> 1) "Book Balance" in JBT data format. Is it SUM(ASK SIZE)-SUM(BID SIZE)? > > balance = 100 * (cumulativeBidSize - cumulativeAskSize) / (cumulativeBidSize + cumulativeAskSize) See MarketDepth.java for more specifics.
> 2) "Volume" in JBT data format. In the data set, the volume is not an > increasing function in the same same day and many zeros from time to time. > Is it just a trade size at that time period? > > The volume figures are reported for the elapsed second, not the cumulative session volume. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
