Historical Data

In order to help researchers as well as market participants to undertake research work in the Capital Market (Cash), Derivatives Market (F&O) and Debt Market, NSE comes out with the historical trades data (high frequency tick by tick data) on CDs/DVDs. NSE disseminates the historical data for its 3 segments i.e. CM, F&O and the WDM. The details provided in the CDs /DVDs are as given below:


Historical Data Tariff


A) Capital Market Segment Data

The historical data CDs/DVDs for CM segment of the NSE contains high frequency intra-day data. It contains the following information; (a) Day wise bhavcopy for each trading day of the month [in yyyymmdd.gz format], (b) Circulars issued by NSE or NSCCL during the month, (c) Index information about main stock market indices viz. Nifty, CNX Midcap and Defty both end-of-day and intra-day Data, (d) Masters containing the database masters, listing out symbols, series, ISINs etc., (e) Snapshots of the limit order book at four time points in the day for a month [in yyyymmdd format] and (f) Trades Data containing details about every trade that took place.

Read-me file and Sample files (Trades & Order Snapshots) can be viewed by the link as provided.

B) Derivatives Segment Data

The historical data CDs/DVDs for Derivatives segment of the NSE contains high frequency intra-day data. It contains the following information; (a) day wise bhavcopy for each trading day of the month, (b) Circulars issued by NSE or NSCCL during the month, (c) Masters which contains all the contracts as on the month end including the contracts that expired on the last Thursday of the month, (d) Trades file which contains details about every trade that has taken place in NSE, (e) Snapshots of the limit order book at five time points in the day for the month.

Read-me file and Sample files (Trades & Order Snapshots) can be viewed by the link as provided.

C) Wholesale Debt Market Data

The historical data CDs/DVDs for the WDM segment contains high frequency intra day data, which has the following information; (a) Circulars issued during the month, (b) Masters containing the list of available securities as at the end of the month along with their details viz., Sectype, Security, Issue name, Issue Size as per WDM database, Issue date, Coupon frequency, Maturity date, Market capitalization etc., (c) Trades data with details such as the Trade number, Sectype, Security, Issue name, Trade type, Trade date, Time of trade, Settlement date, Trade quantity, Price, Yield, Coupon cycle, Issue date, Maturity date etc.

Read-me file and Sample files can be viewed by the link as provided.

D) How to Purchase the historical data

Researchers (Market Participants )/Personís interested in procuring the historical data need to make the payment by way of Demand draft/local cheque in favour of "Dotex International Limited" payable at Mumbai.

Along with the demand draft, an undertaking signed on a stamp paper of Rs. 300/- (Rupees Three Hundred Only) which is to be notarized on a non-judicial stamp paper and a request letter with the personís address, telephone details is required to be submitted.

Also kindly note that NSE has a standard format of data which is covered in the data CDs/DVDs (details already mentioned above) and we do not cater to specific tailor made requests.

Only on receipt of the demand draft and the signed undertaking (as per our format), the data would be sent. The demand draft/cheque and the undertaking letter shall be sent at the following address:

Department of Economic Analysis & Policy (DEAP)
National Stock Exchange of India Limited
Exchange Plaza, Bandra-Kurla Complex
Bandra (East)
Mumbai 400051

For further details please contact 022-26598163
It may please be noted that these data CDs/DVDs are being provided for non-commercial and personal use for Research purpose and under no circumstances should unauthorized copies be made, data transferred to anyone or distributed in any manner.



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