abattia
Registered: Dec 2008
Posts: 983 |
09-03-12 08:27 AM
First Law:
= = = = = =
Every filled buy order matches an equal volume sell order that filled at the same point in time.
Second Law:
= = = = = =
The change in ask volume equals the change in submitted volume minus the change in filled volume minus the change in cancelled/modified volume.
i.e. (change in ask volume) = (change in submitted volume) – (change in filled volume) – (change in cancelled/modified volume)
Third Law:
= = = = = =
The change in ask price equals the demand to buy divided by the ‘ask availability rate’ (e.g. ‘100 contracts offered per tick’), minus the demand to sell divided by the ‘bid availability rate’ (assuming constant spread).
i.e. (change in ask price) = (demand to buy / ask availability rate) – (demand to sell / bid availability rate)
Any comments / additions / modifications / deletions / suggestions for further reading?
Thanks!
|
