thank for the explanation, two questions in my mind:
1) You mentioned 'every 1 second', but i saw the following line in
StrategyRunner.java
scheduler.scheduleWithFixedDelay(new SnapshotHandler(), 0, 500,
TimeUnit.MILLISECONDS);
shouldn't it be half second?
2) how balance related to volume? is this statement true: higher balance
means high volumen?
On Sat, Nov 6, 2010 at 3:01 PM, Eugene Kononov <[email protected]>wrote:
> 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.
>
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