I have a feed in real time that lists the ask and bid orders.
Each order consists of a value and a quantity.
I want to calculate the percentage of short orders from the total orders in terms of quantity.
So far i have this:
Sum(askOrderQuantities)/( Sum(askOrderQuantities+ Sum(bidOrderQuantities))
As far as i know selling is not the same as short. most ask orders are way above market price. This means that they will not go through anytime soon. Does this mean they are long because the seller is betting the price will go up?
Edit: I am trying to find a percentage that represents people going short of the total market, weighing in the quantity they are using. This is for the forex market. I have the following data in real time:
Order sheet Ticker Market trade history