Market activity: sources, measures and checks

The market-activity section (/activity/ and its four chapter pages) answers one question: how much is India’s market trading, and where? This note says where every number comes from, how it is measured, what was checked, and what the figures cannot tell you.

Code: pipeline/tipsheet/compute/activity.py, compute/activity_who.py, publish/activity.py, step steps/activity_market.py. Bundles: activity/*. The source audit behind the section is docs/NSE_DATA_AUDIT.md.

Sources

Every monthly series ends at the last complete month. NSE’s current month is month-to-date in business growth; showing it would read as a collapse.

Measures

Money that changes hands leads. Shares are measured by cash turnover. Futures are measured at traded value (price × quantity), as exchanges report them. Options are measured by premium, the money the buyer pays the seller. Notional option turnover (strike × quantity, the figure exchanges lead with) values each option at the full size of its underlying; on NSE in 2025-26 it was about 450 times the premium. Notional is kept, labelled, for context.

Currency and commodity derivatives. NSE’s segment total (TOTAL_TRADED_VAL) is already futures turnover plus option premium. The pipeline checks this every month (currency 219 months, commodity 97: the parts equal the total to floating-point precision). The option notional value is published separately (cd_opt_notional_cr, comder_opt_notional_cr). The old activity page labelled these totals “notional”; that was wrong.

Where the money goes (the mix). Each month’s money traded is summed over: shares (NSE + BSE cash), equity futures (NSE + BSE), equity option premium (NSE + BSE), currency derivatives, commodity derivatives, interest-rate futures, corporate bonds reported on CBRICS, the wholesale debt market and tri-party repo (these five NSE only; BSE’s are not in the data). Shares are each segment’s part of that sum. The mix starts in April 2015, when NSE first published premium. A month is kept when the four large groups report; a small segment missing that month is named in missing_segments (NSE serves no wholesale-debt figures for May–December 2019, and wholesale debt is published about a month late). On the site, nine segments are folded into five groups, because a stacked chart with more than six bands stops reading.

Every segment against its record. For each segment, the trailing 12-month money traded divided by the highest trailing 12-month total up to that month. No later data enters any month, so a reading of 100 means a record at the time. This puts segments that differ in size by a factor of a thousand on one 0–100 scale.

Turnover against market value. Average daily cash turnover × 250 sessions ÷ month-end market value, NSE.

Delivery share. For every security-day in both NSE’s delivery file and the bhavcopy, deliverable quantity (capped at traded quantity) is valued at that day’s average traded price (turnover ÷ quantity). The share is the month’s sum of delivered value over the month’s traded value for the same security-days, so a missing delivery file never dilutes the share. In the median month the matched security-days carry 99.9% of NSE’s published cash turnover; the lowest is 61% (February 2002, the first month).

ETFs. Exchange-traded funds are mutual-fund units, so their ISINs start INF; they trade in series EQ. The bhavcopy carries ISINs from June 2011, so the ETF series starts then (ETFs have listed since 2002). A few listed closed-ended fund units also carry INF ISINs; their turnover is negligible. The adjusted price panel’s is_etf flag is not used: its symbol rule also matches ICICI Bank and Kotak Mahindra Bank (reported to the orchestrator, 2026-10-03).

REITs, InvITs, sovereign gold bonds, SME shares. Bhavcopy series RR, IV, GB, and SM plus ST.

Open interest. Notional value of equity futures and options open at month end: NSE from the SEBI Bulletin, BSE from its own statistics. Divided by NSE’s month-end market value. Month-end readings move with the expiry calendar.

Exchange shares. Cash: NSE, BSE and MSEI turnover from the SEBI Bulletin. Option premium and open interest: NSE and BSE. The Bulletin’s NSE cash turnover equals NSE’s own business-growth figure in all 149 months checked (median difference 0.00002%).

Who trades

NSE publishes buy and sell value by client category every session, in two tables over time.

