# Order Flow Imbalance (OFI) > A measure of net buying pressure constructed from changes at the top of the order book — additions, cancellations and executions on each side, netted over an interval. - Canonical: https://hadalinstruments.com/glossary/order-flow-imbalance/ - Term set: https://hadalinstruments.com/glossary/ --- Trades are the visible part of order flow and the smaller part. Between two prints a book can gain size on the bid, lose size on the offer, and reprice both — none of it a trade, all of it pressure. Order flow imbalance is the construction that counts those events. The standard formulation, developed by Cont, Kukanov and Stoikov, tracks changes at the best bid and offer over an interval: size added to the bid and size removed from the offer count positively, size removed from the bid and added to the offer count negatively, with a repriced level handled as a full replacement. The result is a signed quantity per interval that relates closely to contemporaneous price change across a wide range of instruments — an accounting of pressure rather than a forecast of it. It is worth separating from its cruder relatives. Trade imbalance counts executions only, and so misses the cancellations that often precede a move. The tick rule infers aggressor side from price direction and is a heuristic. OFI uses the book's own state changes, which is exactly why it needs a feed that reports them. That requirement is the catch. Computed from a thinned or conflated feed, OFI measures the feed's aggregation policy as much as the market's flow: [censoring](/glossary/censoring/) removes the rapid updates the statistic is built from, and a [stale quote](/glossary/quote-staleness/) contributes a change that did not occur at the time stamped on it. Two venues' series for the same instrument are not comparable unless both capture paths are known. ## Why it matters Imbalance is where the mechanics behind a price move become visible — whether a level was [absorbed or swept](/glossary/absorb-sweep/), whether depth was withdrawn before price moved or after. Used as a description of what happened it is among the most informative quantities a book yields. Used as a signal it inherits every property of the feed underneath it, which makes provenance part of the measurement rather than a footnote to it. ## Commonly confused with Neighbouring concepts that get used interchangeably, and the distinction that actually separates them. - **Trade imbalance** — Trade imbalance counts executions only, and so misses the cancellations that often precede a move. Between two prints a book can gain size on the bid, lose size on the offer and reprice both — none of it a trade, all of it pressure. - **The tick rule** — The tick rule infers aggressor side from price direction, which is a heuristic. Order flow imbalance uses the book's own state changes, which is more faithful and is exactly why it needs a feed that reports them. - **A forecast** — The standard formulation relates closely to contemporaneous price change — an accounting of pressure rather than a prediction of it. Used as a description of what happened it is among the most informative quantities a book yields; treated as a signal it is a much stronger claim. - **Volume imbalance** — Volume weights by size traded; OFI is signed by the direction of each book event, including cancellations that never traded at all. The two diverge most in precisely the fast conditions where the difference matters. - **[Cumulative delta](https://hadalinstruments.com/glossary/cumulative-delta/)** — Delta signs executed trades by aggressor and sums them — a tape-side instrument. OFI watches the book itself: arrivals, cancellations and executions at the touch. The two measure different layers of the same order flow, and their productive disagreements are where absorption readings are born. - **[Order flow generally](https://hadalinstruments.com/glossary/order-flow/)** — Order flow is the family name for the whole arriving stream; the imbalance is one statistic computed over its book-side layer. The family's other instruments — delta, footprints, depth behaviour — each carry their own entry and their own conventions. ## How to measure it in your own data A definition you cannot test is a definition you have to take on trust. This is the shortest honest route from the concept to a number you computed yourself. - **Records you need** — A feed that reports book state changes at the best bid and offer — additions, cancellations, executions and repricings — with timestamps. A feed reporting only trades cannot produce this statistic at all. - **What you compute** — Following Cont, Kukanov and Stoikov: over each interval, count size added to the bid and removed from the offer positively, size removed from the bid and added to the offer negatively, handling a repriced level as a full replacement. The output is a signed quantity per interval. - **What the answer tells you** — Establish the capture path before trusting the number. Computed from a thinned or conflated feed, OFI measures the feed's aggregation policy as much as the market's flow — censoring removes the rapid updates the statistic is built from, and a stale quote contributes a change that did not occur at the time stamped on it. Two venues' series for the same instrument are not comparable unless both capture paths are known. ## Questions and answers ### Why not just count trades? Because trades are the visible part of order flow and the smaller part. A book can gain size on the bid, lose size on the offer and reprice both between two prints, none of which is a trade and all of which is pressure. Cancellations in particular often precede a move, and a trade-only measure sees them only after the fact. ### Is order flow imbalance predictive? The standard formulation relates closely to contemporaneous price change across a wide range of instruments, which is an accounting relationship rather than a forecast. Whether it predicts the next interval is a separate and much stronger claim, and one that has to be established rather than inherited from the contemporaneous result. ### Can I compute OFI from a retail feed? Only if that feed reports book state changes rather than trades alone, and many do not. Where it does, establish the aggregation policy first: a conflated feed produces a series that partly measures the conflation, and the statistic will not tell you that it has. ### Why do two venues give different OFI for the same instrument? Because each series is built from that venue's own book and its own capture path. Different aggregation, different update cadence and different conflation produce different event streams from the same underlying market. The series are not comparable unless both paths are known, which makes provenance part of the measurement rather than a footnote to it. ## Related terms Derived from the links this entry makes and the entries that link back to it. - [Absorb/Sweep](https://hadalinstruments.com/glossary/absorb-sweep/) A microstructural market dynamic where limit orders (absorption) interact with aggressive market orders (sweeping) across multiple price levels, defining liquidity transition phases. - [Censoring](https://hadalinstruments.com/glossary/censoring/) The thinning of a price feed — updates dropped, coalesced or rate-limited — during the intervals in which the underlying market is moving fastest, so that the record understates the spread widening and depth withdrawal that actually occurred. - [Cumulative delta](https://hadalinstruments.com/glossary/cumulative-delta/) The running sum of buyer-aggressed minus seller-aggressed volume — one line tracking which side has been crossing the spread harder, accumulated trade by trade. - [Delta divergence](https://hadalinstruments.com/glossary/delta-divergence/) Price printing a new extreme that cumulative delta declines to confirm — fresh highs on fading buyer aggression, or fresh lows on fading seller aggression — read as absorption at the extreme. - [Order flow](https://hadalinstruments.com/glossary/order-flow/) The stream of orders arriving at a market — aggressive orders consuming resting size and passive orders posting it — and, by extension, the discipline of reading that stream from book and tape data. - [Quote Staleness](https://hadalinstruments.com/glossary/quote-staleness/) The age of a displayed quote relative to the current state of the market it claims to represent; a stale quote advertises a price that is no longer executable. ## Cite This Definition APA BibTeX HTML Hadal Instruments. (2026). Order Flow Imbalance (OFI). Hadal Glossary. https://hadalinstruments.com/glossary/order-flow-imbalance/ Version 6b39ebf, 2026-08-30. @misc{hadal_2026_order-flow-imbalance, author = {Hadal Instruments}, title = {Order Flow Imbalance (OFI)}, year = {2026}, url = {https://hadalinstruments.com/glossary/order-flow-imbalance/}, howpublished = {Hadal Glossary}, version = {6b39ebf}, note = {Pre-launch publication; version dated 2026-08-30} } Source: Hadal Instruments, Order Flow Imbalance (OFI). Original Research Copy Citation **Version 6b39ebf** identifies the commit that last changed this page in Hadal's content repository. That repository is not public, so the identifier does not resolve externally — it is published so a citation pins one specific state rather than a moving page. To obtain the exact version cited, use the [press and research route](https://hadalinstruments.com/press/).