Want to create a stored value that calculates the average WOM over 15 seconds

[gregla]

Hello,

I thought this might be time consuming, but straightforward. But now I am a bit confused, so any help would be really appreciated.

I want to create a stored value that calculates the average WOM over a interval of the last 15 seconds.

Normally, I would collect the current WOM value every second, then do something like this

15 WOM = 14 WOM
14 WOM = 13 WOM
...
3 WOM = 2 WOM
2 WOM = 1 WOM
1 WOM = [current WOM]

And it would run through this rule every second, and I would then be able to calculate the average WOM over 15 seconds, by adding the stored values together and dividing by 15.

However, when I create a stored value, there is no option to set it to the current WOM. I'm sure there used to be, or am I wrong? I can set it to almost everything else (back price, lay price, LTP, VWAP) but not WOM.

Or if you any of you can suggest a quicker and easier way of doing this, that would be really appreciated.

[sniffer66]

Calculate the WOM yourself by adding the Money Waiting at the 3 prices either side, derive the percentage by taking either back or lay side as a percentage of the total of all 6, then save it as an SV. Then do your calc on the SV's you've created. Long winded but will work

[jimibt]

Calculate the WOM yourself by adding the Money Waiting at the 3 prices either side, derive the perecntage, then save it as an SV. Then do your calc on the SV's you've created. Long winded but will work

an interesting *twist* on this is to look at the money waiting on the 4-6th best (even 3-6) prices on each side. this (along with a few other calcs and ££ thresholds) gives quite a good picture of order stuffing and pulling. especially useful if looking for breakouts from current levels.

[sniffer66]

Calculate the WOM yourself by adding the Money Waiting at the 3 prices either side, derive the perecntage, then save it as an SV. Then do your calc on the SV's you've created. Long winded but will work

an interesting *twist* on this is to look at the money waiting on the 4-6th best (even 3-6) prices on each side. this (along with a few other calcs and ££ thresholds) gives quite a good picture of order stuffing and pulling. especially useful if looking for breakouts from current levels.

Good call. That was the basis of my 8 place WOM I posted in the discussion yesterday. My thoughts were around beating spoofing on the standard 3 place WOM

[gregla]

Calculate the WOM yourself by adding the Money Waiting at the 3 prices either side, derive the percentage by taking either back or lay side as a percentage of the total of all 6, then save it as an SV. Then do your calc on the SV's you've created. Long winded but will work

Thanks for this. I really thought there was a variable for WOM but I must've dreamt it. Yes, a bit long winded but hopefully should be OK to use this.

[gregla]

an interesting *twist* on this is to look at the money waiting on the 4-6th best (even 3-6) prices on each side. this (along with a few other calcs and ££ thresholds) gives quite a good picture of order stuffing and pulling. especially useful if looking for breakouts from current levels.

I like this idea Jim, but how do I access the amounts in 4th-6th places with the automation rules?

I can use an SV to access "Money available to Back at a price for a selection", but I can only access the 1st, 2nd and 3rd back prices in the lookup dropdown box.

I can't see how I would do it using Excel either?

[jimibt]

an interesting *twist* on this is to look at the money waiting on the 4-6th best (even 3-6) prices on each side. this (along with a few other calcs and ££ thresholds) gives quite a good picture of order stuffing and pulling. especially useful if looking for breakouts from current levels.

I like this idea Jim, but how do I access the amounts in 4th-6th places with the automation rules?

I can use an SV to access "Money available to Back at a price for a selection", but I can only access the 1st, 2nd and 3rd back prices in the lookup dropdown box.

I can't see how I would do it using Excel either?

well, coincidently, this very topic came up last week and Dallas (as ever) added a quick couple of screenshots to highlight how to target individual prices (thus allowing for xx prices either side of best. give it a whirl here: viewtopic.php?f=37&t=21472&start=20#p227673

[Archery1969]

One way i approached it was the following:

WOM1 (Waiting)

- Best 9 back unmatched amounts / (Best 9 back unmatched amounts + Best 9 lay unmatched amounts)

WOM2 (Traded)

- Best 9 back traded volume / (Best 9 back traded volume + Best 9 lay traded volume)

But i didn't do it using BA.

Cheers,