Is this the same as Depth Balance on the JBT screen? On May 31, 6:57 pm, nonlinear5 <[email protected]> wrote: > 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.
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