Jun 18, 2024 · Order flow imbalance arises when a substantial difference exists between the number of buy and sell orders for a specific asset. One side—buy or sell orders—greatly …

Feb 2, 2022 · I’ll show you how to calculate the ‘order flow imbalance’ and build a high-frequency trading signal with the results. We’ll see if it is a profitable strategy and how it might be useful …

Jul 19, 2024 · Order flow imbalance refers to the difference between buy and sell orders at specific price levels in the order book. A higher concentration of buy orders signals bullish …

The price impact of order book event is an arxiv article which shows that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance …

We show that order flow at deeper levels of the limit order books provides additional explanatory power for price impact, when compared to the order flow imbalance at the best-level.

Apr 12, 2025 · It refers to the disparity between the buy and sell orders in a given market at a specific point in time. By analyzing order flow imbalance, traders can gauge the overall …

The present study makes two main contributions to the lit-erature regarding the contemporaneous and predictive cross-impact of order flow imbalances on price returns.

Order flow imbalances are the easiest way to see when the institutional traders are active in the market. In this module I break down and explain the difference between individual, stacked …

Aug 4, 2025 · Order flow imbalance (OFI) is a real-time metric that measures the net buying or selling pressure from aggressive market orders. It specifically filters out passive limit orders to …

May 26, 2024 · Order flow imbalance is a market condition where one side of the market is more active than the other. This condition can impact the price movement, liquidity, volatility, and …