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Market Data & WebSocket FAQs

Below are the most common questions related to Nubra’s live market data, WebSocket streaming, tick frequency, depth levels, subscription limits, data accuracy, and troubleshooting missing ticks. Click any question to expand the detailed answer.

Data Delivery & Quality

What type of market data does Nubra provide (snapshot vs streaming)?

Nubra provides two kinds of market data delivery:

REST-based Snapshot Data - Use quote() or snapshot endpoints
- Returns current price, OI, depth, LTP, etc.
- Good for polling every few seconds or ad-hoc requests

WebSocket-based Streaming Data - Real-time ticks
- Option chain streaming
- Orderbook (20 levels)
- Underlying/index live feed

WebSocket = continuous live stream
REST = one-time snapshot

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How frequently are ticks or updates received from the WebSocket feed?

Ticks are streamed in real time, directly as updates occur at the exchange.

  • Index & stock updates are usually received every 1s during active trading hours.
  • Option and futures ticks are delivered on every trade or quote update.
  • Order book updates reflect the top 20 bid/ask levels as they change.

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How accurate is Nubra’s real-time market data?

Yes — Nubra’s market data is exchange-sourced and timestamp-synced with the live NSE/BSE feeds.

  • Each tick includes an exchange timestamp in nanoseconds.
  • Data streams are validated and deduplicated before delivery.
  • Snapshot REST calls and WebSocket updates share the same reference stream for consistency.

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Are pre-open and post-market sessions supported?

Currently, Nubra’s live market data feed provides updates only for active market hours.
Pre-open auctions and post-market sessions are not supported in the live stream at this time.

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Subscriptions & Limits

What’s the maximum number of instruments I can subscribe to at once?

Nubra’s live market data currently does not enforce a hard limit on the number of instruments you can subscribe to simultaneously.

  • For order book depth feeds, a limit of 10,000 instruments per session applies.
  • Regular tick-level subscriptions have no explicit cap, but users should subscribe responsibly.

Additional safety limits may be added as the platform scales.

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Can I unsubscribe from or modify my live data subscriptions?

At the moment, subscriptions cannot be modified or unsubscribed dynamically.

Once a subscription is active, it stays active for the session.
Add/remove subscription management will be added in a future release.

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What are the rate limits for Market Data APIs?

Nubra’s REST Market Data API currently enforces minimal throttling:

Historical Data
- Up to 60 requests per minute

Live Market Data
- Supports up to 10,000 active subscriptions per session
- No other throttling currently applied

Future updates may add granular limits.

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Analytics & Calculations

What level of market depth is available?

Nubra provides up to 20 levels of market depth on both bid and ask sides.

Each level contains:

  • Price
  • Quantity
  • Number of orders

Example:

quote = mdInstance.quote(ref_id=69353, levels=20)
print(len(quote.orderBook.bid), len(quote.orderBook.ask))  # 20 levels each

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How can I compute Open Interest or VWAP from Nubra data?

Yes — Nubra exposes all required fields for OI and VWAP calculations.

Available through APIs:

  • cumulative_oi, cumulative_call_oi, cumulative_put_oi
  • tick_volume, cumulative_volume, cumulative_volume_premium

These allow:

  • VWAP
  • OI change across expiries
  • OI/Volume heatmaps

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How do I generate OHLC candles from tick data?

To generate custom candles:

  1. Stream tick data using WebSocket (on_market_data or on_orderbook_data callback).
  2. Aggregate tick values locally by time window (1s, 1m, 5m, etc.).
  3. Compute:
    • Open = first tick price
    • High = max price
    • Low = min price
    • Close = last tick price
    • Volume = sum of traded quantity

Or use the built-in Historical Data API with intervals:

result = mdInstance.historical_data({
    "exchange": "NSE",
    "type": "STOCK",
    "values": ["ASIANPAINT"],
    "interval": "1m",
    "startDate": "2025-04-19T11:01:57.000Z",
    "endDate": "2025-04-24T06:13:57.000Z"
})

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Troubleshooting

What should I do if ticks are missing for some instruments?

If no ticks are received for a subscribed symbol, likely reasons include:

  • Illiquid instrument
  • Wrong symbol or ref_id
  • WebSocket reconnection event
  • Market closed or pre-open session

Fixes:

  • Verify subscription format
  • Check for on_connect callback
  • Re-subscribe after reconnection

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Browse all FAQs

Market Data & WebSocket

Snapshot vs streaming, tick frequency, depth, and subscriptions.

Historical Data & Analytics

Intervals, corporate actions, adjustments, gaps, candle logic.

Orders & Execution

Order types, flexi & basket orders, modify/cancel, common errors.

Margins & Risk

Margin checks, aggressor limits, live updates, and risk rules.

Positions & Holdings

Day vs net, conversions, holding logic, and reconciliation.

Options Greeks & Strategy APIs

Real-time Greeks, IV/Delta strategies, multi-leg logic.
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