I second this. proceris wrote: > Maybe an abstract interface? That would allow people to define their > own projections from market book to a number. Weighted balance and > simple balance could be two included examples. > > On Jun 30, 5:27 am, nonlinear5 <[email protected]> wrote: > >> Up until recently, TWS provided up to 5 levels of market depth, and it >> made sense to calculate depth balance as the difference between >> cumulative bid size and cumulative ask size. More precisely, the >> balance was calculated as >> balance = 100 * (cumulativeBid - cumulativeAsk) / (cumulativeBid + >> cumulativeAsk); >> where cumulativeBid is a simple sum of all bid sizes through all 5 >> levels, >> and cumulativeAsk is a simple sum of all ask sizes through all 5 >> levels. >> >> Now that we have 10 levels of market depth in TWS, the simple >> summation of sizes is probably not appropriate. That's because the >> sizes at the top levels (1 to 5) seem more important than the sizes at >> the bottom levels (6 to 10), and should be weighted more. >> >> The question that I ponder is, what kind of weighting should be used? >> One possible approach is to use a weighting equivalent to the (10 - >> level). So, the size at level 1 would get a weight of 10, the size at >> level 2 would get a weight of 9, and so on to level 10 with a weight >> of 1. This schema would put 10 times more weight on level 1, compared >> to weight on level 10. >> >> If you can think of a better weighting mechanism, please post your >> thoughts here. Once we settle on the weighting, I'll modify the >> framework to calculate and record weighted balance, in addition to >> simple balance. >> > > > > >
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