Thanks for the detailed response. I appreciate the transparency regarding the proprietary nature of the implementation.
However, I think there is an important distinction here that needs to be made very clearly.
Youāve confirmed that FYERS receives the traded price, traded quantity, timestamp, etc., and then looks at where the trade was executed relative to the order book and applies a defined approach to classify it as Buy or Sell.
If that is the case, then what FYERS is presenting in the Order Flow charts is not actually Buy/Sell trade data in the literal sense ā it is FYERSā inference of the aggressor side of each trade.
A stronger or more sophisticated inference algorithm does not change that fundamental distinction.
So I want to ask this very directly:
Does NSE actually send FYERS an explicit aggressor-side / Buy-Sell flag for each executed trade ā YES or NO?
If the answer is NO, then wouldnāt it be more accurate to describe the Buy/Sell figures in the Order Flow charts as āinferred buyer/seller initiated volumeā rather than actual Buy/Sell volume?
For example, suppose NSE reports:
Trade price: ā¹100.00
Quantity: 500
Timestamp: 10:15:23.456
If there is no exchange-provided aggressor-side field attached to that execution, then there is no direct information in that trade itself saying āthese 500 were buyer-initiated.ā
FYERS has to determine that retrospectively from the surrounding order-book state and its own logic.
And this is precisely where the issue becomes important: the moment you introduce an inference layer, the resulting Buy/Sell classification is no longer raw exchange Buy/Sell data ā regardless of how good the inference algorithm is.
I completely understand not disclosing your proprietary rule set. Iām not asking you to reveal your IP.
Iām asking for clarity on the nature of the data itself:
Are we looking at exchange-provided aggressor-side data, or FYERS-derived aggressor-side estimates?
Because those are fundamentally different things, particularly for traders using Order Flow, Footprint and CVD analysis to make decisions about actual buying and selling pressure.
I think this distinction deserves to be made explicitly to FYERS users.