BML Index Components and Algorithms
（1）A：Quoting Amount (two decimal places)
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A1 Bid side 2% Amount U
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A2 Ask side 2% Amount U
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A1/A2
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A1/A2 points
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>=100000
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10
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[50000,100000)
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9
|
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[20000,50000)
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8
|
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[10000,20000)
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7
|
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[5000,10000)
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6
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[2000,5000)
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5
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[1000,2000)
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4
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[500,1000)
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3
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[200,500)
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2
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[100,200)
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1
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[0,100)
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0
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-
A3 Bid side 5% Amount U
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A4 Ask side 5% Amount U
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A3/A4
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A3/A4 points
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>=200000
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10
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[100000,200000)
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9
|
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[50000,100000)
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8
|
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[20000,50000)
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7
|
|
[10000,20000)
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6
|
|
[5000,10000)
|
5
|
|
[2000,5000)
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4
|
|
[1000,2000)
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3
|
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[500,1000)
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2
|
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[200,500)
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1
|
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[0,200)
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0
|
-
A5 Bid side 10% Amount U
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A6 Ask side 10% Amount U
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A5/A6
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A3/A4 points
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>=500000
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10
|
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[200000,500000)
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9
|
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[100000,200000)
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8
|
|
[50000,100000)
|
7
|
|
[20000,50000)
|
6
|
|
[10000,20000)
|
5
|
|
[5000,10000)
|
4
|
|
[2000,5000)
|
3
|
|
[1000,2000)
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2
|
|
[500,1000)
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1
|
|
[0,500)
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0
|
-
A7 Bid side Total Amount U
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A8 Ask side Total Amount U
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A7/A8
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A7/A8 points
|
|
>=1000000
|
10
|
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[500000,1000000)
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9
|
|
[200000,500000)
|
8
|
|
[100000,200000)
|
7
|
|
[50000,100000)
|
6
|
|
[20000,50000)
|
5
|
|
[10000,20000)
|
4
|
|
[5000,10000)
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3
|
|
[2000,5000)
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2
|
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[1000,2000)
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1
|
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[0,1000)
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0
|
Note: Converted to U; Snapshot once every 1H
Total point A = A1*0.20 + A2* 0.20 + A3*0.15 + A4*0.15 + A5*0.1 + A6*0.1+A7*0.05+A8*0.05
（2）B：Price Levels (integer digits)
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B1 Price Levels on bid side
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B2 Price Levels on ask side
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bid/asd Price Levels
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Points
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>=50
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10
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[45,50)
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9
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[40,45)
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8
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[35,40)
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7
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[30,35)
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6
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[25,30)
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5
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[20,25)
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4
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[15,20)
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3
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[10,15)
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2
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(0,10)
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1
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0
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0
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Notes: a snapshot per hour
Total Point B = B1*0.5 + B2*0.5
（3）C：Transaction activity
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C1 1H Transaction quantity Share (percentage, two decimal places)
Data: Get the transaction quantity data of the past 1H and 24H through K-line every 1H.
Algorithm: 1H transaction quantity/24H transaction quantity
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C1 data
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C1 Points
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>=10%
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10
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(9%,10%)
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9
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[8%,9%)
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8
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[7%,8%)
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7
|
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[6%,7%)
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6
|
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[4%,6%)
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5
|
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[3%,4%)
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4
|
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[2%,3%)
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3
|
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[1%,2%)
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2
|
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(0,1%)
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1
|
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0
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0
|
-
C2：24H Trading volume (two decimal places)
Data: Get the trading volume data of the past 24 hours through the K-line every 1H, and converted into USDT using the exchange rate.
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C2 data
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C2 Points
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>=1000000
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10
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[500000,1000000)
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9
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[200000,500000)
|
8
|
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[100000,200000)
|
7
|
|
[50000,100000)
|
6
|
|
[20000,50000)
|
5
|
|
[10000,20000)
|
4
|
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[5000,10000)
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3
|
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[2000,5000)
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2
|
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（0,2000)
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1
|
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0
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0
|
Total Point C = C1*0.3+ C2*0.7
（4）D：Spread (percentage, two decimal places)
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Calculate once by one snapshot per hour
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Algorithm: (first Ask Price - first Bid Price) / [(first Ask Price + first Bid Price) / 2]
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D data
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D Points
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(0,0.05%)
|
10
|
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(0.05%,0.1%)
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9
|
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[0.1%,0.2%)
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8
|
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[0.2%,0.5%)
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7
|
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[0.5%,1%)
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6
|
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[1%,2%)
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5
|
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[2%,5%)
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4
|
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[5%,10%)
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3
|
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[10%,20%)
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2
|
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>=20%
|
1
|
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2/-2/NULL/0
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0
|
（5）BM Liquidity Index (BML index) Total Point
Total Pint X = 0.6× A + 0.1 × B + 0.1 × C + 0.2 × D
