That's perfect... exacly what I was looking for.
Thanks
On Jul 25, 4:29 pm, Eugene Kononov <[email protected]> wrote:
> > 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?
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