📊 Fyers DOM Analyzer

Professional-grade Depth of Market analysis platform powered by Fyers TBT Data Feed

A real-time 50-level DOM analyzer with secure Fyers OAuth integration, advanced order flow analytics, and institutional-quality market depth visualization using high-frequency Tick-By-Tick market data.

📸 Live TBT DOM Interface

Real-time 50-level Depth of Market visualization with TBT data feed showing live bid/ask orders, market sentiment, and order flow analytics for NSE:NIFTY25JULFUT

🚀 Getting Started with Fyers API

Step 1: Get Your Fyers API Credentials

Visit Fyers API Portal to get your API credentials
Create a new app to get your API credentials:
- App ID: Your unique application identifier
- Secret Key: Your app's secret key
- Redirect URL: http://127.0.0.1:5000/fyers/callback

Note: myapi.fyers.in is specifically for obtaining API credentials and accessing documentation. Your actual trading account should be with Fyers Securities.

Step 2: Understanding TBT (Tick-By-Tick) Data Feed

TBT Feed provides real-time, high-frequency market data including:

Order Book Updates: Real-time bid/ask price and quantity changes
Market Depth: 50-level DOM (Depth of Market) data
Trade Executions: Every trade with timestamp, price, and volume
Market Statistics: OHLC, volume, and other market metrics

Data Frequency: Up to 1000+ updates per second during active trading Latency: < 10ms from exchange to your application Coverage: NSE, BSE, MCX, and other major Indian exchanges

Step 3: API Documentation

📖 Complete API Documentation: Fyers API v3 Docs

Key sections for DOM analysis:

WebSocket API: Real-time TBT data streaming
Market Data: Depth, quotes, and historical data
Authentication: OAuth 2.0 implementation
Order Management: Place, modify, and cancel orders

Important: myapi.fyers.in is the official API portal for credentials and documentation only. Trading operations require a separate Fyers Securities account.

🎯 What is TBT Feed and How Traders Use It

What is Tick-By-Tick (TBT) Data?

TBT data is the most granular form of market data available, containing every price change, order book update, and trade execution as they happen on the exchange. Unlike traditional quote data that may aggregate or sample data, TBT provides:

Every bid/ask price change with exact timestamps
Complete order book depth (50 levels on each side)
Real-time trade executions with volume and price
Market microstructure data for advanced analysis

How Professional Traders Use This Tool

1. Scalping & High-Frequency Trading

Order Flow Analysis: Identify large orders being placed or removed
Market Imbalance Detection: Spot when buy/sell pressure is building
Price Action Prediction: Anticipate short-term price movements
Optimal Entry/Exit Timing: Execute trades at the best possible prices

2. Institutional Trading

Market Impact Analysis: Understand how large orders affect prices
Execution Quality: Minimize slippage and market impact
Smart Order Routing: Break large orders into smaller, market-friendly sizes
Risk Management: Monitor position exposure in real-time

3. Market Making & Arbitrage

Spread Analysis: Identify profitable bid-ask spreads
Liquidity Provision: Provide liquidity where it's needed most
Cross-Exchange Arbitrage: Exploit price differences across exchanges
Delta Neutral Strategies: Hedge positions using real-time Greeks

4. Algorithmic Trading

Pattern Recognition: Identify recurring market patterns
Volume Analysis: Understand when institutions are active
Support/Resistance: Dynamic levels based on order flow
Momentum Trading: Catch trends as they develop

📊 OrderBook Imbalance Analysis

Multi-Level Imbalance Metrics

The application calculates orderbook imbalances at three different depth levels to provide comprehensive market sentiment analysis:

10-Level Imbalance

Purpose: Short-term momentum and scalping signals
Calculation: (Bid Qty - Ask Qty) / (Bid Qty + Ask Qty) × 100
Interpretation: Quick market sentiment changes for day trading

20-Level Imbalance

Purpose: Medium-term trend analysis and swing trading
Calculation: Aggregate of top 20 levels on each side
Interpretation: Institution activity and momentum direction

50-Level Imbalance

Purpose: Long-term sentiment and market structure analysis
Calculation: Full depth analysis for complete market picture
Interpretation: Overall market bias and structural changes

