Order Book Imbalance as a Market Sentiment Signal

Summary

This document describes a market sentiment indicator that classifies conditions as bullish or bearish using limit order book data on centralized markets. Its inputs include minimum qualifying order volume, minimum order count, and thresholds for differences between buy and sell order volumes and counts. These settings determine how much imbalance is needed before the indicator signals a directional sentiment.

Key ideas

• The indicator infers bullish or bearish sentiment from limit order book imbalances.
• Users can set minimum thresholds for order volume and order count.
• Separate thresholds compare the volume and number of sell orders with those of buy orders.
• The indicator is intended for centralized markets and should be interpreted alongside the prevailing trend.
• Its default configuration targets RTS futures, while the supplied parameters are for Brent and are also described as suitable for RTS.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.