Ofi

Quick Reference

Property	Value
Dimension	signal
Category	order_flow
Version	v0.9.0 (Beta)
Output Column	ofi

Order Flow Imbalance - measures net order flow

Formula

cumsum((diff(best_bid_size, window) - diff(best_ask_size, window)), 0)

CDM Inputs

Column	CDM Table	Description
best_bid_size	cdm_lob_snapshot	Order book snapshot data 鈥?depth levels, bid/ask prices and sizes
best_ask_size	cdm_lob_snapshot	Order book snapshot data 鈥?depth levels, bid/ask prices and sizes

Parameters

Parameter	Type	Default	Description
decay	float [0.0, 1.0]	0.95	Decay factor for exponential moving average
window	integer [1, 100]	1	Lookback window for differences

Output

Column: ofi

Order flow imbalance (decaying sum of bid/ask flow)

Market Intuition & Trading Rationale

OFI (Order Flow Imbalance) is the most direct measure of aggressive buying vs. selling pressure at the microstructure level. It computes cumsum(螖bid_size - 螖ask_size) 鈥?the net change in resting liquidity at the best prices. When bid size increases (limit buy orders added), OFI rises; when ask size increases (limit sell orders added), OFI falls. Unlike trade-based signals which measure what did trade (past), OFI measures what wants to trade (present intent).

OFI is faster than price 鈥?it captures intent before a transaction moves the market. A spike in OFI means one side of the book is being aggressively replenished or consumed, revealing directional pressure that hasn't yet been reflected in the trade price. This makes OFI a leading indicator for short-horizon price moves, typically in the 100ms鈥?s range.

The cumulative sum acts as a directional accumulator. Positive OFI that persists over multiple updates means sustained buying pressure 鈥?not just a single large limit order. Negative OFI means sustained selling pressure. The window parameter controls the lookback for bid/ask size differences; larger windows smooth over more updates but introduce latency.

Usage Cases

• HFT directional signal: Trade in the direction of OFI at sub-second horizons. OFI predicts the next trade direction and the next mid-price move with high accuracy over 100ms鈥?s windows, especially when absolute OFI is large relative to its recent volatility.
• Flow confirmation: Use OFI direction to confirm or fade trade-based signals. When trade_sign and OFI agree (both positive or both negative), the directional signal is higher conviction. When they disagree, the market is mixed 鈥?the aggressive side differs from the passive side.
• Liquidity stress detection: Large negative spikes in OFI (rapid ask size increases) signal sellers flooding the book. Large positive spikes signal buyers accumulating. Both are leading indicators for short-term directional moves.
• core feature: OFI is the primary signal feature in order_flow_imbalance and order_flow_accumulation packs, where it's z-score normalized and paired with quality and stability diagnostics.

YAML Definition

name: ofi
description: Order Flow Imbalance - measures net order flow
category: order_flow
version: v0.9.0 (Beta)
dimension: signal
status: Pre-release
required_inputs:
  - best_bid_size
  - best_ask_size
output_column: ofi
output_description: Order flow imbalance (decaying sum of bid/ask flow)
tags:
  - flow
  - imbalance
  - microstructure
  - order_flow
  - composition
parameters:
  decay:
    type: float
    description: Decay factor for exponential moving average
    required: false
    default: 0.95
    constraints:
      min: 0.0
      max: 1.0
  window:
    type: integer
    description: Lookback window for differences
    required: false
    default: 1
    constraints:
      min: 1
      max: 100
formula: cumsum((diff(best_bid_size, window) - diff(best_ask_size, window)), 0)