QueueImbalance

Description

QueueImbalance is the L1 order-book (queue) imbalance,

(bid_size - ask_size) / (bid_size + ask_size),

in [-1, 1]. It is positive when more size rests on the bid than the ask (buy pressure) and negative when the ask is heavier. It is one of the most widely used short-horizon predictors: a heavy bid queue tends to precede an up-move. Feed the resting sizes at the top of book: QueueImbalance(bid_size, ask_size). An empty book (both sizes 0) has no imbalance and returns 0.

QueueImbalance is a documented synonym of OFI: the same normalized-imbalance operator, applied to resting queue sizes rather than to trade flow.

Examples

Usage plot

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

rng = np.random.default_rng(2)
n = 200
wave = np.sin(np.linspace(0, 4 * np.pi, n))
bid_size = np.abs(rng.standard_normal(n)) + 1 + 2 * wave.clip(0)
ask_size = np.abs(rng.standard_normal(n)) + 1 + 2 * (-wave).clip(0)
imbalance = QueueImbalance()(bid_size, ask_size)

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=bid_size, name='bid size', marker_color='seagreen'), row=1, col=1)
fig.add_trace(go.Bar(y=-ask_size, name='ask size', marker_color='crimson'), row=1, col=1)
fig.add_trace(go.Scatter(y=imbalance, name='queue imbalance', line=dict(color='navy')),
              row=2, col=1)
fig.update_layout(barmode='relative',
                  title='QueueImbalance: L1 book pressure in [-1, 1]',
                  yaxis=dict(title='resting size'), yaxis2=dict(title='imbalance', 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()