Normalized Trade Imbalance
Quick Reference
| Property | Value |
|---|---|
| Dimension | signal |
| Category | order_flow |
| Version | v1.0 |
| Output Column | normalized_trade_imbalance |
Normalized trade imbalance: (buy_volume - sell_volume) / (buy_volume + sell_volume), range -1 to 1
Formula
(buy_volume - sell_volume) / (buy_volume + sell_volume)
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
buy_volume | cdm_trade_enriched | Trade data enriched with bar context 鈥?price, volume, side, trade type |
sell_volume | cdm_trade_enriched | Trade data enriched with bar context 鈥?price, volume, side, trade type |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
window | integer | 1000 | Window for rolling computation in milliseconds |
Output
Column: normalized_trade_imbalance
Normalized trade imbalance ratio
Market Intuition & Trading Rationale
Normalized trade imbalance measures net aggressive pressure on a [-1, +1] scale: (buy_vol - sell_vol) / (buy_vol + sell_vol). +1 means all volume was aggressive buying; -1 means all was aggressive selling; 0 means perfectly balanced. The normalization makes this scale-free 鈥?comparable across all instruments and time periods. This is the volume-based counterpart to OFI (which measures order book changes).
Usage Cases
- Directional pressure: imbalance > 0.3 鈫?bullish pressure. imbalance < -0.3 鈫?bearish. Between 卤0.3 鈫?balanced. Trade in the direction of significant imbalance.
- OFI confirmation: When both OFI and normalized_trade_imbalance point the same direction, conviction is highest 鈥?both passive intent and aggressive action agree.
- context: Primary signal in
order_flow_imbalancepack alongside OFI.
YAML Definition
name: normalized_trade_imbalance
description: 'Normalized trade imbalance: (buy_volume - sell_volume) / (buy_volume
+ sell_volume), range -1 to 1'
category: order_flow
dimension: signal
version: v0.9.0 (Beta)
required_inputs:
- buy_volume
- sell_volume
output_column: normalized_trade_imbalance
output_description: Normalized trade imbalance ratio
tags:
- flow
- imbalance
- signal
parameters:
window:
type: integer
description: Window for rolling computation in milliseconds
required: false
default: 1000
formula: (buy_volume - sell_volume) / (buy_volume + sell_volume)