Makes a lot of sense... the only thing is how "comaptible" new figure will be with the others (already recorded)
thanks On Aug 11, 4:34 pm, Eugene Kononov <[email protected]> wrote: > 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 -~----------~----~----~----~------~----~------~--~---
