16 July, 2016

Stacked Imbalances

Rationale & Trading Techniques

High volume traders seeking to enter or exit a position at a price level are unlikely to be able to fill their order at a single price. When a high volume trader is accumulating or distributing a position of many hundreds or thousands of contracts, the market is likely to experience multiple buying or selling imbalances at consecutive price levels. The Stacked Imbalances indicator highlights this condition by drawing a zone from these price levels. The zone is colored according to the Buy/Sell signal color setting based upon whether the multiple Stacked Imbalances are buying or selling imbalances. The corresponding zone provides a good indication of support/resistance created by the high volume traders and allows for low risk entries in the knowledge that one is trading in the same direction as the market’s high volume traders.


Examples

This example highlights how behaviour of price within the zone formed by the Stacked Imbalance price levels is an important trading consideration. Note how the Stacked Imbalance formed within the 5:55:59 price bar revisited its upper and lower extremes within the next price bar and price did not continue to fall, however, the Stacked Imbalance upper and lower extremes formed earlier at 5:38:20 held when later retested and were confirmed at 8:11:13 with another Stacked Imbalance and price fell further:

Stacked Imbalance Forward Projection Zone - Emoji Trading Order Flow Suite

 


Stacked Imbalances 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.
Imbalance % The percentage level used for diagonal bid/ask volume imbalance calculations.
Extend Zone Until Future Intersection? Select whether Extension Lines are enabled/disabled for the highest and lowest Stacked Imbalance price levels.
Extension Line Label Text indicator for the Extension Lines.
Forward Projection Zone The number of bars forward from the bar in which the Stacked Imbalances occurred that a Forward Projection Zone will be drawn.
Minimum Adjacent Levels How many consecutive imbalance price levels are required to 

Indicator Subgraphs

Subgraph ID Subgraph Description
SG1 Bid Imbalance High Price Use in conjunction with SG2 to highlight the highest and lowest Stacked Imbalance bid price levels. Follow this link for the Sierra Chart Notes about Top and Bottom Draw Style Pairs
SG2 Bid Imbalance Low Price Use in conjunction with SG2 to highlight the highest and lowest Stacked Imbalance bid price levels. Follow this link for the Sierra Chart Notes about Top and Bottom Draw Style Pairs
SG3 Bid Imbalance Zone Extension Line Use to set the drawing properties for the Extensions Lines drawn from the Stacked Imbalance bid prices. 
SG4 Ask Imbalance High Price Use in conjunction with SG5 to highlight the highest and lowest Stacked Imbalance ask price levels. Follow this link for the Sierra Chart Notes about Top and Bottom Draw Style Pairs
SG5 Ask Imbalance Low Price Use in conjunction with SG4 to highlight the highest and lowest Stacked Imbalance ask price levels. Follow this link for the Sierra Chart Notes about Top and Bottom Draw Style Pairs
SG6 Ask Imbalance Zone  Extension Line Use to set the drawing properties for the Extensions Lines drawn from the Stacked Imbalance ask prices.