Newbie question: calculate pressure of book! | Traders Hideout - futures trading strategies, market news, trading charts and platforms

Traders Hideout

Discuss day trading practices and futures trading strategies on this forum for all markets. This forum is also for discussing and reviews for brokers, data feeds, and commercial or third party add-ons


Newbie question: calculate pressure of book!

  #1 (permalink)

trieste italy
Posts: 4 since Aug 2016
Thanks: 2 given, 0 received

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 -> total-bid
take the total of ask for each level -> total-ask
total -> total-bid + total-ask

and then plot a graph for total-bid/total or total-ask/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!

Reply With Quote