Imbalance Interpretation Guide

Imbalance Range	Interpretation	Trading Signal
> +30%	Strong Buying Pressure	Bullish momentum - Consider long positions
+15% to +30%	Moderate Buying Pressure	Mild bullish bias - Wait for confirmation
+5% to +15%	Slight Buying Pressure	Weak bullish - Monitor for changes
-5% to +5%	Balanced	Neutral market - Range-bound trading
-15% to -5%	Slight Selling Pressure	Weak bearish - Monitor for changes
-30% to -15%	Moderate Selling Pressure	Mild bearish bias - Consider short positions
< -30%	Strong Selling Pressure	Bearish momentum - Consider short positions

Lot Size Display Toggle

Switch between views: Number of shares ↔ Lot-based display
Accurate lot calculation: Shows complete lots + remaining shares
Trading-friendly format: "3 lots + 25" for 250 shares with lot size 75
Configurable lot size: Set via LOT_SIZE environment variable

✨ Key Features

🔐 Secure Authentication

Direct Fyers OAuth 2.0 integration with official API
Encrypted database storage for auth tokens and API credentials
Automatic session management with secure token handling
Bank-grade security with Argon2 password hashing and Fernet encryption

📈 Advanced Market Analysis

50-level DOM visualization with real-time TBT updates
Order flow analytics with bid-ask ratio analysis
Market sentiment indicators and price level metrics
Heat mapping for order concentration visualization
Large order detection and market imbalance tracking
VWAP calculation and support/resistance levels
Price cluster analysis for institutional order detection
OrderBook Imbalance Analysis at 10, 20, and 50 depth levels with interpretations
Lot Size Display Toggle for switching between shares and lots view

🚀 Real-Time Performance

WebSocket streaming with millisecond precision TBT data
Intelligent data validation with invalid data correction
Connection resilience with automatic reconnection
Optimized logging for clean monitoring
High-frequency updates supporting 1000+ ticks per second

🎨 Modern UI/UX

Minimalist design inspired by professional trading platforms
Clean, Apple-inspired interface with smooth animations
Responsive design optimized for all devices
Real-time data visualization with interactive charts
Professional color scheme for extended trading sessions

🚀 Quick Start

1. Clone & Setup

git clone https://github.com/marketcalls/fyers-websockets.git
cd fyers-websockets
pip install -r requirements.txt

2. Configure Environment

Copy .env.example to .env and add your Fyers API credentials from myapi.fyers.in:

# Fyers API Configuration (Get from https://myapi.fyers.in/)
BROKER_API_KEY=your_fyers_app_id          # Your App ID from Fyers API portal
BROKER_API_SECRET=your_fyers_secret_key   # Your Secret Key from Fyers API portal
REDIRECT_URL=http://127.0.0.1:5000/fyers/callback

# TBT WebSocket Configuration
WEBSOCKET_URL=wss://rtsocket-api.fyers.in/versova  # Fyers TBT data feed endpoint
SYMBOL=NSE:NIFTY25JULFUT                            # Trading symbol for DOM analysis

# Trading Configuration
LOT_SIZE=75                                         # Lot size for the trading symbol

# Database Configuration
DATABASE_URL=sqlite:///fyers_depth.db

# Security (Change in production)
SECRET_KEY=your_flask_secret_key_change_in_production
API_KEY_PEPPER=your_secure_pepper_key_change_in_production

📝 Note: Visit Fyers API Portal to create your app and get API credentials. This is for API access only - you'll need a separate Fyers Securities trading account for actual trading.

3. Launch Application

python app.py

Visit http://127.0.0.1:5000 and start analyzing market depth! 🎯

🔗 First-time Setup: You'll be redirected to Fyers OAuth login to authenticate your trading account and start receiving TBT data.

