Liquidity Tracker simple-demo/src/main/java/com/bookmap/api/simple/demo/indicators/LiquidityTracker.java
int bidSize = orderBook.getSizeSum(true);
indicatorBid.addPoint(bidSize);
int askSize = orderBook.getSizeSum(false);
indicatorAsk.addPoint(askSize);
can be generalized to Liquidity Flux which measures changes (bidSize, askSize) during a given time interval.
This Liquidity flux is compared against Volume Delta Flux, which measure changes (in volume dot green, red)
during a given time interval.
Price movement is :
ask @ t= ask @ t-1 + (liquidity flux at ask- volume buy flux at ask)* time delta
bid @ t= bid @ t-1 + (liquidity flux at bid- volume sell flux at ask)* time delta
If ask @ t<=0, then price goes up.
If bid @ t<=0, then price goes down.
Liquidity flux is computed with sigmoid to remove boundary effects of fixed depth size.
Liquidity Tracker -> Liquidity Flux and Volume Delta Flux
Re: Liquidity Tracker -> Liquidity Flux and Volume Delta Flux
As emphasized in https://bookmap.com/wiki/Liquidity_tracker,
Liquidity flux and Volume flux are not delayed indicators like moving average or volume weighted price
of trailing sum, but is real time.
Liquidity flux and Volume flux are not delayed indicators like moving average or volume weighted price
of trailing sum, but is real time.