Glossary · O
What is Order Flow Imbalance (OFI)?
A research measure (Cont, Kukanov and Stoikov, 2014) of the imbalance between supply and demand pressure at the best bid and ask. It explains a large part of contemporaneous short-term price changes; explaining is not predicting.
In context
Delta counts only aggressive trades. OFI also counts the adding and cancelling of limit orders at the inside. So a mass cancellation of bids (pulling) produces negative OFI even if not a single contract trades. OFI is, in that sense, closer to a measure of the whole contest at the inside, not just the part that ended in trades.
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Related terms
Imbalance (footprint)ShortAsk (offer)Bid
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