11 July, 2016

Massive Imbalance

Rationale & Trading Techniques

While bid/ask imbalances show us when, and the price levels at which the buy or sell side of the market are relatively more dominant, there can be times when unusually large volumes will trade at a price level and by virtue of their size, will form price floors or ceilings. As with other significant price levels (e.g. overnight and daily highs and lows, initial balances, value areas, longer-term moving averages), massive bid/ask imbalances also represent prices to watch as the market’s behaviour at these level will guide us towards continuation or rejection.

The Massive Imbalance indicator enables Forward Projection Zone and Extension Lines to be drawn and colored according to whether the Massive Imbalance occurred at the bid or ask.


Examples

20 January 2017 – ESH7 – E-mini S&P 500

In this example, the volume threshold for massive bid/ask imbalances was set at 7500. This volume traded on the ask at 2260 during the closing minutes of the 19 January RTH session. As price made new lows during the morning of 20 January, this level provided initial support. The emoji trading Order Flow Suite’s ability to Extend Until Future Intersection allows market-generated support/resistance levels that may otherwise never be considered to be retained on charts aiding setting of targets and evaluation of risk/reward.

Massive Imbalance Level 1 - Emoji Trading Order Flow Suite Massive Imbalance Level 2 - Emoji Trading Order Flow Suite

 


Massive Imbalance Settings


Input Name Description
Enable Zero Diagonal Comparison? This input determines whether price levels where zero volume traded at the bid or ask (including the highest and lowest prices in within the bar) are evaluated for imbalance calculations.
Percentage Threshold The percentage threshold at or above which a Massive Imbalance will be displayed. Set to 0 to only evaluate based upon a Volume Threshold (see below). A Massive Imbalance is displayed if either the Percentage or Volume thresholds are breached.
Volume Threshold The volume threshold at or above which a Massive Imbalance will be displayed. Set to 0 to only evaluate based upon a Percentage Threshold (see above). A Massive Imbalance is displayed if either the Percentage or Volume thresholds are breached.
Extend Until Future Intersection? Select whether Extension Lines are enabled/disabled for each price level at which a Massive Imbalance has been encountered.
Extension Line Label Text indicator for the Extension Lines.
Forward Projection Zone The number of bars forward from the bar in which the Massive Imbalance occurred that a Forward Projection Zone will be drawn.

 


Indicator Subgraphs

ID Subgraph Description
SG1 Lowest Massive Imbalance Bid Price The lowest price level within the bar at which Massive Imbalance volume transacted at the bid. Provided to support the development of automated spreadsheet and ACSIL trading systems.
SG2 Highest Massive Imbalance Bid Price The highest price level within the bar at which Massive Imbalance volume transacted at the bid. Provided to support the development of automated spreadsheet and ACSIL trading systems.
SG3 Massive Imbalance Bid Extension Line Used to set the drawing properties for the Massive Imbalance bid price Extension Line and Forward Projection Zone.
SG4 Lowest Massive Imbalance Ask Price The lowest price level within the bar at which Massive Imbalance volume transacted at the ask. Provided to support the development of automated spreadsheet and ACSIL trading systems.
SG5 Highest Massive Imbalance Ask Price The highest price level within the bar at which Massive Imbalance volume transacted at the ask. Provided to support the development of automated spreadsheet and ACSIL trading systems.
SG6 Massive Imbalance Ask Extension Line Used to set the drawing properties for the Massive Imbalance ask price Extension Line and Forward Projection Zone.