On Jul 11, 2:54 pm, MKoistinen <[email protected]> wrote:
> Hi all,
>
> Sorry if this topic has already been covered, but...
>
> I notice that the data format in the market data files is simply:
> - Date
> - Time
> - Balance
> - Price
>
> I'm curious why we don't also store the "size" of the book, or the sum
> of the ask size and the bid size.
>
> Ultimately, between the balance and the size, you could recreate the
> ask and bid sizes and it would seem to me that some indicators could
> be written to use that extra information.
>
> In particular, an ASK size of 10050 and a BID size of 10000, which has
> a balance of 50, but I think you'll agree is pretty well balanced,
> where as an ASK size of 100 and a BID size of 50, which has the same
> balance, but isn't so well balanced.
>
> Thanks,
> - Martin
I agree. Another interesting function to plot is (ask / (bid + ask))
which is a different way of looking at the same "balance"
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