Reads DOM pressure to anticipate directional moves. Detects hidden liquidity shifts before price reacts.
Analyzes real-time CME Level 2 market depth to identify imbalances between buying and selling pressure. When one side significantly outweighs the other, it enters a trade in the dominant direction.
OBI requires 'Horizon CME' Fast Feed for Level 2 data.
The Order Book Imbalance strategy monitors the depth of market (DOM) in real-time, analyzing the volume distribution across bid and ask levels. When buying pressure significantly exceeds selling pressure (or vice versa), it signals a potential directional move.
The Imbalance threshold defines how much volume difference is required to trigger a trade. Higher values mean more selective entries with potentially larger moves, while lower values capture more opportunities with smaller expected moves.
The Counter parameter acts as a confirmation filter. It requires the imbalance to persist for a certain number of checks before triggering, helping to filter out false signals in choppy or ranging markets.
This strategy requires access to CME Level 2 (DOM) data through the Horizon CME Fast Feed integration. The feed provides:
Without proper CME feed access, the OBI strategy will not function. Contact support to set up your CME Fast Feed connection.
Continuous monitoring of order book depth with millisecond-level updates.
Counter mechanism prevents false signals in choppy market conditions.
Captures moves before price reacts to underlying order flow pressure.
Join our testing community to access the OBI strategy and CME feed integration.
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