> > 1. the book balance is defined as difference between cumulative bid > size and cumulative ask size in the limit order book at 1 second > interval. How many price level of bid and ask do you usually use to > calculate book balance? >
JBT uses all available levels. In the case of the ES, it's 10. This is what Chicago Mercantile Exchange broadcasts. Other exchanges may broadcast smaller or greater number of levels for a particular instrument. You can see all available levels in TWS "Market Depth" windows. JBT uses the same data as shown in that TWS window. > In tension indicator, you have these equations: > fast/slowMultiplier as Multiplier = 2.0 / (fast/slowPeriod + 1.0). > slow/fastPrice += (price - slow/fastPrice) * slow/ > fastMultiplier; > priceVelocity = 2 * (fastPrice - slowPrice); > > Would you mind elaborate a little bit how these formula work since > they are not intuitive for me? Also why there is "2" multiplier in > priceVelocity whereas in balanceVelocity you don't use "2" as a > multiplier? > The tension indicator attempts to combine the price/balance information into a single number. However, the scale of balance velocity is different from the scale of price velocity. Thus the use of the multiplier 2. I found this value experimentally through optimization. You may want to do the same for a particular instrument which you are backtesting/optimizing. -- 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.
