Weight of Money

Many of you have asked what sort of inputs I use for NNATS and how these can be used either independently or to feed a neural network for further analysis. In the next few posts, I will share some of these with you.

To get the ball rolling, let us start with the backbone of any Betfair trading bot, the “weight of money” indicator. This indicator is a very good place to start, as intuitively it is easy to understand, it is easy to calculate and it provides an output in the range of zero to one, which I always like.

Quite simply, the weight of money indicator provides a measure of how much money is available to back compared to how much is available to lay – or to look at it another way, sellers verses buyers. In theory, if there are more sellers than buyers then the price will fall and if there are more buyers than sellers then the price will rise.

Take this set of prices presented to us on the Betfair interface:



On the left we have the money available to back and on the right the money available to lay.

The weight of money is calculated simply by dividing the sum of all available back money by the total of all available money, i.e.

(62 + 420 + 402) / (62 + 420 + 402 + 62 + 36 + 46) = 0.8599 or 85.99%

Generally, the way to use this value is as follows:

• 0% to 33% means the price will move down.
  
• 33% to 66% means the direction is uncertain.
  
• 66% to 100% means the price will move up.

A few moments later, the price had moved up a tick, as predicted, and as seen below:



I certainly would not use this indicator by itself, but is does provide a very good feeling about where the market may move to next.

Hope this is useful.

John