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Newbie question: calculate pressure of book!
Started:August 26th, 2016 (11:52 AM) by egarim Views / Replies:133 / 2
Last Reply:August 26th, 2016 (04:45 PM) Attachments:0

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Newbie question: calculate pressure of book!

Old August 26th, 2016, 11:52 AM   #1 (permalink)
Trading Apprentice
trieste italy
Futures Experience: None
Platform: vt
Favorite Futures: fib
Posts: 2 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!

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Old August 26th, 2016, 11:52 AM   #2 (permalink)
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Old August 26th, 2016, 04:45 PM   #3 (permalink)
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Manchester UK
Futures Experience: Intermediate
Platform: S5 / Jigsaw
Favorite Futures: NQ/ES
Posts: 4 since Feb 2012
Thanks: 3 given, 3 received

Have you taken a look at Jigsaw Trading , it has the ability to show what you are looking for with power meters, plus a whole lot more.

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