What This Calculator Measures
Here the calculation is a static queue-size comparison: (resting bid size − resting ask size) / (bid size + ask size). A positive value means the entered bid queue is larger. The page accepts two manual inputs and has no market-data feed.
Queue imbalance differs from event-based order flow imbalance, which tracks changes from order submissions, cancellations and executions. It also differs from executed trade delta. A resting buy order sits on the bid; an aggressive buy generally executes at the ask. Mixing queued and executed quantities reverses the intended interpretation.
What Two Queue Sizes Cannot Establish
Participant Identity
The inputs contain quantities only. They do not identify an institution, distinguish investors from market makers, or reveal hidden orders.
Comparable Inputs
Record the same snapshot time, venue and depth on both sides. Combining a best bid with several ask levels creates a different comparison.
Price Relationships
This calculator has no price series or history, so it cannot detect divergence or establish that an apparent relationship predicts a reversal.
Future Execution
Orders may be cancelled or replaced before trading. A large displayed queue is not a commitment that every order will execute.
How to Use This Order Flow Imbalance Calculator
- 1
Gather Queue Sizes
Read resting quantities from the same order-book snapshot. Best bid and best ask give a top-of-book measure. If using multiple levels, use the same stated depth on both sides. Do not use time-and-sales totals as queue sizes.
- 2
Enter the Values
Enter finite, nonnegative quantities in matching units. Zero is allowed on one side, but combined size must be positive. Presets are fictional snapshots for checking the arithmetic.
- 3
Analyze the Results
Review the normalized value alongside raw sizes. For bid 600 and ask 400, the difference is 200 and the result is +20%. Bid share is 60%, not 20%.
- 4
Record the Snapshot
Keep the input source and timestamp with your own notes. The page does not save a history, issue alerts or supply an execution rule.
Reading the Display Bands
The mathematical range is −100% to +100% for valid nonnegative inputs. These are descriptive bands used by this interface, not calibrated trading thresholds:
- +40% through +100%: bid-heavy upper display band.
- +15% up to +40%: bid-heavy display band.
- Above −15% and below +15%: near-balanced display band.
- Above −40% through −15%: ask-heavy display band.
- −100% through −40%: ask-heavy lower display band.
Queue Imbalance, Raw Difference and Trade Delta
These quantities use different inputs and should not be substituted for each other:
| Metric | Formula | Meaning |
|---|---|---|
| Queue imbalance | (Bid - Ask) / Total | Normalized difference of resting sizes |
| Raw queue difference | Bid - Ask | Resting bid size minus resting ask size; not executed trade delta |
Important Considerations
Keep the Absolute Sizes
A normalized ratio discards absolute scale. Bid/ask sizes of 60/40 and 600,000/400,000 both give +20%, despite very different displayed depth. Neither output alone establishes an executable trade or expected return.
- Executed volume delta: commonly ask-executed buy volume minus bid-executed sell volume; trade classification depends on the feed. It uses trades, not resting queues.
- Event-based OFI: needs an ordered history of book changes. Two snapshot totals cannot reconstruct those events.
- Scope: one venue or depth selection is not the entire market. A zero on one side may also reflect incomplete data; confirm the feed before interpreting the ratio.
- Validation: the published research below concerns specified datasets and models. Its results are not a performance test of this manual calculator.
Method references: Gould and Bonart: queue imbalance and Cont, Kukanov and Stoikov: order-book events.