
This thesis aims to investigate the performance of an order imbalance based trading strategy in a high frequency setting. Example (order book picture): in the buy orders, the first buyer (currently highest bid) is willing to buy 210 ONIONs.

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See full list on Discover MBoxWave Supply & Demand - Sponsored Webinar by NinjaTrader First Class Order Flow Tools. order book as a continuous-time Markov process that tracks the number of limit orders at each price level in the book. This is because dealer/hedgers will buy into highs in order to keep their books delta-neutral.

When dealer gamma imbalance is heavily long, it acts to dampen volatility. Dealers are on the other side of these trades absorbing short institutional put and calls and hedging by taking the opposite side in futures or underlying stock.The analysis controls for realistic trading costs and actual dividend payments. The study covers the period of the Asian financial crisis and includes wide variations in order imbalance and the indexfutures basis. This study examines whether the aggregate order imbalance for index stocks can explain the arbitrage spread between index futures and the underlying cash index.Now that you have determined the severity of your imbalance, let’s talk about the one thing you can do today to begin treating your symptoms. 15 or more – You may have a severe sex hormone imbalance. 10 to 14 – You may have a moderate sex hormone imbalance. 0 to 9 – You may have a mild sex hormone imbalance.

The traders registered profit on some long positions at 10:09, which can be seen from the negative OI analyzer buy. In order to close short positions, the traders will buy contracts and push the price upward. In order to close long positions, the traders will sell open contracts and the price will go down.
