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]. Full depth within 500bps of mid. Beyond that, treat it as a minimum rather than a total - exchanges publish changes to the book rather than the book itself, so an order that sits untouched further out may not be visible to anyone reconstructing it.

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

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