The Playbook 07: watch the change, not the size
A ladder shows how much is resting at each price right now, and resting size can be added and taken away again in a flash. This video counts the change instead of the size, and shows it on one real minute of ES. It describes what is happening now, not what happens next.
Counting the change
- Net Σ — at each price, size added minus size pulled, starting from zero every 60 seconds.
- Stack Σ and Pull Σ — on the best ask row: everything added more than pulled (Stack Σ) or pulled more than added (Pull Σ) on the ask side, all rows summed. On the best bid row: the same on the bid side.
- Order flow imbalance — the name researchers use for this idea at the best bid and ask. OrderVane DOM shows the same idea; it does not compute the paper's formula (below).
The minute in numbers
ES December 2026 (EPZ26), 6 November 2026, 12:41:55–12:42:55 UTC. A recorded real minute, auto-saved by the OrderVane DOM flow store (its 10-minute restore file): top of book in 250 ms samples, plus the trades in that minute. The imbalance below is computed from those samples — an approximation of the paper's event-by-event measure, not numbers from the product.
| Imbalance | Mid-price | |
|---|---|---|
| 12:42:05–12:42:10 UTC | +55 contracts | +4.5 ticks |
| 12:42:35–12:42:55 UTC | −137 contracts | −10 ticks |
| The whole minute | −181 contracts | 7,399.125 → 7,396.25, −11.5 ticks |
Mid-price is the middle of the best bid and best ask. Over the minute the spread widened from 1 tick to 2 ticks, so half a tick of the −11.5 is the spread widening. 363 contracts traded in the minute.
Imbalance and price moved together in the same minute. That says nothing about the next one: these numbers describe what already happened. They are not a forecast, a probability or a trading signal.
Where the idea comes from
Rama Cont, Arseniy Kukanov and Sasha Stoikov, "The Price Impact of Order Book Events", Journal of Financial Econometrics 12(1): 47–88 (2014). Across 50 U.S. stocks, over short intervals, price changes moved with this imbalance in the same interval.
The same idea is not the same formula: the paper also counts size taken by a trade, while OrderVane DOM's Pull leaves that out.
Chapters
- 0:00 Intro
- 0:10 One real minute of ES
- 0:50 The problem with resting size
- 1:34 Counting the change: Net Σ, Stack Σ, Pull Σ
- 2:24 Order flow imbalance
- 2:38 Where the idea comes from
- 3:14 The same idea, not the same formula
- 3:48 One minute, measured
- 5:45 Reading OrderVane DOM
- 6:16 What it is, and what it is not
- 6:38 On the ladder
About this video
The narration is AI-generated (Google NotebookLM) from a source document we wrote; seven phrases that went beyond the source were cut. The chart data are one minute of top-of-book samples and trades saved by OrderVane DOM's flow store. The ladder pictures in "Reading OrderVane DOM" are a real screen recording of OrderVane DOM on ES on 9 November 2026 — a different day from the measured minute — with the Flow column switched on for the recording (it is off by default). In OrderVane DOM, history starts when you attach the window. The product is on OrderVane DOM. The previous episode is The Playbook 06: volume shelves.
OrderVane DOM is an order-book window for Quantower with Net Σ, Stack Σ and Pull Σ columns.
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