itch5bookdepth may be under estimating the depth of book about jaybeams HOT 4 CLOSED

what about a project like this one?
https://github.com/GFariasR/jaybeams/projects
(second one)

from jaybeams.

This bug report is just pointing out that the output from itch5bookdepth does not match its description. I may be missing something, I think the project you link does not address this problem. It is proposing something new, which might be fun (the main criteria in the jaybeams context), and/or even useful. Can you explain how it does solve the problem in more detail? Are you suggesting that simply removing the itch5bookdepth program and writing the new program would answer the same questions? Or something else?

from jaybeams.

this is what I intended to document. Is this what you saw?

The project is to create a new program, based on:

• ITCH 5 Statistics: itch5stats.cpp
• ITCH 5 Inside Statistics: itch5inside.cpp
• ITCH 5 Book Depth Statistics: itch5bookdepth.cpp

that generates statistics about price range and book depth.

Statistics are built to test the following hypothesis:

A book of prices has two blocks separated by a large empty price range. We
call real prices to the block near the inside and tail prices to the block
further from the inside.

We intend to validate this assumption, as well as define a good heuristic
to assign value to a threshold price to split these 2 blocks.

Under this assumption a book should look like:

{Px_REAL_1 .. Px_REAL_N } ----- {Px_TAIL_1 .. Px_TAIL_M }

 - Px_REAL_N < Px_THRESHOLD < Px_TAIL_1

Initially, Px_THRESHOLD will be set as a movil value:

 Px_THRESHOLD = Px_REAL_1 + ( k_ticks * 0.01 )
 : if the symbol is quoted above (or at) $1.00

or

Px_THRESHOLD = Px_REAL_1 + ( k_ticks * 0.0001 )
: if the symbol is quoted below $1.00

We will try k_ticks = 10000 to start with. That gives us a range of $100
(or $1). It is configuration parameter thou.

There is a discontinuity when the price crosses that $1.00. Nonetheless we
will try to keep the things moving. The following set of statistics are
generated:

• Bid_Real_Price_Inside: Px_REAL_1
• Bid_Real_Price_Diff: Px_REAL_N - Px_REAL_1
• Bid_Real_Price_Depth: N
• Bid_Tail_Price_Min: Px_TAIL_1
• Bid_Tail_Price_Diff: Px_TAIL_M - Px_TAIL_1
• Bid_Tail_Price_Depth: M
• and the same six values of the offer side.
• Statistics are generated per symbol and aggregated.

On Thu, Nov 3, 2016 at 5:55 PM, coryan [email protected] wrote:

This bug report is just pointing out that the output from itch5bookdepth
does not match its description. I may be missing something, I think the
project you link does not address this problem. It is proposing something
new, which might be fun (the main criteria in the jaybeams context), and/or
even useful. Can you explain how it does solve the problem in more detail?
Are you suggesting that simply removing the itch5bookdepth program and
writing the new program would answer the same questions? Or something else?

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Gabriel Farias
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from jaybeams.

For what is worth, the new data shows that there are millions of levels in the book, the overall results across all symbols are:

the book is really deep indeed (most of that is from the SELL side I suspect). In contrast, look at the depth of the events:

This confirms our approach to just keeping the top N levels in an array and the rest in a more sparse data structure.

ITCH.20150202.bookdepth.csv.txt

ITCH.20150202.eventdepth.csv.txt

from jaybeams.