In plain language
Imbalance means a difference between two quantities. In trading, the word is incomplete until the compared data are named.
Three different uses
In a footprint it may be a ratio between buy- and sell-classified volume at a level. In an order book it can compare displayed bid and ask quantity. In an auction it describes buy or sell orders left unmatched at a reference price. These measures are not interchangeable.
Calculation and threshold
Delta, diagonal ratio, percentage, included levels, and window depend on the platform or feed. Auction venues publish their own fields and rules. Without a formula, timestamp, and universe, two “imbalance” labels may describe different phenomena.
What it does not prove
An imbalance observes the sample's state or flow, not its future. An imbalance alone does not prove subsequent direction, manipulation, or intent: orders may trade, appear, or cancel, and price may encounter opposing liquidity.
Sources
- TradingView, Volume footprint charts: a complete guide — Documents buy/sell volume, delta, and imbalance highlighting in footprints.
- NYSE, Order Imbalances — Defines real-time publication of buy and sell imbalances during auctions.
- CME Group, Understanding the CME Liquidity Tool Methodology — Lists prices, order counts, and bid/ask quantities used to measure a book.