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volume need to make average price current bid/offer - nt
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volume need to make average price current bid/offer - nt

  #1 (permalink)
Elite Member
New York City, NY/USA
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: 6E, ZN, CL
 
Posts: 121 since Dec 2010
Thanks: 3 given, 74 received

volume need to make average price current bid/offer - nt

trying to create an output in NT to deal with average price and volume. It is for hedging purposes.

Average price for a trade is:
price1*vol1 + price2*vol2/ vol1 + vol2 = average price

assume I am short the market at price 1 for vol 1, and the market is moving up against my position, I want the readout to essentially tell me....
at the current OFFER, I would need to trade a vol2 of X to make the average price then equal the current OFFER.

Example,
Price 1 1004.75 volume 1, assume short so following the offer
Offer currently now 1006.75, so I would want output to tell me that if I short a volume of 15 at this offer then my average price will equal the offer price...1006.75.
1004.75 *1 + 1006.75*15/1+15=1006.63
which the DOM will show as 1006.75 or the OFFER.

I am trying to break this down to give to a coder to create this real time volume output to make average price = current offer when short and average price = current bid when long.

any input would be great

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