OFI

Description

OFI is the order-flow imbalance: the net of buy-aggressor and sell-aggressor volume, normalized by their total. It lives in [-1, 1], is positive when buyers lift the offer more than sellers hit the bid, and is 0 on an empty bucket.

Order-flow imbalance is the standard short-horizon driver of price: over a bar it explains a large share of the price change (see RollingKyleLambda). Feed OFI(buy_volume, sell_volume) as a signal, or pair it with returns to estimate price impact. References: Cont, Kukanov, Stoikov (2014), "The price impact of order book events".

Examples

Usage plot

import numpy as np
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from screamer import OFI

rng = np.random.default_rng(4)
n = 200
wave = np.sin(np.linspace(0, 4 * np.pi, n))          # slow shift in pressure
buy = np.abs(rng.standard_normal(n)) + 1 + 2 * wave.clip(0)
sell = np.abs(rng.standard_normal(n)) + 1 + 2 * (-wave).clip(0)
ofi = OFI()(buy, sell)

fig = make_subplots(rows=2, cols=1, shared_xaxes=True, row_heights=[0.55, 0.45],
                    vertical_spacing=0.08)
fig.add_trace(go.Bar(y=buy, name='buy volume', marker_color='seagreen'), row=1, col=1)
fig.add_trace(go.Bar(y=-sell, name='sell volume', marker_color='crimson'), row=1, col=1)
fig.add_trace(go.Scatter(y=ofi, name='OFI', line=dict(color='navy')), row=2, col=1)
fig.update_layout(barmode='relative',
                  title='OFI: order-flow imbalance in [-1, 1]',
                  yaxis=dict(title='volume'), yaxis2=dict(title='OFI', range=[-1, 1]),
                  margin=dict(l=20, r=20, t=60, b=20), legend=dict(orientation='h', yanchor='bottom', y=1.02, xanchor='right', x=1))
fig.show()