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Date/Time: Sun, 05 May 2024 02:32:31 +0000

Post From: Huge spikes on Denali offer data

[2019-10-07 22:27:08] Link To Thread - Link To Post [Go To First Post]
User132748 - Posts: 159
Without symmetry in bid and offer depth (equal distance on each side of price) there is no way to spot an imbalance at price. Not true. If you have a 100 bids resting order 3 ticks below and 100 offers 10 ticks above and no other resting orders and your "range" is set in ticks to 5T then whats your balance? You would see 100 bid imbalance pressure which is not true cause if theres a buy 100 order it will eat those offers at +10ticks cause thats first liquidity available and if a 100 sell order it will eat those 100 bids at 3T below. So the fact is the market is in balance and you would see this only when "range" set to LEVELS = 1. Range set in ticks means nothing. You need to watch the relative position of available liquidity not abstract price distance. Regards Date Time Of Last Edit: 2019-10-07 22:46:35