The Imbalance High Low study monitors volume at price data and checks for user defined Buy and Sell imbalance conditions at the lowest and highest prices within each chart bar, up to 5 buy side imbalance and 5 sell side imbalance levels can be displayed per chart bar.
For the purposes of this study, imbalance is defined as volume at a price level within a single chart bar, exceeding all of the following parameters: Minimum Volume at Price Threshold; Minimum Bid / Ask Difference; and Minimum Imbalance %. If the Ask Volume at Price is greater than the Bid Volume at Price then a Buy Side Imbalance is said to have occurred, whereas if Bid Volume at Price is greater than Ask Volume at Price then a Sell Side Imbalance is said to have occurred.
Note: When comparing Ask and Bid volumes a diagonal comparison is performed, i.e. the Bid Volume at price is compared to the next highest Ask Volume at price.
This study only checks for buy side imbalances at the lowest price levels and sell side imbalances at the highest price levels within each chart bar.
In addition to displaying markers at imbalance price levels, the study also display a marker above and/or below the chart bar to indicate whether buy and/or sell side imbalances have been detected within the chart bar.
Note:
- This study can only be used on charts with a chart data type of ‘Intraday Chart‘
- It is recommended to use ‘Intraday Data Storage Time Unit‘ setting ‘1 Tick’
Inputs
Defines the minimum volume required for a chart bar to be evaluated for imbalance at price conditions..
- Min: 0
- Max: 1000000
Symbol Offset (In:2)
Defines the offset, in ticks, from the bar high/low at which to display the imbalance supply / demand symbols.
- Min: 0
- Max: 10
Defines the number of price levels at the high and low over which to check for imbalance conditions. The number of levels checked will always be the lesser of ‘Price Levels to Check’ and ‘price levels per chart bar / 2’.
- Min: 1
- Max: 5
Minimum Volume at Price (In:4)
Defines the minimum total volume required at a price level within a chart bar before that price level is evaluated further.
- Min: 0
- Max: 1000000
Minimum Bid/Ask Difference (In:5)
Defines the minium difference between ask and bid volume required at a price level within a chart bar before that price level is evaluated further.
- Min: 0
- Max: 1000000
Minimum Imbalance % (In:6)
Defines the minimum dominant side volume, expressed as a percentage of the non-dominant side, that is required at a price level within a chart bar for that level to be considered as an imbalance.
- Min: 101
- Max: 1000
Enable Zero Bid/Ask Compare (In:7)
Defines whether a comparison is made when either Ask or Bid volume is zero. When enabled, for the purposes of the imbalance calculation, 1 is substituted for 0, otherwise no comparison is made and the level is skipped.
Days to Calculate (In:8)
Defines the number of days over which the study is calculated, can be used to reduce the initial study calculation time when many days worth of data is loaded into the chart but this study is only required to be shown on the most recent days.
- Min: 0 (in which case all loaded bars are evaluated during the study calculation)
- Max: 1000000
Subgraphs
Default: Triangle Up
Defines the subgraph draw style properties used for Imbalance Demand Symbol Subgraph
Displays a symbol at / below the bar low if a buy side imbalance is detected within the specified price levels at/near the chart bar low price.
Imbalance Supply Symbol (SG2)
Default: Triangle Down
Defines the subgraph draw style properties used for Imbalance Supply Symbol Subgraph
Displays a symbol at / above the bar high if a sell side imbalance is detected within the specified price levels at/near the chart bar high price.
Sell Imbalance High 1 (SG3)
Sell Imbalance High 2 (SG4)
Sell Imbalance High 3 (SG5)
Sell Imbalance High 4 (SG6)
Sell Imbalance High 5 (SG7)
Default: Transparent Left Side Tick Size Rectangle
Defines the subgraph draw style properties used for Sell Imbalance High Subgraphs (sell imbalance at / near bar high)
Note: The draw style, color and size properties are automatically copied from subgraph 3 to subgraphs 4-7.
Displays the imbalance selling levels within each chart bar, price levels are evaluated starting from the bar high price.
Buy Imbalance Low 5 (SG8)
Buy Imbalance Low 4 (SG9)
Buy Imbalance Low 3 (SG10)
Buy Imbalance Low 2 (SG11)
Buy Imbalance Low 1 (SG12)
Default: Transparent Right Side Tick Size Rectangle
Defines the subgraph draw style properties used for Buy Imbalance Low Subgraphs (buy imbalance at / near bar low)
Note: The draw style, color and size properties are automatically copied from subgraph 12 to subgraphs 11-8.
Displays the imbalance buying levels within each chart bar, price levels are evaluated starting from the bar low price.
