download through EODdlc is giving volume in total no of lot traded .
please tell me which volume should i use

hi

its a good point. volume is lot size* no of contracts traded. futures file of nse do not give lot size. it just gives contracts traded. guess i need to get lot size and multiply to get volume. however OI is of more interest here .
lot size may not be constant so need to verify always if data is to be derived. as of now eoddlc gives what is given by exchanges

pk

 

[pkjha30]

continued..........

this is available in bhav copy for historical data which gives no of contracts only.

INSTRUMENT,SYMBOL,EXPIRY_DT,STRIKE_PR,OPTION_TYP,OPEN,HIGH,LOW,CLOSE,SETTLE_PR,[COLOR="Green"]CONTRACTS[/COLOR],VAL_INLAKH,OPEN_INT,CHG_IN_OI,TIMESTAMP,
FUTIDX,BANKNIFTY,26-Nov-2009,0,XX,8505.1,8748,8381.4,8419.5,8419.5,[COLOR="Green"]40180[/COLOR],172021.84,1285300,36650,30-OCT-2009,
FUTIDX,BANKNIFTY,31-Dec-2009,0,XX,8643.9,8740,8390,8419.1,8419.1,658,2822.17,9050,1100,30-OCT-2009,
FUTIDX,BANKNIFTY,28-Jan-2010,0,XX,8425,8425,8425,8425,8532.35,1,4.21,50,50,30-OCT-2009,
FUTIDX,CNXIT,26-Nov-2009,0,XX,5175,5183,4980,5027.15,5027.15,196,999.13,11200,-1100,30-OCT-2009,
FUTIDX,CNXIT,31-Dec-2009,0,XX,0,0,0,5240,5087.4,0,0,100,0,30-OCT-2009,
FUTIDX,CNXIT,28-Jan-2010,0,XX,0,0,0,5147.4,5104.9,0,0,0,0,30-OCT-2009,
FUTIDX,MINIFTY,26-Nov-2009,0,XX,4810,4861,4692,4707.45,4707.45,91674,87520.61,1117300,218620,30-OCT-2009,
FUTIDX,MINIFTY,31-Dec-2009,0,XX,4834.95,4866.05,4701,4714.95,4714.95,6552,6264.34,75780,17280,30-OCT-2009,
FUTIDX,MINIFTY,28-Jan-2010,0,XX,4849.9,4873.65,4706.7,4720.2,4720.2,575,549.23,5380,5380,30-OCT-2009,
FUTIDX,NFTYMCAP50,26-Nov-2009,0,XX,2531.35,2531.35,2425.15,2425.15,2363.55,2,14.86,20700,0,30-OCT-2009,
FUTIDX,NFTYMCAP50,31-Dec-2009,0,XX,0,0,0,2483,2375,0,0,0,0,30-OCT-2009,
FUTIDX,NFTYMCAP50,28-Jan-2010,0,XX,0,0,0,2385.8,2383.2,0,0,0,0,30-OCT-2009,
FUTIDX,NIFTY,26-Nov-2009,0,XX,4845,4862.5,4692,4707.75,4707.75,686541,1637599.46,27055100,425050,30-OCT-2009,
FUTIDX,NIFTY,31-Dec-2009,0,XX,4849.75,4890,4700,4714.8,4714.8,10445,24939.99,818450,89150,30-OCT-2009,
FUTIDX,NIFTY,28-Jan-2010,0,XX,4855,4869.95,4705,4719.3,4719.3,328,784.5,6450,6450,30-OCT-2009,
FUTSTK,ABAN,26-Nov-2009,0,XX,1360,1394.45,1247.2,1271.9,1271.9,4969,26569.76,2131200,-34400,30-OCT-2009,
FUTSTK,ABAN,31-Dec-2009,0,XX,1360,1379.75,1252.05,1268.7,1268.7,26,135.91,6800,5200,30-OCT-2009,
FUTSTK,ABAN,28-Jan-2010,0,XX,0,0,0,1348.65,1288.8,0,0,0,0,30-OCT-2009,

this is in daily bhavcopy incl traded qty i.e. volume (no of lots traded*lot size)

