Order Flow and Imbalance
Order flow records additions, removals, and trades. Imbalance compresses selected state or events into a directional statistic whose meaning is horizon- and venue-dependent.
Central questions
- Which events count as buying or selling pressure?
- Does the statistic use displayed depth, trades, or order-flow changes?
- Over what horizon does any predictive relationship persist?
Planned model
Construct several imbalance measures from one event stream and compare their response to additions, cancellations, executions, and spoof-like transient depth.