NSE - Security-wise Delivery Position

by QuantShare, 840 days ago

Share |

The National Stock Exchange website provides the Security-wise Delivery Position data. The current downloader gets this data for a period you specify and for all stocks listed on the NSE. This item also creates a database and inserts the data into it. The database name is 'delivery_position'. It has three fields:
Quantity_Traded: This field contains the number of shares traded for a company and for a particular date. In other words, it is the volume traded for a particular date. The data is the same as the volume data downloaded by NSE Stock Quotes.
Deliverable_Quantity: This is the number of shares delivered after being bought (T+2 settlement period). A low deliverable quantity could indicate a high intraday activity.
Ratio: This is the ratio of Deliverable Quantity to Quantity Traded. It is equal to the number of deliverable quantity divided by the total quantity traded or volume. A high value indicates that more traders or investors are expecting the price of the stock to go up and this is a good indication for the scrip. A low value is an indication of excessive intraday trading and this could lead to higher volatility.

The National Stock Exchange website provides also several other data for download, you can use the NSE Margin Trading to download the quantity and the amount financed by the members and dealers under the margin trading facility.
The list of symbols listed in the NSE can be found here: Ticker Symbols List of the National Stock Exchange, NSE, India, and you can use NSE Stock Quotes or EOD NSE stock quotes data objects to download historical EOD data.

You can plot Deliverable Quantity to Quantity Traded ratio time-series using this formula:
ratio1 = GetData('delivery_position','ratio',LastData);
plot(ratio1, 'ratio', colorRed,ChartLine,StyleOwnScale);

Here is the same data smoothed with a 10-bar moving average:
ratio1 = sma(GetData('delivery_position','ratio',LastData), 10);
plot(ratio1, 'ratio', colorBlueViolet,ChartLine,StyleOwnScale);