Queue imbalance (QI)

Queue imbalance (QI) is a signed number between −1 and +1 that compares the size resting at the best bid with the size resting at the best ask: QI = (bid size − ask size) / (bid size + ask size). Positive values mean a heavier bid queue, negative values a heavier ask queue.

Senzoukria · Glossary · Updated September 2026

Definition

Queue imbalance takes the two numbers at the top of the DOM, the resting size at the best bid and the resting size at the best ask, and compresses them into one signed ratio. With 40 bid and 10 offered, QI = (40 − 10) / (40 + 10) = +0.6. With equal queues it is 0; with all size on the ask it is −1. It is a snapshot: it says which way the book leans right now, not how the book has been changing.

Snapshot versus flow

QI is often shown next to OFI, and the pair is easy to confuse. QI is the state of the best level at an instant. OFI is the accumulated change of the book over an interval, usually across several levels. A book can have a strongly positive QI while OFI is falling: the bid queue is still larger, but it is being pulled. Reading both together is where the information is.

  • QI positive and OFI positive: the bid is heavier and getting heavier.
  • QI positive and OFI negative: the bid is heavier but thinning; the lean may not last.
  • QI near zero: a balanced best level; queue signals carry little at that moment regardless of OFI.

The limit of the reading

Gould and Bonart (2016) found on large-tick stocks that the sign of QI carries out-of-sample information about the direction of the next mid-price move. The mechanism is mostly mechanical: a thin queue empties before a thick one. That is one tick of information, subject to the spread and to queue position, and it is not by itself a tradable edge. Its practical use is as a read of whether the book agrees with a trade taken at a level chosen for other reasons.

In Senzoukria

QI is the first number of the QI / OFI gauge in the Microstructure (quant) indicator, in the Quant models group of the indicators panel. The gauge is toggled with the QI / OFI gauge switch and can be shown without the micro-price line. Colouring uses a ±0.15 dead zone so that a balanced book reads as no signal instead of flickering between green and red. QI uses the best level only, whatever the OFI levels parameter is set to. A live best bid and ask size from the feed is required.

Common mistakes

  • Treating a large positive QI as a buy signal for the next several points; it concerns the next tick.
  • Ignoring queue position. A heavy bid you are at the back of does not fill you before it is consumed.
  • Reading QI on an instrument with a wide spread, where the best level is a small part of the picture.
  • Confusing it with the footprint imbalance, which is built from executed volume, not resting size.

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Frequently asked questions

Does queue imbalance use several levels of the book?
In its standard form, no: QI is defined at the best bid and best ask only. Multi-level extensions exist, but the value shown in the QI / OFI gauge in Senzoukria is the best-level ratio, while the OFI beside it integrates the configured number of levels.
Why does the gauge stay grey most of the time?
The dead zone of ±0.15 keeps small leans neutral on purpose. A book that is only slightly heavier on one side flips constantly, and colouring every flip would produce noise rather than a reading. The tint appears only when the lean is clear.

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