🔄 Authentication Flow

graph TD
    A[Visit 127.0.0.1:5000] --> B[Hero Landing Page]
    B --> C[Click 'Connect to Fyers']
    C --> D[Fyers OAuth Login]
    D --> E[Authorize Application]
    E --> F[Redirect to Dashboard]
    F --> G[WebSocket Connection]
    G --> H[Real-time DOM Data]

Simplified Flow:

🏠 Landing Page → Professional interface explaining DOM Analyzer
🔗 Connect to Fyers → Secure OAuth 2.0 authentication using API credentials
📊 Dashboard Access → Real-time 50-level market depth with TBT feed
🔄 Auto-Reconnection → Seamless WebSocket management for continuous data

🗄️ Database Architecture

Auth Table (Encrypted Storage)

CREATE TABLE auth (
    id INTEGER PRIMARY KEY,
    name VARCHAR(255) UNIQUE NOT NULL,
    auth TEXT NOT NULL,              -- Encrypted auth token
    api_key TEXT,                    -- Encrypted API key
    api_secret TEXT,                 -- Encrypted API secret
    broker VARCHAR(20) DEFAULT 'fyers',
    user_id VARCHAR(255),
    is_revoked BOOLEAN DEFAULT FALSE,
    created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
    updated_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP
);

Users Table (Session Management)

CREATE TABLE users (
    id INTEGER PRIMARY KEY,
    username VARCHAR(255) UNIQUE NOT NULL,
    password_hash TEXT NOT NULL,     -- Argon2 hashed
    email VARCHAR(255) UNIQUE,
    created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
    is_active BOOLEAN DEFAULT TRUE
);

🛡️ Security Features

Feature	Implementation	Purpose
OAuth 2.0	Fyers official API	Secure broker authentication
Token Encryption	Fernet (AES 128)	Protect stored credentials
Password Hashing	Argon2 with pepper	Secure password storage
Session Security	Flask secure sessions	CSRF protection
Data Validation	Input sanitization	Prevent injection attacks
HTTPS Ready	SSL/TLS support	Encrypted data transmission

📡 API Endpoints

Authentication Routes

GET  /                    → Landing page / Dashboard redirect
GET  /auth/broker         → Fyers OAuth login page
GET  /fyers/callback      → OAuth callback handler
GET  /dashboard           → Main DOM dashboard
GET  /auth/logout         → Logout and token revocation

API Routes

GET  /api/config          → Application configuration

WebSocket Events

connect                   → Client connection established
market_depth             → Real-time DOM data updates
test_message             → Connection test message

📈 Trading Strategies & Use Cases

Day Trading with DOM Analysis

1. Scalping Strategy

Setup: Monitor 1-5 top levels for quick entries
Entry: When large orders appear on one side, fade the move
Exit: Target 2-3 ticks profit with tight stop-loss
Risk: Use position sizing based on DOM imbalance

2. Momentum Trading

Setup: Watch for order flow imbalances in direction
Entry: Enter when DOM shows strong directional bias
Exit: Exit when DOM neutralizes or reverses
Risk: Stop-loss beyond significant DOM levels

3. Mean Reversion

Setup: Identify when DOM shows extreme imbalance
Entry: Counter-trend when DOM reaches extreme levels
Exit: Target return to VWAP or neutral DOM
Risk: Tight stops as DOM can stay imbalanced

Institutional Trading Applications

Smart Order Execution

Order Slicing: Break large orders based on DOM levels
Timing: Execute during periods of high DOM liquidity
Impact: Minimize market impact using DOM guidance
Fill: Achieve better fills by reading DOM patterns

Risk Management

Position Sizing: Adjust size based on DOM liquidity
Stop Placement: Use DOM levels for stop-loss placement
Market Regime: Identify high/low volatility periods
Exposure: Monitor real-time P&L impact

Market Making Strategies

Spread Trading: Identify profitable bid-ask spreads
Liquidity Provision: Provide liquidity at key DOM levels
Inventory Management: Balance long/short positions
Delta Hedging: Use DOM for dynamic hedging

🔧 Advanced Configuration

Environment Variables

Variable	Description	Default	Source
`BROKER_API_KEY`	Fyers App ID	Required	myapi.fyers.in
`BROKER_API_SECRET`	Fyers Secret Key	Required	myapi.fyers.in
`REDIRECT_URL`	OAuth callback URL	`http://127.0.0.1:5000/fyers/callback`	Your app settings
`WEBSOCKET_URL`	Fyers TBT WebSocket endpoint	`wss://rtsocket-api.fyers.in/versova`	API Docs
`SYMBOL`	Trading symbol for DOM	`NSE:NIFTY25JULFUT`	Exchange format
`LOT_SIZE`	Lot size for the symbol	`75`	Depends on trading symbol
`DATABASE_URL`	Database connection	`sqlite:///fyers_depth.db`	Local SQLite
`SECRET_KEY`	Flask session key	Change in production	Generate secure key
`API_KEY_PEPPER`	Encryption pepper	Change in production	Generate secure key

