These settings are used to control how diagonal bid/ask imbalances are identified in Order Flow Suite indicators that consider Aggression.
The Footprint candlestick illustrated displays buy imbalances by colouring the ask volume in green and sell imbalances by colouring the bid volume in red. This example comes from a chart using the default Minimum Diagonal Bid/Ask Imbalance % setting of 400% with no Minimum Volume or Minimum Bid/Ask Delta thresholds. There are three imbalances:
- two green buy imbalances: 84 ÷ 20 = 420%; 15 ÷ 1 = 1500%
- and one red sell imbalance: 243 ÷ 51 = 476%
The minimum percentage difference between diagonal bid/ask price levels necessary to qualify as an imbalance.
If this setting was changed to 421%, the buy imbalance of 84 contracts vs. 20 (420% imbalance) would disappear.
When this Input is set to Yes, then diagonal comparisons against values of 0 are performed by treating the 0 as a value of 1.
Additionally, this setting also allows the bid price at the highest price level in a bar to be compared to 0 (treated as 1) when a diagonal comparison/calculation is being done and the ask price at the lowest level in a bar will similarly be compared to 0 (treated as 1) when a diagonal comparison/calculation is being done.
The default value for this input is No.
Specifies the minimum volume necessary for an imbalance that meets the Minimum Diagonal Bid/Ask Imbalance % to qualify.
In the illustration, setting this input to 85 would cause the two buy imbalances to disappear. Setting this input to 16 would cause only the 84 contract imbalance to disappear.
Specifies the minimum diagonal bid/ask volume difference necessary for an imbalance that meets the Minimum Diagonal Bid/Ask Imbalance % to qualify.
In the illustration, setting this input to 65 would cause the two buy imbalances to disappear (84 – 20 = 64; 15 – 1 = 14). Setting this input to 15 would cause only the 15 contract imbalance to disappear.