Imbalances Indicator
Created 24 Nov 2023
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Updated 09 Nov 2024
The Imbalances indicator is a Free NinjaTrader 8 indicator that highlights diagonal volume imbalances on both footprint charts and regular candlestick charts.
Prerequisites
To properly use this indicator you should have the following prerequisites available.
- NinjaTrader 8, with any license type. Click here to download
- An OrderFlow-enabled NinjaTrader account, obtained either by purchasing a lifetime NinjaTrader license or through a license provided by a trader funding program.
- An automated-trading.ch account with an active Free account (no paid subscription required)
Description
Imbalance on a footprint or candlestick chart highlights the price levels where buy trade volume is in excess over sell trade volume. Diagonal Bid/Ask imbalance displays aggressive buy market orders lifting the offer and aggressive sell market orders hitting the bid.
You can specify the minimum ratio between buyers' and sellers' volume — for example, Ratio = 3 will show on the chart all the imbalances where the excess of buying over selling is above 300%.
Stacked Imbalances shows zones of multiple consecutive imbalances that occur on the bid or ask side. These zones are important support/resistance levels because they mark where participants aggressively wanted to get into the market — when the market retests those levels, the same participants may appear again. For example, getting stacked imbalances of 3 or more on top of one another is a good sign of strong pressure in the market, and that the market will continue in that direction.
Examples
Imbalances on a Footprint Chart
Adding the indicator to a footprint chart (e.g. MES) draws rectangles on each bid/ask level with a diagonal volume imbalance. With an imbalance ratio of 3 and a minimum imbalance volume of 100, the buy imbalance color is cyan and the sell imbalance color is magenta.
Imbalances on a Candlestick Chart
The indicator can also be added to a candlestick chart (e.g. a 2-minute chart), where it draws rectangles on price levels with diagonal imbalances — cyan for buy imbalances (ask side) and gold for sell imbalances (bid side).
Stacked Imbalances
When Only Draw Stacked Imbalances is enabled, single (non-stacked) imbalances are filtered out. A rectangle drawn on a sell stacked imbalance can signal aggressive sellers stepping in — a signal to enter a short trade. The same coloring convention (cyan for buy/ask, gold for sell/bid) applies on both footprint and candlestick charts.
Stacked Imbalances Zone Extension and Retest
After stacked sell imbalances form, price may reverse to retest the zone they define — visible on both footprint and candlestick charts.
Trapped Traders Detection
A stacked sell imbalance can become "trapped" before the market reverses long — strong aggressive selling volume pushes the market down, but the market eventually reverses to the long side.
Features
The Imbalances indicator has a set of unique features:
- Free. The indicator is completely free to use.
- Can be used on footprint charts or regular candlestick charts (time-based or price-based)
- Highly customizable and can be adapted to a wide range of instruments
- Can be run on historical data (TickReplay should be enabled)
- Can expand rendering of stacked imbalance zones until retested by price, which can be used as a signal to enter a trade
Parameters
We always try to keep the parameters to a minimum.
| License | |
| License | This is the free license key you get when you create an account on automated-trading.ch. After creating an account, copy your license key from the billing page. You need to set this parameter only once per month — once the license key is validated it will be remembered for the rest of the billing cycle. |
| General | |
| Min Imbalance Volume | Sets the minimum volume value on the strong side (bid/ask) to consider an imbalance. |
| Min Imbalance Ratio | Sets the minimum ratio between the diagonal bid/ask volumes to consider an imbalance. |
| Stacked Imbalances | |
| Max Imbalance Gap (Ticks) | Sets a gap tolerance between stacked imbalance levels — multiple imbalances that aren't perfectly stacked (with tick gaps between them) are still considered a cluster of stacked imbalances if this parameter is higher than one. |
| Min Stacked Imbalance Count | Sets the minimum number of imbalances in a cluster of stacked imbalances — generally 3 or more. |
| Only Draw Stacked Imbalances | Restricts drawing to stacked imbalances only — no single imbalances will be drawn. |
| Draw Until Retested | Expands the drawing of stacked imbalances until price retests them. |
| Stop Extending @ New Day | Stops the zone's drawing from extending into a new day. |
| Mitigation Method |
Sets which method is used to consider an imbalance extension zone mitigated by price (after which it stops extending).
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| Play Sound / Play Sound File | Plays a sound alert when a price bar closes with a stacked imbalance, and sets which .wav file is played. |
| Rendering | |
| Buy Imbalances | Color used to draw buy-side (ask) imbalances. |
| Sell Imbalances | Color used to draw sell-side (bid) imbalances. |
| Render Opacity (1-100) | Opacity used to render imbalances and retest zones. |
Download & Installation Instructions
License Requirements
At automated-trading.ch you can choose to either purchase a monthly subscription to use our premium products, or use our free products without subscribing.
In both cases, you need to create an account so you can get a License you can use for both premium and free products.
To obtain your license, simply sign up and then get your license on the billing page.
Download
You can also download this strategy — and every other automated-trading.ch strategy or indicator — anytime from your centralized Downloads page.
Installation Steps
Frequently Asked Questions
General
Release Notes
- Tick Replay no longer needed; Added "Stop Extending @ New Day"; Added "Mitigation Method"
- Added License check capabilities
- Added Play Sound and Play Sound File parameters
- First Release of the indicator