How our data is built: tick by tick, every instrument, and what we refuse to do with it

Yes — NSE's trade-by-trade prints and five-level depth reach every broker, and that exchange feed is what TBTflow is built on: 213 F&O stocks and their futures, the index futures and the option chain, captured tick by tick and rolled into dated, checkable summaries. "Institutional grade" is a phrase every app uses and few define. This page is the definition for TBTflow: what is captured, at what resolution, from where, how long it is kept, and what is deliberately not done with it. Every line here can be checked against a page on the site that shows the data. Where a number is approximate we say so.

What is captured, tick by tick

Cash equities. Every NSE F&O-eligible stock, 213 names, on a live full-depth websocket: every trade print and the top five levels of the order book on both sides, with quantities and order counts, at the exchange's own cadence. The raw ticks are kept for five sessions, roughly 700 megabytes a day, and every minute is rolled into a permanent summary of flow, book totals and imbalance.

Stock futures. The current-month future of every name in that universe, about 208 contracts, on the same full-depth feed: prints and five levels each side. Per-minute summaries are permanent; since 8 September 2026 the raw five-level ticks are also stored, for 90 days, to support the pending study of whether the stock-futures book leads the index.

Index futures. NIFTY and SENSEX current and next month, prints and five levels, raw ticks kept 90 days. This is the series behind the futures flow, basis and order-flow-imbalance reads.

Index options. Two sources on purpose. A REST poll of the full NIFTY and SENSEX chain every ten seconds during the session, 25 strikes each side of the money, with price, open interest, implied volatility and gamma per strike, kept as a permanent per-strike log. And a live analytics websocket for 84 index option legs that carries price, open interest, the Greeks and the book every few seconds, logged every 30 seconds. Stock options: the at-the-money call and put of every F&O stock every five minutes, with implied volatility and the Greeks, kept for 400 days so a stock can be measured against its own history. Since 10 September 2026 the live option feed also carries five strikes each side of the money for every F&O stock, logged once a minute.

What is built from it every minute

A one-minute research log of the index tape with about 90 columns: futures order flow in rupees, cash net flow with block prints attributed and removed, breadth on two definitions, option quadrant flows, the pin-book depth read, and, since 8 September, the composite depth imbalance across the fifty largest stock futures. Every row is stamped afterwards with what the index did 5, 15, 30 and 60 minutes later, so any measure on the site can be graded against the future it claimed to see. The event ledger records every print above a size bar with its aggressor side. Option Walls / Gamma Blast rebuilds the option structure every 30 seconds.

How the readings are computed

Buyer or seller. Each trade is signed by comparing it with the trade before it: a print above the last price counts as buyer-initiated, below it as seller-initiated. We chose this after testing it on live NIFTY futures against the common alternative, "a print at the ask is a buy": on a day the index fell 93 points, the ask rule reported the day's net flow on the wrong side, because the book reprices to meet a trending print. For large option prints we compare the trade with the quote standing just before it. Since 12 September 2026 a second counter that uses the order book before each trade, rather than the book reported with the trade, runs beside the original, because the post-trade book drops some of the most aggressive prints; the two are compared before one is kept.

Absorption. Heavy aggressive volume at a price that barely moves: the passive side is soaking it up. It is measured as aggressive rupees traded against the price response over the same minutes. Our own tests found it says more about the volatility that follows than about direction, so it is shown as a description, not a call.

Open-interest build-up. Futures open interest is the near month and the next month added together, so money rolling from one month to the next does not look like new positions. Each stock's change is measured against that day's median change across all F&O stocks. Intraday, a build-up needs at least a 0.5 % OI change with a 0.25 % price move; at the end of the day, 3 % and 0.5 %.

Basis and VWAP. Basis is the futures price minus the index value from the cash feed, in points, adjusted for days to expiry so a Monday and an expiry day can be compared. Every stock's VWAP comes from its own cash trades. The index has no traded volume, so its VWAP is the NIFTY futures VWAP and is labelled that way.

MarketMood. One reading built from a small set of measured inputs: NIFTY futures structure and order flow, where the NIFTY 50 stocks trade against their own VWAP weighted by index weight, and cash participation. It can say "no clear setup". Since 12 September 2026 option flows signed only by the direction of the premium are no longer counted as buying or writing, because we measured that they mostly repeated the index's own move.

Big prints. Single trades above a size floor that differs by segment (for example ₹1 crore for a stock future in the stock view, ₹25 lakh for a stock option), recorded with their aggressor side and whether price moved. A huge print with no price change is labelled a negotiated cross, direction unproven.

How a reading earns its place. Every logged reading is stamped afterwards with what price did 5, 15, 30 and 60 minutes later and at the close. A reading becomes a claim only after a test written down in advance, run on about 46 sessions and compared against a random baseline. Readings that fail are removed and listed so they are not rebuilt: on 12 September 2026 the "crowd lean" arrow on Option Walls / Gamma Blast was removed after it matched the index's own move about 90 % of the time.

What is deliberately not done

No measure becomes a verdict without a sample. A new reading runs in shadow first, pre-registered with a decision date, and needs about 46 sessions before it is called an edge or killed. Several readings on this site are labelled as measurements for exactly that reason, and the killed ones are listed in the ideas registry so they are not rebuilt.

Holes are shown as holes. When the exchange rate-limits the option-chain poll in the expiry endgame, which it did on 16 of 21 measured expiries, the chart shows a band with no line through it. A straight line across missing data would be a lie about the high and the low.

The closing auction is excluded from every baseline. The 15:28 cash print is about a thousand times a normal minute. Any average that includes it is wrong.

Index and futures are never mixed. The index has no traded volume, so it has no VWAP; the futures VWAP is labelled as such. Basis is futures minus the index from the cash feed, never from a mislabelled series.

Nothing here is advice. The vocabulary is "data shows", never "signal" or "call". TBTflow is not registered with SEBI. Every reading describes activity that has already happened on the tape.

Where it runs

One server in Bengaluru, two virtual CPUs, four gigabytes of memory, a separate volume for tick storage. A watchdog measures every recurring job for duration, not only for success, because a job that takes ten seconds of every minute starves the product on a box this size. A nightly reconciliation counts the rows every writer should have produced and alarms on the ones that are short. Silent failures are found by watching behaviour, not by waiting for alerts.