PROF TOKEN IMBALANCE

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Alex Savin
Last seen: 4 years 6 months ago
Joined: 08/31/2016 - 10:57
PROF TOKEN IMBALANCE

The PROF Token has an option called "Imbalance". Does anyone know how imbalance is calculated as opposed to skew or kurtosis?
Thanks,
Alex

0
cpayne
Last seen: 1 year 9 months ago
Joined: 03/30/2009 - 00:00
Profile Imbalance Calculation

Profile Imbalance = 100 * (VolumeAbovePOC - VolumeBelowPOC) / TotalVolume

so essentially, it takes the difference between the volume above the POC and the volume below the POC, and presents it as a percentage of the total volume.  Values could theoretically range from -100 to +100 with large positive values meaning volume is heavy above the POC and large negative values meaning volume is heavy below the POC.

This chart might help: https://www.linnsoft.com/charts/profileimbalance-es

Alex Savin
Last seen: 4 years 6 months ago
Joined: 08/31/2016 - 10:57
That was quick, thanks Chad.

That was quick, thanks Chad.

hampton-childress
Last seen: 3 years 5 months ago
Joined: 02/05/2012 - 00:00
How would you go about

How would you go about calculating volume imbalance based not on the current VPOC, but on the prior RTH session close?

cpayne
Last seen: 1 year 9 months ago
Joined: 03/30/2009 - 00:00
Prior Close Imbalance

Hampton,

With the PVP indicator, you can identify prices where "Price > Indicator" or "Price < Indicator" and in turn you can use an Indicator that gives you prior close. 

https://www.linnsoft.com/charts/imbalancepriorclose-es

Import that chart, and you'll see in the upper pane I've added a PVP that identifies the prices above prior close.  In the lower pane, I've plotted the developing imbalance (based on prior close) using the syntax...

100 * SESST(PVP_ABOVE - PVP_BELOW) / SESST_VOL

where PVP_ABOVE and PVP_BELOW use the same method to identify prices above and below prior close, and to sum up the data of those prices.  SESST in turn sums up all that data for the session, and SESST_VOL gives us a summation of session volume.

Note, to link any given PVP to a custom indicator in the chart, as we've done here, you 1st add the custom indicator to the chart, and give it a label like you see here.

So I've used a label of "PVP".  Doesn't matter what you use, just keep it short and you'll have to use matching label in PVP.

Then in PVP, enter the same label here...

And it will grab that's indicator value on each bar and use it in comparison with whatever data you specify to the left.  Hope that helps.  Once you import the chart, if you'd like to use a price other then Previous Close for the imbalance price, simply edit the syntax of the custom indicator to reflect that new price.

A couple of easy examples would be to use the current session open...by just making this change to SESST...

or current session developing midpoint, but making this change...

 

 

cpayne
Last seen: 1 year 9 months ago
Joined: 03/30/2009 - 00:00
Alternate Price Imbalance

The chart below computes imbalances based on Prior Close, Open, and Developing Midpoint.

https://www.linnsoft.com/charts/imbalancealternateprices-es

Greg Schade
Last seen: 2 years 2 months ago
Joined: 03/02/2021 - 07:41
is there a way to add volume

is there a way to add volume imbalance vs the latest settlement price? I can't get it to work when trying to reverse engineer the above.

cpayne
Last seen: 1 year 9 months ago
Joined: 03/30/2009 - 00:00
Imbalance vs Settlement

The Settlement Price is not stored historically, so you can only obtain the current Settlement (of previous session) with the SETTLE token in a custom indicator.  Therefore, the value you see regarding Settlement will only be valid for the current session and only during the session (after session is over, the Settlement will update).  But the chart below should give you that.

https://www.linnsoft.com/charts/imbaltprices-settle-es

Greg Schade
Last seen: 2 years 2 months ago
Joined: 03/02/2021 - 07:41
this is perfect! Thank you.

this is perfect! Thank you. Still pretty new with IRT, but the service/tech help/software capability/etc here is amazing! Should've switched to IRT years ago!!

hampton-childress
Last seen: 3 years 5 months ago
Joined: 02/05/2012 - 00:00
Very cool. Adding cumulative

Very cool. Adding cumulative delta and using a full session with split profiles gives a good picture of overnight inventory as the next RTH opens.

cpayne
Last seen: 1 year 9 months ago
Joined: 03/30/2009 - 00:00
Developing Imbalance

The Developing Imbalance actually is available from the TPO Indicator.  You're limited in the profile durations but if you're just looking for daily profiles, the TPO token can deliver the developing Imbalance Factor: See lower pane.  And note it only computes the developing imbalance for the most recent profiles covering the period in which you have tick data (if you have 10 days of tick data, you'll have last 10 days of dev imbalance).  https://www.linnsoft.com/charts/profileimbalance-es

Take a look at 7/21 below. Notice the jump on last bar of the session, from big positive imbalance to big negative.  This is due to the shift in the VPOC from 2465.75 to 2469.50 on that last bar.  Such a VPOC shift can logicaly flip the imbalance.

 

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