Liquidity Tracker -> Liquidity Flux and Volume Delta Flux

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ingyukoh
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Liquidity Tracker -> Liquidity Flux and Volume Delta Flux

Post by ingyukoh » Wed Jan 01, 2020 12:14 am

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.

ingyukoh
Posts: 33
Joined: Tue Nov 26, 2019 7:06 am
Been thanked: 1 time

Re: Liquidity Tracker -> Liquidity Flux and Volume Delta Flux

Post by ingyukoh » Wed Jan 01, 2020 12:19 am

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.

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