CONTRACT_D	PREVIOUS_S	OPEN_PRICE	HIGH_PRICE	LOW_PRICE	CLOSE_PRIC	SETTLEMENT	NET_CHANGE	OI_NO_CON	[COLOR="Red"]TRADED_QUA[/COLOR]	[COLOR="Green"]TRD_NO_CON[/COLOR]	TRADED_VAL
FUTIDXBANKNIFTY26-NOV-2009	8424.15	8505.10	8748.00	8381.40	8419.50	8419.50	-0.05	25706	[COLOR="Red"]2009000[/COLOR]	[COLOR="Green"]40180[/COLOR]	17202184542.50
FUTIDXBANKNIFTY31-DEC-2009	8424.15	8643.90	8740.00	8390.00	8419.10	8419.10	-0.05	181	32900	658	282217147.50
FUTIDXBANKNIFTY28-JAN-2010		8425.00	8425.00	8425.00	8425.00	8532.35		1	50	1	421250.00
FUTIDXCNXIT26-NOV-2009	5107.45	5175.00	5183.00	4980.00	5027.15	5027.15	-1.57	112	19600	196	99913110.00
FUTIDXCNXIT31-DEC-2009	5129.35	0.00	0.00	0.00		5087.40	-0.81	1	0	0	0.00
FUTIDXCNXIT28-JAN-2010		0.00	0.00	0.00		5104.90		0	0	0	0.00
FUTIDXMINIFTY26-NOV-2009	4776.75	4810.00	4861.00	4692.00	4707.45	4707.45	-1.45	55865	1833480	91674	8752061807.00
FUTIDXMINIFTY31-DEC-2009	4786.70	4834.95	4866.05	4701.00	4714.95	4714.95	-1.49	3789	131040	6552	626434453.00
FUTIDXMINIFTY28-JAN-2010		4849.90	4873.65	4706.70	4720.20	4720.20		269	11500	575	54923436.00
FUTIDXNFTYMCAP5026-NOV-2009	2365.50	2531.35	2531.35	2425.15	2425.15	2363.55	-0.08	69	600	2	1486950.00

this is the lot size data givenby nse for each scrips

Underlying,Symbol,Market Lot
[COLOR="Red"]BANK Nifty,BANKNIFTY,50[/COLOR]
CNX IT,CNXIT,100
Nifty Midcap 50,NFTYMCAP50,300
S&P CNX Nifty,NIFTY,50
S&P CNX Nifty,MINIFTY,20
Derivatives on Individual Securities,Symbol,Market Lot
Aban Offshore Ltd.,ABAN,400
Abb Ltd.,ABB,500

so you can see volume=50*40180=2009000

Since EODDlc is downloading bhavcopy from archived data it needs to get lot size and then convert contracts to volumes.

Archived bhavcopy data you can download anytime but bhavcopy for current date daily gets replaced.

However if you are comparing only volume or contracts, it should not make much difference since common factor of lot size will not change the graph for one scrip

Hope you understand the point.

pk

 

[DJ123143]

Dear Pankaj,
as u have given details of F&O Bhavcopy .... when i have downloaded the dailybhavcopy.... its not there.... and volumes is getting in lot size only....


Regards

MRDJ

 

[bkkumar]

Anybody can tell me how to get intraday data for commodities. Thanks in advance.

 

[pkjha30]

Dear Pankaj,
as u have given details of F&O Bhavcopy .... when i have downloaded the dailybhavcopy.... its not there.... and volumes is getting in lot size only....


Regards

MRDJ

it will be downloaded to data/nse/FNO for nse. I already explained abt archived bhavcopy which contains lotsize and not volume. actual volume i e lots*lotsize is in daily bhavcopy and it is not archived.


pk

 

[pkjha30]

Dear Pankaj,
as u have given details of F&O Bhavcopy .... when i have downloaded the dailybhavcopy.... its not there.... and volumes is getting in lot size only....


Regards

MRDJ

it will be downloaded to data/nse/FNO for nse. I already explained abt archived bhavcopy which contains lotsize and not volume. actual volume i e lots*lotsize is in daily bhavcopy and it is not archived.


pk