measure trading intensity

[griffiri]

hi

I was looking at the code to measure the trading intensity here

@njit
def measure_trading_intensity(order_arrival_depth, out):
    max_tick = 0
    for depth in order_arrival_depth:
        if not np.isfinite(depth):
            continue

        # Sets the tick index to 0 for the nearest possible best price
        # as the order arrival depth in ticks is measured from the mid-price
        tick = round(depth / .5) - 1

        # In a fast-moving market, buy trades can occur below the mid-price (and vice versa for sell trades)
        # since the mid-price is measured in a previous time-step;
        # however, to simplify the problem, we will exclude those cases.
        if tick < 0 or tick >= len(out):
            continue

        # All of our possible quotes within the order arrival depth,
        # excluding those at the same price, are considered executed.
        out[:tick] += 1

        max_tick = max(max_tick, tick)
    return out[:max_tick]

in particular

tick = round(depth / .5) - 1

Say if your tick size is 1, mid price 101, and a buy happens at 105 (i.e. a trade at depth 4 ticks) then tick would be 7. This would then count to the intensity at the first 6 levels which doesn't seem right - am i missing something?

thanks
Richard

[nkaz001]

Oops. I may have forgotten something, it’s been a while since I wrote it. But you’re right. The current formula has a problem to measure the deep-depth order of arrival. I’ll review it, note the issue, and add a new fitting if needed. Thank you!