• The client table (cash and F&O from 2023): Bank, Insurance, Mutual funds, AIF, PMS, FPI, Retail, Others. Its buy side and its sell side each equal NSE’s total for the day: cash turnover, or F&O futures turnover plus option premium. This holds to the crore on every session sampled from 2023 to 2026. A category’s share is its buy plus sell over twice the table’s total. In cash, from 2025 NSE moves FPI out of the exchange table into a separate NSDL line and folds FPI trades into Others, so the site combines FPI and Others in cash for a consistent series. “Retail” is NSE’s definition: individuals, HUFs, NRIs, proprietorships and partnership firms. “Others” includes companies, trusts and proprietary (own-account) trading by brokers.
• The legacy table (cash 2005 to 2023, F&O March 2011 to 2023): cash BNK, DFI, PRO-TRADES, OTHERS; F&O mutual funds, proprietary, others, at notional value. It leaves out FIIs (and, in cash, mutual funds and insurers), so it does not add up to the market. Its shares are taken against NSE’s own daily total for the same sessions (cash turnover; F&O notional turnover), using business-growth daily totals from March 2011 and the monthly total, for months where every session has a file, before that. The part the table leaves out is published as a remainder named for what it holds. For F&O that remainder is the FIIs’ share of notional turnover, and it agrees with NSE’s separate participant-wise contract data, a different file and a different measure: by calendar-year average, 16.8% against 16.2% in 2012, 18.9% against 18.7% in 2019 and 6.2% against 5.9% in 2023.
• Cash files up to March 2011 say their figures are “settlement wise, inclusive of securities in In-Delivery and exclusive of securities in No-Delivery”, while the denominator (NSE’s turnover) counts every trade. For those years the remainder also holds that difference, so it is an upper bound on the FII, mutual-fund and insurer share.
• Transition files in 2023 carry both tables for the same session; both are stored and neither is spliced into the other. Legacy and client shares are different measures and are never drawn as one line.
• A month’s shares are summed rupees over the month, and a month counts when at least 90% of NSE’s trading days have a file; the session count is published. NSE sometimes serves another session’s workbook under a dated name (four F&O files among 1,176 sessions in 2022-2026, for example the file named 17 February 2022 holds 17 February 2023); the Data bank skips these, never re-dates them, and records a warning. On 8 September 2025 the F&O client table is ₹25 crore (buy) and ₹4 crore (sell) short of NSE’s total of ₹1,33,775.63 crore, consistent with a small row missing from the file; it is kept as published and listed as a reviewed audit exception.

Participant contracts. NSE’s participant-wise trading volumes give contracts traded by clients, DIIs, FIIs and proprietary traders (long plus short). They are contracts, not value: a cheap option counts the same as a large future.

Demat accounts. Accounts at NSDL and CDSL at month end (SEBI Bulletin). One investor can hold several accounts, so this is not a count of people.

How orders reach the market

NSE’s monthly mode-of-trading reports give each terminal type’s share of turnover, by what the broker declared at order entry: non-algo (a person at a dealer terminal), algo, direct market access, colocation (servers in NSE’s data centre), internet, mobile and smart order routing. F&O shares are of turnover with options at premium. The site groups algo, DMA and smart order routing as “other automated” and calls colocation plus other automated “machine-sent”.

Served from December 2019. Not served (HTTP 404): January–June 2020, October 2021 and August 2024. NSE’s files for August 2025 (both segments) are damaged PDFs and its F&O file for July 2026 has a blank table; these are excluded by a reviewed exact-file manifest in the Data bank, so a corrected file would be picked up automatically.

Source quirks shown as published

• Corporate bonds (CBRICS): NSE’s figures fall almost to nothing from January 2012 to March 2014, trades and value together.
• Interest-rate futures: dormant from late 2011 until the relaunch in January 2014.
• Wholesale debt: no figures for May–December 2019.
• BSE cash turnover: a spike in March 2017, as published.
• Currency derivatives: the segment shrank after April 2024, when the RBI required exchange-traded currency derivatives to be backed by an underlying exposure.

What the figures cannot tell you

They describe activity; they do not forecast. A high reading is not a signal by itself. The section does not attribute changes to causes beyond rule changes with known dates (SEBI’s F&O measures from 20 November 2024, the RBI’s currency rule from April 2024, BSE’s Sensex options relaunch in May 2023). Currency, commodity, rate and debt figures are NSE only.