> > 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. >
I recorded and compared simple and weighted depth balances over the last couple of days. The correlation between the two is very high at 0.95. My conclusion is that weighted balance provides no additional insights into demand/supply dynamics. --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
