Definition. Compares resting buy orders (bid-side depth = buy limit orders waiting at/below the market) with resting sell orders (ask-side depth = sell limit orders waiting at/above the market), within a price band you choose around mid.

Interpretation. Values range from -1 to +1. Positive values mean more resting buy limit orders on the bid side. Negative values mean more resting sell limit orders on the ask side.

Technical. (bid depth - ask depth) / (bid depth + ask depth) over the selected bps depth band around mid-price, time-weighted across the bucket. Range [-1, 1].

Notes. Set the depth band (in bps) to control how close to mid the imbalance is measured.