Market depth balance is the number which quantifies the relationship between the size of all bids and the size of all offers in the exchange's limit order book. For every snapshot every 1 second, JBookTrader sums up all bid sizes, sums up all offer sizes, and calculates the balance as balance = 100 * (cumulativeBidSize - cumulativeAskSize) / (cumulativeBidSize + cumulativeAskSize)
So, by design, the balance varies from -100 to +100. It's negative when the size of all offers exceeds the size of all bids, and positive otherwise. -- 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.
