I agree, but does it not hide the "volume" ? Granted, I realise it is very handy to store the data in the smallest memory footprint possible, for back testing and optimizing.
On Sat, Jul 11, 2009 at 3:55 PM, nonlinear5 <[email protected]>wrote: > > > 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 -~----------~----~----~----~------~----~------~--~---
