Order Flow Imbalance (OFI)

Price doesn’t move because of volume — it moves because of net directional pressure. Order Flow Imbalance captures that by tracking changes in the bid and ask queues: aggressive buys and cancels on the offer push OFI positive, aggressive sells push it negative.

The empirical result that made OFI famous: over short horizons, price changes are close to linear in OFI. That makes it one of the more reliable microstructure predictors — not of where price ends the day, but of the next few ticks.

For an agent, OFI is a timing input. A momentum strategy can use rising OFI to confirm an entry rather than chasing a stale print; a market-making strategy can widen or skew quotes when OFI signals informed pressure building on one side. Because it’s normalized, the same threshold logic transfers across BTC perps, alts, and prediction markets without re-tuning per venue.