Support Board
Date/Time: Fri, 19 Dec 2025 21:52:14 +0000
Request for features to be added to Bid & Ask Depth Bars
View Count: 69
| [2025-12-19 10:04:39] |
| Flawless Cowboy - Posts: 18 |
|
I was wondering if you would consider adding two additional calculation modes to the Bid & Ask Depth Bars, specifically metrics called order book imbalance and order book skew. These are two ways of calculating imbalance in the limit order book between the number of contracts on the bid and on the ask. You already have the calculation mode Ratio (Ask-Bid) which is similar but calculates it the opposite way to what is standard practice for the imbalance metric. I will link two websites that give information about each metric and show the calculation formula. https://databento.com/blog/liquidity-taking-strategy#:~:text=skew%20=%20log%20(vb),goes%20below%20some%20threshold%20%2Dk%20. https://davidsevangelista.github.io/post/basic_statistics_order_imbalance/ I have asked before if you would ever make the source code for the bid & ask depth bars available as this would be relatively easy to make as a study myself but you said that it was an internal study so would never be made available. |
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