Project Description

Book Ratio

The Depth of Market (DOM) displays the volume offered at bid and ask. By summing the levels for all volume at the ask and bid, you can calculate a book ratio. The order book will never be exactly balanced. One side can show a lot more volume than the other from time to time. This can be used in trying to gather the direction of the market movement. Of course this is not as simple as it sounds. The order book will be influenced by participants offering and cancelling orders in huge numbers. This will also influence the book ratio directly.
Over the years we have created several studies for Ninjatrader and Multicharts, accessing the order book levels and calculating a book ratio based on certain scenarios. You can specify how many levels to sum or weight differently. For every price tick the order book will change a lot more. Therefore it makes sense to update the study independent from price ticks. This however can result in high CPU loads, especially if you update it with every book change. So it can make sense to limit the updating to one second or slightly less.
In Ninjatrader you could access the order book values directly from the code before Multicharts had this ability. Since Multicharts 8 it’s possible to access the broker data feeds directly from the chart, too. Now we are able to work with the order book directly from within studies. Before that it was a bit more complex. We used Microsoft Excel to obtain the broker data, manipulate it and feed it into Multicharts via Universal DDE. While the current implementation is much more convenient, you can see that there usually is a solution for every problem. We solve those problems and provide solutions to our clients, to help achieving their goals in trading.