Order-Flow Imbalance
In plain terms
Measures whether the order book is more aggressive on the bid or the offer side. Skeleton — needs L1 tick data not yet wired.
How it works
Order-Flow Imbalance (Cont-Kukanov-Stoikov 2014) measures whether the order book is more aggressive on the bid or the offer side at sub-second resolution. True OFI requires L1 NBBO quote ticks — Polygon Stocks Advanced ($199/mo) or Databento pay-per-query are the path. Skeleton emits a failed candidate per ticker so the data gap is captured in the experiment table.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Nbbo ticks
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Explore Order-Flow Imbalance on alphactor.ai
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