Imbalance ratio (threshold)

The imbalance ratio is the multiple by which one side's volume must exceed the compared side's volume for a footprint cell to be flagged as an imbalance; a ratio of 3 means the dominant side must be at least three times the other. It is a display convention chosen by the trader, not a property of the market, and it interacts with the minimum quantity and the price grouping.

Senzoukria · Glossary · Updated September 2026

Definition and the two companions

The ratio is one of three settings that decide whether a cell is flagged. The test is: dominant side ≥ k × compared side, and dominant side ≥ minimum quantity. The third setting, ticks per row, decides which volumes are summed into each cell before the test runs. Change any of the three and the set of flagged cells changes; keep all three fixed across a sample before drawing conclusions from it.

  • Ratio k: the multiple. A value of 3 is the common default and the one used in Senzoukria's catalog.
  • Minimum quantity: an absolute floor on the dominant side, which stops thin cells and zero-denominator cases from qualifying.
  • Ticks per row: the grouping. Summing four levels into one row before comparing is a different test from comparing single ticks.

Why one ratio does not travel between contracts

Contracts with different queue behaviour produce different per-level distributions. Where a book concentrates size at each price, the denominator of the ratio is large and the test fires rarely. Where levels are thinner, the same ratio fires constantly on small absolute numbers. The NQ and MNQ guide makes this point for a ratio tuned on ES: the two contracts are separate books at different index levels, with no reason to carry the same size per level, so transferred settings can flag far too many cells or almost none.

The minimum quantity is what keeps the ratio honest. Without a floor, a 3-against-1 comparison and a 300-against-100 comparison have the same ratio and the same flag. With a floor stated in contracts of the product being traded, the ratio only fires on cells that carry enough size to be worth reading.

In Senzoukria

The ratio is exposed as Ratio k on every imbalance-based indicator: Diagonal Imbalances, Imbalance Levels, Stacked Imbalances and Stacked Imbalance. Each pairs it with Min qty. The defaults, k = 3 and a minimum of 10, are the values documented in the catalog formulas. The footprint cell colouring uses its own settings in the Indicators menu, where the threshold is a Rate in percent (default 200 %) with a Vol filter and a Min diff; a rate of 300 % is the same test as k = 3. The Imbalance Levels indicator counts a level once even when it carries both a buy and a sell flag, which makes it a count of imbalanced prices rather than of flags. Because the software tags nothing without the instrument's tick size, the ratio has no effect on a series whose grid is unknown.

Re-deriving a threshold instead of importing one

  • Fix the contract, the session definition and the ticks per row first; the ratio is the last thing to set.
  • Look at the distribution of per-level volume on a normal session before choosing a floor, and state the floor in contracts of that product.
  • Restate both settings when switching between an E-mini and its Micro; the tick grid is shared but the sizes are not comparable.
  • Record the settings next to any observation you keep, so two sessions are never compared under different tests.

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Frequently asked questions

Is 3:1 the correct imbalance ratio?
It is the customary default, including in Senzoukria's indicators, and it is a reasonable starting point on many futures. It is not a market constant. The same ratio fires with very different frequencies on ES, NQ and a crypto perpetual because per-level size differs, so the ratio and its minimum quantity should be reviewed per contract and per price grouping.
Should I raise the ratio or the minimum quantity when the chart is full of flags?
Usually the minimum quantity. A chart covered in imbalances is most often flagging small absolute numbers that pass a ratio test easily. Raising the floor removes those cells without hiding the large ones. Raising the ratio instead can suppress a genuine 250-against-100 event while still letting a 3-against-1 cell through.

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