Imbalance (footprint)
Also called: Bid-ask imbalance, Diagonal imbalance, Stacked imbalances, Buying imbalance, Selling imbalance
In short. An imbalance is a footprint cell where the contracts traded at the ask are a multiple (usually 3× or more) of the contracts traded at the bid one tick lower, or the reverse. It marks a price where one side was far more aggressive. Three or more imbalances at consecutive prices (stacked imbalances) are a strong push, and often a level that holds when revisited.
Imbalances are compared diagonally: the ask at price P against the bid at P − 1 tick, because a buyer at the ask lifts the offer at P while a seller at the bid hits the bid at the price just below. Most platforms, DeepChartsOFF included, let you set the ratio (300 %, 400 %) and the minimum volume.
Imbalances at the end of a move without price following through are a sign of exhaustion: aggressive orders are hitting a wall of resting liquidity. At the start of a move from a level, stacked imbalances are confirmation.
Questions traders ask
What is Imbalance?
An imbalance is a footprint cell where the contracts traded at the ask are a multiple (usually 3× or more) of the contracts traded at the bid one tick lower, or the reverse. It marks a price where one side was far more aggressive. Three or more imbalances at consecutive prices (stacked imbalances) are a strong push, and often a level that holds when revisited.