Spending quite some time exploring on JBT.
JBT is surely a nice tool, but any attempt to use only depth or just
depth derived data to decode the market would be futile. I mean to
design a stable strategy profitable over a long time. Balance in JBT
can be simply regarded as another good oversold and overbought
indicator and it can only serve as that purpose.
Due to the existence of iceberg order and fake limit order, a limit
order flow based system certainly has its limit.
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