Definition
#Measures the balance of aggressive notional flow in the current rolling window by comparing buy-side and sell-side taker volume. Positive values indicate buy-side dominance, while negative values indicate sell-side dominance.
Formula & calculation
#((Buy Volume - Sell Volume) / (Buy Volume + Sell Volume)) × 100Units & range
%. Ranges from -100% to +100%.
Interpretation
#Values near
+100% mean nearly all aggressive flow is buy-side. Values near -100% mean nearly all aggressive flow is sell-side. Values near zero indicate a more balanced flow mix.Practical usage
#Useful for filtering windows where one side of aggressive flow clearly dominates. Best used together with total volume or z-score filters so a strong imbalance on tiny notional does not create false conviction.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating a high imbalance value as meaningful without checking whether total volume is large enough.
- Assuming imbalance alone guarantees directional continuation.
Timeframe note
#This metric applies to rolling windows such as 5m, 15m, and 60m. The underlying definition stays the same; what changes is the time horizon used to measure it. Shorter windows react faster, while longer windows smooth noise and emphasize broader structure.
5m
Faster response to fresh changes in activity and short-horizon structure.
15m
Balanced view between responsiveness and persistence.
60m
Broader context that is slower but more stable.