Imbalance (bid/ask imbalance)

An imbalance is a footprint cell where the volume on one side of the market exceeds the volume on the opposing side by a configured ratio, most commonly compared diagonally: the ask volume at one price against the bid volume one tick below. It marks a price where aggressive buyers or sellers dominated, and it describes executed volume rather than resting orders.

Senzoukria · Glossary · Updated September 2026

What the comparison actually measures

A footprint cell carries two numbers per price: the volume that traded at the bid (aggressive sellers hitting bids) and the volume that traded at the ask (aggressive buyers lifting offers). An imbalance test compares those two quantities and flags the cell when one side crosses a multiple of the other. Because it is computed from executed trades, an imbalance is a record of aggression that already happened, not a resting limit order waiting in the book.

Two conventions exist for which two numbers get compared. The diagonal convention, used by ATAS and by Senzoukria, compares the ask at price P with the bid at P minus one tick for a buy imbalance, and the bid at P with the ask at P plus one tick for a sell imbalance. The vertical convention, used in Sierra Chart Numbers Bars by default, compares bid and ask on the same row. The two produce different flags on the same bar, so a chart should always state which one it uses.

  • Buy imbalance: ask(P) is at least k times bid(P − 1 tick), and ask(P) clears a minimum quantity.
  • Sell imbalance: bid(P) is at least k times ask(P + 1 tick), and bid(P) clears the same minimum.
  • No buy check is made on the lowest row of a bar and no sell check on the highest row, because the diagonal neighbour does not exist there.
  • A zero on the compared side has no finite ratio; it is handled by the minimum-quantity guard rather than presented as an infinite imbalance.

Reading an imbalance in context

  • One isolated imbalance says a single price was won by one side. It is a data point, not a setup.
  • Several flagged levels in a row in the same direction form stacked imbalances, the pattern most guides mean by initiative.
  • An imbalance that runs into a level where price then stops is more informative than the imbalance alone; read it together with absorption and delta.
  • Imbalances depend on the price grouping. Regrouping four ticks into one row changes which diagonals exist and which cross the threshold, as the NQ and MNQ settings guide shows.

In Senzoukria

On the footprint chart, imbalances are coloured directly in the cells. The cell colouring is configured from the Indicators menu, under the Cell coloring (global) section of the Stacked Imbalances entry: Rate, stated in percent (default 200 %), Vol filter (default 30) and Min diff (default 10), plus an Ignore zero toggle. Those cell settings stay active even when the Stacked Imbalances overlay itself is switched off. Two catalog indicators count them per bar in the Tape & flow group: Diagonal Imbalances, which counts flags and lets one level carry both a buy and a sell flag, and Imbalance Levels, which counts distinct imbalanced price levels. Both default to a ratio k of 3 (the same test as a rate of 300 %) and a minimum quantity of 10, and both return no value when the tick size of the instrument is unknown, since a diagonal comparison needs the instrument's price grid.

The stacked variants are covered in the stacked imbalances entry. Market data is billed by your data provider; the software computes the flags from the bid × ask feed it receives.

Common mistakes

  • Flagging imbalances with no minimum-volume floor, so a 3-against-1 comparison on tiny size counts as much as a 300-against-100 one.
  • Treating an imbalance zone as if it were an unfilled limit order that will be defended on a revisit.
  • Comparing charts that use the diagonal and the vertical convention without labelling them.
  • Carrying a ratio tuned on one contract to another one with a different queue depth.

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Frequently asked questions

Is an imbalance a buy or a sell signal?
It is neither on its own. An imbalance records that one side of the market was more aggressive at a specific price during a specific bar. Whether that aggression continues, gets absorbed or reverses is a separate observation that needs the following bars, the delta and the surrounding levels. Treat a single imbalance as a description, not an instruction.
Why does my chart show far fewer imbalances than a friend's on the same market?
The three settings that decide the count are the ratio threshold, the minimum quantity and the price grouping in ticks per row. A vertical versus diagonal convention also changes which cells qualify. Two charts with different values for any of these will flag different cells even on the same feed and the same bars, so compare settings before comparing pictures.
What happens when the compared side is zero?
A ratio with a zero denominator is undefined, so the cell cannot be called a 300 percent or 100 percent imbalance. Senzoukria handles this with the minimum-quantity guard: the flagged side must still clear the minimum, and the empty diagonal is not promoted to an infinite ratio. Other platforms may exclude or specially mark such cells; check the convention rather than assuming.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.