MarrketDepth & Aggregated Book

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Imported from previous forum

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Hi,

Am new here. Could any 1 tell me what is marketdepth ?

And difference between Full Book /Top Of Book ?

And also How do I calculate high/low price and opening/close from the Full Book/Top of Book if I am provided Bid and Offer values ?

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Hi,

Am new here. Could any 1 tell me what is marketdepth ?

And difference between Full Book /Top Of Book ?

And also How do I calculate high/low price and opening/close from the
Full Book/Top of Book if I am provided Bid and Offer values ?

further to above post, I require HLOC to plot charts for time periods.

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[ original email was from John Harris - john.harris@bondmart.com ]
> Hi,

Am new here. Could any 1 tell me what is marketdepth ?

And difference between Full Book /Top Of Book ?

And also How do I calculate high/low price and opening/close from the
Full Book/Top of Book if I am provided Bid and Offer values ?

Keith,

Market depth is the complete list of buy orders (demand) and sell orders (supply) expressed in a market at a given point in time.

“Full Book” is synonymous with market depth. It means all of the orders resident in an order book. “Top of Book” refers to best buy order (“bid”) and best sell order (“ask” or “offer”), with “best” determined from the perspective of the order-execution rules applicable to the market.

You cannot calculate H/L/O/C from a book or from bid/offer values. You must know actual transaction values - not merely orders - in order to calculate H/L/O/C. The contents of a book - bids and offers - are orders. You require a transaction stream and information about the operational hours of an order book in order to calculate H/L/O/C.