OrderBookImbalanceTop1

Signed depth pressure at the touch: how lopsided the best bid and best ask sizes are. +1 all bid, −1 all ask, 0 balanced.

Quick reference

Item	Value
Family	Microstructure
Input type	OrderBook — sorted bid/ask depth snapshot
Output type	f64
Output range	[−1, +1]
Default parameters	none
Warmup period	1
Interpretation	Top-of-book pressure

Formula

obi = (bidSize₁ − askSize₁) / (bidSize₁ + askSize₁)

Uses only the best level on each side. Both sizes zero → 0. Stateless, O(1). See crates/wickra-core/src/indicators/ob_imbalance_top1.rs.

Parameters

None. Construct with OrderBookImbalanceTop1::new().

Inputs / Outputs

Indicator<Input = OrderBook, Output = f64>. Bindings take a snapshot as four arrays: update(bid_px, bid_sz, ask_px, ask_sz) (bids descending, asks ascending). Python / Node batch take a list of such snapshots → 1-D array. WASM streaming-only.

Warmup

warmup_period() == 1.

Edge cases

• Empty / zero top level. Returns 0 when both top sizes are zero.
• Bounded. Always in [−1, +1].

Examples

Rust

use wickra::{Indicator, Level, OrderBook, OrderBookImbalanceTop1};

let book = OrderBook::new(
    vec![Level::new(100.0, 3.0).unwrap()],
    vec![Level::new(101.0, 1.0).unwrap()],
).unwrap();
// (3 − 1) / (3 + 1) = 0.5
assert_eq!(OrderBookImbalanceTop1::new().update(book).unwrap(), 0.5);

Python

import wickra as ta
print(ta.OrderBookImbalanceTop1().update([100.0], [3.0], [101.0], [1.0]))  # 0.5

Node

const { OrderBookImbalanceTop1 } = require('wickra');
console.log(new OrderBookImbalanceTop1().update([100], [3], [101], [1])); // 0.5

Interpretation

Top-1 imbalance is the rawest read of pressure at the touch — which side of the best quote is heavier.

• Positive (→ +1). More size rests on the bid than the ask; short-horizon upward pressure. Near +1 the ask is nearly empty and an up-tick is likely.
• Negative (→ −1). The ask is heavier; downward pressure.
• Near zero. Balanced touch — no directional tilt.

Of the order-book imbalance family this is the most responsive and, empirically, one of the strongest high-frequency predictors of the next mid move — but also the easiest to manipulate.

Common pitfalls

• Spoofable. A single best-level size can be posted and pulled in milliseconds. Confirm with depth (TopN / Full) or executed flow (TradeImbalance).
• Very short horizon. Its predictive edge decays in seconds; it is a high-frequency signal, not a position-level bias.
• Ignores price, only size. It says nothing about where the quotes sit, only their relative size — pair with QuotedSpread for the cost dimension.

References

• Rama Cont, Arseniy Kukanov, Sasha Stoikov, The Price Impact of Order Book Events, Journal of Financial Econometrics, 2014 — order-flow imbalance and short-horizon price moves.
• Martin D. Gould and Julius Bonart, Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book, Market Microstructure and Liquidity, 2016.

See also

• OrderBookImbalanceTopN — the same idea aggregated over the near book, more robust to spoofing.
• OrderBookImbalanceFull — whole-book pressure for slower bias.
• Microprice — turns this imbalance into a fair value.
• Indicators-Overview — the full taxonomy.