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Orderbook Imbalance Scorecard
Measures the relative strength of buy vs sell pressure in the L2 orderbook within 1% of the mid-price.
Signal Quality
| Period | Accuracy | Samples | Significance |
|---|---|---|---|
| 7d | 64% | 2,016 | ✅ Significant |
| 30d | 62% | 8,640 | ✅ Significant |
| 90d | 61% | 25,920 | ✅ Significant |
Calibration: Signal designed for 5m–1h horizons. Accuracy measured as hit rate when |imbalance| > 0.3 predicts next-bar direction.
Current Reading
Current Value
0.1128
alpha_imbalance_deep
Methodology Version
v2.1 (2025-12)
Current reading vs 30-day rolling distribution.
24h History
500 data points · alpha_imbalance_deep
Strengths & Weaknesses
✅ Strengths
- Strong in trending markets
- Good at detecting spoofing pressure
- Fast update (sub-second)
Best regime: risk-on
⚠️ Weaknesses
- Noisy in low-volume periods
- Susceptible to spoofing
- Less reliable for >4h horizons
Worst regime: neutral (low volume)
Methodology Changelog
| Date | Version | Change |
|---|---|---|
| 2025-12 | v2.1 | Added deep-book levels (20→50) and volume weighting |
| 2025-08 | v2.0 | Switched from simple ratio to depth-weighted imbalance |
| 2025-03 | v1.0 | Initial launch with L2 orderbook 10-level depth |
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