Order-book imbalance

Signed top-of-book quantity imbalance; positive values favor bids.

Observed: read at the minute itself
Unit: ratio
Valid range: -1 to 1

In plain English

Compares the displayed quantity at the best bid with the quantity at the best ask. This is a snapshot of the two nearest quotes, not the depth of the whole order book.

How to read it

The signed ratio is (bid quantity - ask quantity) / their sum. Zero means equal quantities; +0.5 means three times as much at the best bid as at the best ask. Negative values favor asks. It uses the last valid quote without smoothing and is absent until one exists.

Constructed example · not historical data

Three at the bid, one at the ask

Best-quote quantity: 3 bid + 1 ask75% bid share

The filled portion is bid quantity; the rest is ask quantity. Imbalance = (3 - 1) / (3 + 1) = +0.5. A 75% bid share is a +0.5 imbalance, not +0.75.

Why a researcher might use it

Separate bid-heavy and ask-heavy snapshots, then compare their recorded outcomes alongside spread and executed taker flow.

What it does not prove

Displayed orders can change or be cancelled. This reading does not establish buyer intent, available depth beyond the best quotes, or the direction of the next price move.

Use in Research

Technical details

Field ID

feature.book_imbalance

Valid query operators

at least, at most, between

Window operators: lowest, highest, average, latest or change in, over a trailing window.

Editable query preset

This preset is a starting point, not a recommendation. Edit it before running the search.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.book_imbalance",
        "gte",
        0.5
      ],
      [
        "times.anchor_time",
        "gte",
        "2025-07-15T00:00:00.000Z"
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 5,
    "cursor": null
  }
}

The search reports how often the record held this condition and what followed. It does not decide whether an idea works.