Book balance is the balance between cumulative bid size and cumulative ask size in the order book, calculated as 100 * (cumulativeBid - cumulativeAsk) / (cumulativeBid + cumulativeAsk) As this formula implies, book balance can take values from -100 to +100. When the number of buy orders exceeds the number of sell orders, book balance is positive, and it's negative otherwise.
On May 27, 6:24 am, aqc <[email protected]> wrote: > Hi, > > I downloaded the historical data (ES-GLOBEX-FUT-200909) and one of the > field in the historical file called "book balance". > Can you please tell me what is the meaning of book balance and how do > I calculate this value? > > Thank a lot for your help. -- 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.
