Hi Eugene, in the tension.java, you have the following code:
fastMultiplier = 2.0 / (fastPeriod + 1.0); and fastBalance += (depthBalanceValue - fastBalance) * fastMultiplier; Can you elaborate the purpose of the multiplier? Also do you mind explaining why you keep counting the cumulative sum of fastBalance? Also are fast period and slow period measured in seconds or milli seconds? Thanks On 2 Des 2010, 20:49, nonlinear5 <[email protected]> wrote: > > 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. > > > Intensionindicator, 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? > > Thetensionindicator 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.
