> 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. >
This is not quite right. The balance in JBT is normalized and is calculated as follows: balance = 100 * (cumulativeBidSize - cumulativeAskSize) / (cumulativeBidSize + cumulativeAskSize) So, in your first scenario, balance would be 100 * (10000 - 10050) / (10000 + 10050) = -0.25 In your second scenario, balance would be 100 * (50-100) / (50+100) = -33 In both cases, the balance reflects the market accurately: almost perfectly balanced in the first case, and heavily unbalanced to the supply side in the second case. Agree? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
