Book imbalance: a tilted order book, read with care

What a tilted order book means, and the trap in taking it at face value.

The order book is allowed to lie to you.

The book is standing intentions

The order book is the queue of orders waiting to trade: bids stacked below the current price, asks stacked above it. Every level says “at this price, this much is waiting”. Unlike the tape, which records what already happened, the book displays what people say they intend to do. That word “say” is doing a lot of work, and the rest of this page is about why.

Imbalance is weight on one side

Book imbalance measures which side is heavier. When far more size rests on the bids than on the asks, the book is tilted bid-heavy, and the reading goes positive. Tilted the other way, it goes negative. The intuition is simple: a wall of waiting buyers below price looks like support, and a wall of waiting sellers above looks like a ceiling. It is a snapshot of displayed intent, updated continuously.

Displayed size can be theater

Here is the trap: resting orders cost nothing to place and nothing to cancel. A large bid can sit there to look like support and vanish the moment price approaches it. Spoofing exists, and even honest orders get pulled when conditions change. So a tilted book is a claim, not a commitment.

Read the value with its percentile, then count

That is why EdgeDepth shows the imbalance value together with its percentile against that market’s own history: a tilt that would be extreme on one market is background noise on another. And rather than trusting the tilt, we count what actually followed heavily tilted books, forward, every match included.

Displayed size is not a commitment. Orders can be pulled the moment price gets close, so we treat imbalance as a reading to test, not a promise to trust.

For how this reads on the terminal itself, see DOM ladder & time and sales.

See it live

See extreme book tilts counted on live markets.