Have you been able to record 10 level depth data in the FG version for the ES without the "freezing" problem?
Florent Guiliani wrote: > Good Idea. Thus you could not hard code the ponder mechanism and > provide a way to override it. > > On Mon, Jun 29, 2009 at 9:27 PM, nonlinear5 <[email protected] > <mailto:[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. > > > > > > > -- > Florent, > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
