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NSE Derivatives

by QuantShare, 3277 days ago
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The National Stock Exchange of India allows traders and investors to download bhavcopy equities data (NSE Stock Quotes), as well as bhavcopy derivatives data. The Derivatives data contains futures and options non-continuous contracts historical data.

The current downloader gets these quotes data from the NSE website, decompresses the ZIP archive file, parses the data, creates the futures and options symbols, and finally fills your database. The data is downloaded by date; you can choose the start and end date in the downloader form.

No specific futures or options symbol names are reported. However, the company symbols and the expiration dates are available, so I have created the symbol names using the following format: [Symbol name]_[Expiration Date]. For example, the contracts for ABAN (Aban Offshore Ltd.) are:
ABAN_26-FEB-2009
ABAN_26-MAR-2009
ABAN_29-JAN-2009
ABAN_30-APR-2009
...
If you want, you can change this in the Pre-Script code.

For options, the symbol format is as follows: [Symbol name]_[Expiration Date]_[Strike Price]_[Put or Call]
PA for Put and CA for call.

Example: CROMPGREAV_29-Jan-2009_110_PA
This is a put option for the security "CROMPGREAV". The put option expires in 29 Jan 2009 and it has a strike price of 110.

Sometimes the open, high and low fields reported by the NSE are set to zero. In that particular case, I have used a Pre-Script that changes these values and sets them to the close price value.

This NSE derivatives source is http://www.nseindia.com/archives/archives.htm


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Type: Download Script

Object ID: 296


Country:
India

Market: Options Market

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.