> but on the balance side, balance is summarized information of high and > low balance... where high balance increases as soon last balance is > higher, and low balance decreases as soon as last balance is lower... > > so high and low balances are getting lower and higher, > respectively.... and together they measure the biggest gap or the > biggest book disbalance... > > is my understanding OK? > >
Here is how it works. The L2 (market depth) updates are very frequent, in the order of 30 changes per second. I measured it when market depth had 5 levels, but now that we have 10 levels, it's even more frequent. From this continuous stream of updates in market depth, JBT constructs 1-second "snapshots" of market balance, and these 1-second snapshots are what gets recorded and used for trading, backtesting, forward testing, and optimizing. Since there are multiple updates during every second, JBT tracks the lowest and the highest depth balance which occurred during that second. The final number is the midpoint between the two. For the next 1-second snapshot, the high and low numbers are reset in the getMarketSnapshot() method: highBalance = lowBalance = lastBalance; Example: Between 10:00:00 and 10:00:01, the highest balance was 14 and the lowest balance was 10. The last balance just before taking the snapshot was 13. JBT would record the snapshot with depth balance (10+14)/2=12, and reset the highest and the lowest balance for the next 1-second snapshot to 13. Does that answer your question? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
