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Contrary to on-chain signals, exchange signals are recalculated every minute and also have a time horizon of one minute. The models behind these signals are based on research of high frequency trading (HFT) strategies, which have been applied and tested to each crypto-asset supported by IntoTheBlock. These are also periodically re-optimized to adjust the thresholds for each model and asset.
This signal is a variation of the order book mid-price, where bid and ask prices are weighted by their inverse volumes. In other words, the Smart Price signal multiplies bid price times volume at the ask, sums this to the ask price times the volume at the bid, and divides all of this by the aggregate volume of the bid and ask.
Simply put, the bid-ask volume imbalance measures changes in the difference in the volume at the bid price and the volume at the ask price.
Last modified 3yr ago