Newbie question: calculate pressure of book!
Hi all, I'm getting real time data from my broker through an api interface.
I would like to calculate a simply book pressure indicator by my own (I've got a five level book).
My naif idea to calculate this pressure on the book is:
take the total of bid for each level > totalbid
take the total of ask for each level > totalask
total > totalbid + totalask
and then plot a graph for totalbid/total or totalask/bid every seconds to show who is in control.
In ideal world when ask/bid are balanced the value should be near 0.50 but when buyer or seller are in controll should move toward 0.3 or 0.7 (signal of imbalance buyer/seller).
I'm new to trading so I don't known if there is any indicator to gauge this pressure.
Any suggestions or insight would be appreciated, thanks for help!
