In the current framework, I see that the balance stored in the historical data file is at times very noisy for some contracts especially outside RTH. I see that this can be caused if the book is very shallow. I would like to capture the average of cumulative bid size + ask size as part of the historical data. I can use this in the strategy to filter out some noise or even decide if it is the right time to trade a strategy.
I can modify the code with some ugly hacks for sure, but this would be a difficult thing to maintain if I need to upgrade. So can this be made part of the framework? Any thoughts? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
