OK, here is what I am thinking of doing. > The currently implemented market depth validation rules appear to be too strict. In particular, the ES bid levels frequently have the same price (as shown in the pic above), and they persist for many minutes (if not hours). Under these conditions, JBT flags market depth as "invalid", discards it, and uses the last known "valid" depth to calculate the indicators. Clearly, if this continues for longer than several seconds, the indicators become "stale" and they no longer reflect the current book balances.
Disabling the market depth validation does not seem like a good option. Let's look at the above example again. The cumulative bid size is 7502, the cumulative ask size is 10967. So, it appears that the balance is negative: balance = 100 * (7502-10967) / (7502+10967) = -18.76 However, this snapshot has only 5 *actual* bid levels (1000, 1000.25, 1000.5, 1000.75, and 1001), while the *actual* number of ask levels is 10. To compensate for this, what I propose is dividing the cumulative bid size by the number of *actual* bid levels, and dividing the cumulative ask size by the number of *actual* ask levels, before calculating balance. With this adjustment, we would get: adjusted cumulative bid = 7502 / 5 = 1500 adjusted cumulative ask = 10967/ 10 = 1097 balance = 100 * (1500-1097) / (1500+1097) = +15.52 What do you folks think? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
