Hi Eugene, thank you for a quick reply. What you mean is the data is recorded in each second. So cumulativeBidSize is the sum of Bid Size(5 or 10 items depend on the data source) at the end of that second. And Volume is the total number of the security traded in that second.
On Wednesday, June 26, 2013 11:02:45 AM UTC-4, Eugene Kononov wrote: > > > 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.
