Imbalances and unfinished business

The footprint lets you compare buying and selling at each price, not just per bar. Two patterns fall out of that comparison and appear in nearly every order flow platform: imbalances (one side heavily outweighs the other at a price) and unfinished business (heavy trade at the very extreme of a bar). This lesson defines both precisely so that when your platform highlights them you know what the highlight means and what it does not.

The diagonal comparison

Buyers lift the ask at a price. Sellers hit the bid one tick lower. So the fair comparison is not the bid and ask volume in the same row, but the ask volume at a price against the bid volume one tick below, because that is where the two sides actually meet.

  Price   |  Bid  x  Ask
  --------+---------------
  5002.50 |   40  x  310   <- compare 310 (ask here)
  5002.25 |   35  x  280      with 35 (bid one tick lower): 310 / 35 = 8.9x
  5002.00 |  120  x  260   <- 260 / 90 = 2.9x
  5001.75 |   90  x  140
  5001.50 |  200  x   30   <- bid 200 vs ask one tick higher 140: 200 / 140 = 1.4x
  5001.25 |  180  x   25

A buy imbalance at a price is ask volume divided by the bid volume one tick below, above some ratio. A sell imbalance is bid volume divided by the ask volume one tick above, above the ratio. The usual threshold is 3:1 or 4:1, with a minimum volume filter so that 6 versus 1 does not count.

In the bar above, with a 3:1 threshold and a minimum of 30 contracts: 5002.50 (8.9×) and 5002.25 (280 ÷ 120 = 2.3×, so no) give one buy imbalance at 5002.50. Some platforms count 5002.00 (260 ÷ 90 = 2.9×) as borderline. There is no sell imbalance at 3:1.

What a single imbalance means

One imbalance means that at that price, in that bar, aggressive buyers outnumbered aggressive sellers one tick lower. Read that carefully: both numbers are aggression. An imbalance says nothing about the passive side, and it is the passive side that decides whether the aggression moved price.

A buy imbalance where price rose: aggression worked. A buy imbalance where price fell in the same bar: buyers were aggressive and got absorbed, and are now trapped. The imbalance alone does not distinguish them; the close of the bar does.

Stacked imbalances

Three or more consecutive imbalances on the same side are more meaningful than one, because sustained aggression across prices is harder to absorb than aggression at one price.

  Price   |  Bid  x  Ask    | Buy imbalance?
  --------+-----------------+----------------
  5003.00 |   20  x  190    |  190 / 45  = 4.2x  yes
  5002.75 |   45  x  220    |  220 / 50  = 4.4x  yes
  5002.50 |   50  x  240    |  240 / 60  = 4.0x  yes
  5002.25 |   60  x  130    |  130 / 110 = 1.2x  no
  5002.00 |  110  x  120    |

Three stacked buy imbalances from 5002.50 to 5003.00. Traders use stacked imbalances in two ways: as evidence that the move has initiative behind it (continuation), and as a zone where, if price later returns and holds, the aggressive buyers may defend (support). Neither is guaranteed. The most reliable use is the simplest: a stacked-imbalance zone that price later falls straight through, with no defence, is evidence that those buyers were absorbed and are now exiting. That is a trap, and it often accelerates.

Key idea: An imbalance compares aggression against aggression on the diagonal. It tells you one side pushed harder at that price. Whether the push worked is told by the bar's close, not by the imbalance.

Unfinished business

Look at the very top and bottom rows of a footprint bar.

  Finished (auction complete)    Unfinished (auction incomplete)
  5003.00 |   6 x   0             5003.00 |  80 x  95
  5002.75 |  40 x  30             5002.75 |  60 x 110
  5002.50 |  90 x 120             5002.50 |  90 x 120

In the left bar, at the high of 5003.00, six contracts traded on the bid and zero on the ask. Buyers stopped lifting: the auction reached a price where nobody would buy, and reversed. That extreme is "finished." The market tested it and found no buyers.

In the right bar, 80 sold and 95 bought at the very high, and then the bar ended. The auction was still two-sided at the extreme; it was not rejected, it just ran out of bar. That is "unfinished business," and the conventional expectation is that price returns to that extreme, often soon, to finish the auction there.

The pattern is a modest one. Unfinished highs get revisited often but not always, and the revisit can be a tick or an hour away. It is most useful as a tie-breaker: if you are unsure whether a high will hold, a finished extreme (zero on the ask side at the very top) is a real rejection; an unfinished one is not.

Putting the two together

A common sequence at a turning point:

1. Stacked buy imbalances push price to a new high.
2. The high is finished: a tiny ask volume on the top row.
3. The next bar closes below the stacked-imbalance zone.
4. Price returns to the zone, nobody defends it, and it drops through.

Each step on its own is weak. Together they say: aggressive buyers pushed, ran out of buyers at the extreme, were absorbed, and are now trapped above. That is a short with a stop above the finished high.

Try it: Set your footprint's imbalance threshold to 3:1 with a minimum of whatever a "large" print is on your product. Over one session, mark every stacked imbalance of three or more. For each, note whether price continued in that direction for the next three bars, and whether the zone was later revisited and defended. Count the outcomes. Your numbers will be more useful to you than anyone else's claims.

Recap

• Imbalances compare ask volume at a price with bid volume one tick lower (the diagonal), usually at 3:1 or more with a minimum volume.
• An imbalance measures aggression against aggression; whether it worked is shown by the bar's close.
• Stacked imbalances (three or more) mark sustained aggression; if later revisited without defence, the aggressors are trapped.
• A finished extreme has near-zero volume on the aggressive side of the top or bottom row; it is a real rejection.
• Unfinished business is heavy two-sided trade at an extreme; the expectation is a revisit.