TBT Data Processing

High-Frequency Updates: Handles 1000+ ticks per second efficiently
Invalid Data Correction: Automatically handles price=0.0 + quantity>0 anomalies
Order Book Integrity: Maintains 50-level depth with data validation
Reduced Logging: Smart logging to prevent console spam during high-frequency updates
Connection Resilience: Auto-reconnection with exponential backoff for TBT stream
Market Hours Detection: Automatically handles market open/close states

🚨 Troubleshooting

Common Issues & Solutions

Issue	Cause	Solution
"No active authentication found"	OAuth not completed	Complete Fyers OAuth flow with your trading account
WebSocket connection fails	Invalid credentials	Verify `BROKER_API_KEY` and auth token from API portal
Database errors	Permission issues	Check SQLite file permissions
"Invalid TBT data - preserved price"	Exchange data quality	Normal - system auto-corrects high-frequency anomalies
Template not found	Missing dashboard.html	Ensure `templates/dashboard.html` exists
KYC not completed	Fyers trading account not verified	Complete KYC verification in your Fyers Securities account
App not approved	API app pending approval	Wait for Fyers to approve your API application at myapi.fyers.in

Debug Mode

# Enable detailed logging
python app.py

# Check WebSocket connection
curl -I http://127.0.0.1:5000/api/config

# Verify database
sqlite3 fyers_depth.db ".tables"

🚀 Production Deployment

Security Checklist

Change SECRET_KEY and API_KEY_PEPPER
Use PostgreSQL instead of SQLite
Enable HTTPS with SSL certificates
Set proper CORS origins
Use production WSGI server (gunicorn/uwsgi)
Configure reverse proxy (nginx)
Set up monitoring and logging
Implement rate limiting
Regular security updates

Docker Deployment

FROM python:3.9-slim
WORKDIR /app
COPY requirements.txt .
RUN pip install -r requirements.txt
COPY . .
EXPOSE 5000
CMD ["gunicorn", "--bind", "0.0.0.0:5000", "app:app"]

📊 Performance Metrics

TBT Data Latency: < 10ms average from exchange
Order Book Updates: 1000+ TBT ticks/second during active trading
Memory Usage: < 100MB typical for 50-level DOM
Database Queries: < 1ms average for auth operations
UI Responsiveness: 60fps animations with real-time updates
WebSocket Throughput: Handles peak market volume efficiently

🤝 Contributing

Fork the repository
Create feature branch (git checkout -b feature/amazing-feature)
Commit changes (git commit -m 'Add amazing feature')
Push to branch (git push origin feature/amazing-feature)
Open Pull Request

📄 License

This project is licensed under the GNU Affero General Public License v3.0 (AGPL-3.0) - see the LICENSE file for details.

Key Points:

✅ Free to use for personal and commercial purposes
✅ Modify and distribute under the same license
⚠️ Network use is distribution - if you run this on a server, you must provide source code to users
⚠️ Copyleft license - derivative works must also be AGPL-3.0

🙏 Acknowledgments

Fyers API for providing robust TBT data feed and trading infrastructure
Flask-SocketIO for real-time WebSocket communication
DaisyUI for beautiful, accessible UI components
SQLAlchemy for reliable database operations
Professional traders who provided feedback on DOM analysis features

Built with ❤️ for professional traders

🌟 Star this repo • 🐛 Report Bug • 💡 Request Feature

Name		Name	Last commit message	Last commit date
Latest commit History 12 Commits
.claude		.claude
static/images		static/images
templates		templates
.env.example		.env.example
.gitignore		.gitignore
LICENSE		LICENSE
README.md		README.md
app.py		app.py
auth_utils.py		auth_utils.py
database.py		database.py
msg.proto		msg.proto
msg_pb2.py		msg_pb2.py
requirements.txt		requirements.txt

License

marketcalls/fyers-websockets

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