not yet tried On Tue, Jun 30, 2009 at 10:32 PM, Crichton McCutcheon < [email protected]> wrote:
> > > 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, > > > > > > > > > > -- 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 -~----------~----~----~----~------~----~------~--~---
