⚡ TickBytes — Daily Indian F&O Market Data Feed

TickBytes provides high-fidelity, daily market data feeds for Indian equity indices, futures, and complete option chains recorded directly from raw exchange feeds throughout every trading session (09:15 AM to 03:30 PM IST).

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Daily Data Subscription — What Subscribers Get

We offer a daily data feed subscription to help cover high-performance cloud server, exchange WebSocket API, and storage infrastructure costs.

What Included in the Daily Subscription:

1. 3-in-1 Daily Resolution Package:

   • Tick-by-Tick Feed: Raw execution ticks + Level 2 Market Depth (Top-5 Bid/Ask order book) + Option Greeks.
   • 1-Second Snapshots: High-frequency 1-second OHLCV snapshots for execution and slippage modeling.
   • 1-Minute Aggregated Bars: 1-minute OHLCV bars + Volume + Open Interest (OI) + All 16 Option Greeks (1st, 2nd, 3rd order, and dual Greeks).

2. Full Market Coverage (Every Single Trading Day):

   • 6 Index Underlyings: NIFTY 50, BANKNIFTY, FINNIFTY, MIDCPNIFTY, BSE SENSEX, and BSE BANKEX.
   • All Instrument Segments: Spot Index, Futures, and Complete Option Chains (Nearest 3 to 5 active expiries across all ITM, ATM, and deep OTM strikes).

3. Daily Automated EOD Delivery:

   • Compressed, high-efficiency .parquet files packaged in daily .zip archives.
   • Uploaded every afternoon post-market close (between 04:00 PM and 05:00 PM IST) directly to a Private Subscriber Telegram Channel.
   • One-click download directly on desktop or mobile.

4. Developer & Analytics Toolkit:

   • Access to ready-to-use Python scripts for high-speed loading into Pandas, Polars, DuckDB, or TimescaleDB/ClickHouse.

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How to Subscribe & Get Access:

• Join Telegram: https://t.me/QuantDevstack
• Direct Inquiries: Send a Direct Message on Telegram to get access details.

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Dataset Coverage & Sample Matrix

Representative 50-row sample files are provided in the repository for all 6 indices across all 3 timeframes:

Underlying	Asset Type	Exchange Segment	Sample Files (Tick / 1-Sec / 1-Min)
NIFTY	Spot Index, Futures & Option Chain	NSE / NFO	Tick | 1-Sec | 1-Min
BANKNIFTY	Spot Index, Futures & Option Chain	NSE / NFO	Tick | 1-Sec | 1-Min
FINNIFTY	Spot Index, Futures & Option Chain	NSE / NFO	Tick | 1-Sec | 1-Min
MIDCPNIFTY	Spot Index, Futures & Option Chain	NSE / NFO	Tick | 1-Sec | 1-Min
SENSEX	Spot Index, Futures & Option Chain	BSE / BFO	Tick | 1-Sec | 1-Min
BANKEX	Spot Index, Futures & Option Chain	BSE / BFO	Tick | 1-Sec | 1-Min

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Captured Data Fields & Greeks

• Level 1 Fields: Last Traded Price (LTP), Last Traded Quantity (LTQ), Traded Time (LTT), Volume, Open Interest (OI), Total Buy/Sell Quantity, Average Traded Price (ATP).
• Level 2 Market Depth: Top-5 Bid & Ask prices and quantities updated real-time per tick.
• 16 Option Greeks Included:
  • 1st Order: delta, vega, theta, rho
  • 2nd Order: gamma, vanna, charm, vomma
  • 3rd Order: speed, zomma, color, veta, ultima
  • Dual Greeks: dual_delta, dual_gamma
  • Volatility: iv (Implied Volatility)

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📁 Repository Structure

tickbytes/
├── README.md                     # Repository Homepage
├── LICENSE                       # MIT License
├── CHANGELOG.md                  # Release Changelog
│
├── docs/
│   ├── README.md                 # Docs Index
│   ├── dataset_coverage.md       # Target Universe & Daily Specifications
│   ├── data_dictionary.md       # Data Column Definitions
│   ├── schema.md                 # SQL/DataFrame Schema Definitions
│   ├── naming_conventions.md     # Daily File Directory Layouts
│   └── examples/
│       ├── python.ipynb          # Interactive Jupyter Notebook
│       ├── pandas.py             # Basic Loading with Pandas
│       └── polars.py             # High-Performance Loading with Polars
│
└── samples/
    ├── tick_data/                # Tick-by-Tick Samples (NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY, SENSEX, BANKEX)
    │   └── <INDEX_SYMBOL>/       # Contains SPOT.csv, FUT.csv, OPT.csv
    ├── 1sec_data/                # 1-Second Resolution Samples (NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY, SENSEX, BANKEX)
    │   └── <INDEX_SYMBOL>/       # Contains SPOT.csv, FUT.csv, OPT.csv
    └── 1min_data/                # 1-Minute Aggregated Samples (NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY, SENSEX, BANKEX)
        └── <INDEX_SYMBOL>/       # Contains SPOT.csv, FUT.csv, OPT.csv

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Code & Analysis Examples

We provide ready-to-use Python scripts to load and analyze daily Parquet files:

• Pandas Loader: docs/examples/pandas.py
• Polars High-Performance Loader: docs/examples/polars.py
• Jupyter Notebook: docs/examples/python.ipynb