The depth balance code always confused me a bit on first read, so I updated
the comments to make the basic idea more clear in a couple files. Head
comments for both files, one more comment in the body of MarketDepth.
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package com.jbooktrader.platform.marketdepth;
import com.jbooktrader.platform.marketbook.*;
import com.jbooktrader.platform.model.*;
import java.util.*;
/**
* The class that tracks bid/ask levels and creates the DepthBalance value.
*
* Depth balance is defined as a relationship between the volume of all
* bids and all asks such that:
* 100 -> Bids account for 100% of the total volume of bids and asks.
* 0 -> The total volume of bids equals the total volume of asks.
* -100 -> Asks account for 100% of the total volume of bids and asks.
*
* All bid/ask price levels are weighted equally.
*
* Balance for the 1 second period is the average of the highest and
* lowest balance calculated in the 1 second period.
*/
public class MarketDepth {
private final LinkedList<MarketDepthItem> bids, asks;
private boolean isResetting;
private double lowBalance, highBalance, lastBalance;
private double midPointPrice;
private MarketDepthValidator validator;
private final String name;
public MarketDepth(String name) {
this.name = name;
bids = new LinkedList<MarketDepthItem>();
asks = new LinkedList<MarketDepthItem>();
validator = new MarketDepthValidator(bids, asks);
isResetting = true;
}
public void reset() {
isResetting = true;
bids.clear();
asks.clear();
}
private int getCumulativeSize(LinkedList<MarketDepthItem> items) {
int cumulativeSize = 0;
for (MarketDepthItem item : items) {
cumulativeSize += item.getSize();
}
return cumulativeSize;
}
public boolean isValid() {
return validator.isValid();
}
public String getMarketDepthAsString() {
String md = getCumulativeSize(bids) + "-" + getCumulativeSize(asks);
long invalidStateDuration = validator.getInvalidStateDurationInSeconds();
if (invalidStateDuration >= 60) {
md += ", invalid";
}
return md;
}
synchronized public void update(int position, MarketDepthOperation operation, MarketDepthSide side, double price, int size) {
List<MarketDepthItem> items = (side == MarketDepthSide.Bid) ? bids : asks;
int levels = items.size();
switch (operation) {
case Insert:
if (position <= levels) {
items.add(position, new MarketDepthItem(size, price));
}
break;
case Update:
if (position < levels) {
MarketDepthItem item = items.get(position);
item.setSize(size);
item.setPrice(price);
}
break;
case Delete:
if (position < levels) {
items.remove(position);
}
break;
}
if (operation == MarketDepthOperation.Update) {
validator.validate();
if (validator.isValid()) {
int cumulativeBid = getCumulativeSize(bids);
int cumulativeAsk = getCumulativeSize(asks);
double totalDepth = cumulativeBid + cumulativeAsk;
// These variables apply only for the latest 1 second period.
lastBalance = 100d * (cumulativeBid - cumulativeAsk) / totalDepth;
lowBalance = Math.min(lastBalance, lowBalance);
highBalance = Math.max(lastBalance, highBalance);
}
midPointPrice = (bids.getFirst().getPrice() + asks.getFirst().getPrice()) / 2;
isResetting = false;
}
}
synchronized public MarketSnapshot getMarketSnapshot(long time) {
if (isResetting) {
return null;
}
long invalidStateDuration = validator.getInvalidStateDurationInSeconds();
if (invalidStateDuration >= 60 && (invalidStateDuration % 60 == 0)) {
String msg = "Book " + name + " has been invalid for " + invalidStateDuration + " seconds.<br>";
for (String errorMsg : validator.getErrors()) {
msg += errorMsg + "<br>";
}
Dispatcher.getReporter().report(msg);
}
int balance = (int) Math.round((lowBalance + highBalance) / 2d);
MarketSnapshot marketSnapshot = new MarketSnapshot(time, balance, midPointPrice);
// reset values for the next market snapshot
highBalance = lowBalance = lastBalance;
return marketSnapshot;
}
}
package com.jbooktrader.indicator.depth;
import com.jbooktrader.platform.indicator.*;
/**
* Depth balance in the latest market snapshot.
* - Depth balance is defined as a relationship between the volume of all
* bids and all asks such that:
* 100 -> Bids account for 100% of the total volume of bids and asks.
* 0 -> The volume of bids equals the volume of asks.
* -100 -> Asks account for 100% of the total volume of bids and asks.
* All bid/ask price levels are weighted equally.
*
*/
public class DepthBalance extends Indicator {
@Override
public void calculate() {
value = marketBook.getSnapshot().getBalance();
}
@Override
public void reset() {
calculate();
}
}
