Interpreting IB book data.

Discussion in 'Data Sets and Feeds' started by Craig66, Jul 5, 2008.

  1. Craig66


    If I get 3 updates at the ask (say volumes of 1,2 & 3) over 1 second, is it valid to say that I had a total volume at the ask of 6 over that second or an average volume of 2? (or both).
  2. no, the ask is the ask... it's not an average.

    if you get three updates to the ask size in a second, the last one is always the most current size.

    if you're getting three updates in a second that just means that you got several order cancels, new orders (or modifications to existing orders) for that stock, submitted in a very short time interval.
  3. Craig66


    So what kind of valid measurements could be applied to the ask over an interval of time?
  4. well you can apply any measurement you want...

    my point is that the ask is the ask, if you average, sum it or transform it in various ways... this is fine but it's not the ask anymore it's some model of the ask you've developed.

    maybe I should change track here.... what are you trying to accomplish? what made you ask this question?
  5. Craig66


    I have been writing indicators to track volume at ask and bid, most charting packages have a callback for adding a value to an indicator when a bar closes.
    I was thinking about what would be the best way to encapsulate the volume information I have received during the bar into a single value.
  6. ah, that makes sense.

    well any approach could be good. sum is the most straightforward, but other summary types like mean or stddev could make sense too.

    safest bet is to use a sum, and reset the sum in line with your bar interval.

    if you want to be exhaustive, test both (sum+average+ whatever else you like) and see which ones give you the results you want, or is easier to interpret, etc.

    hope that helps.