Aggressor Volume Imbalance

Aggressor volume imbalance represents the ratio between market aggressor buy volume (market buy orders) and market aggressor sell volume (market sell orders). This ratio enables traders to evaluate the interest of market aggressors and whether aggressive market activity favours the price's direction.

Analysing aggressor volume is critical in understanding market sentiment and aids in identifying shifts in momentum and potential exhaustion points in the market. When the aggressor buy volume significantly exceeds the sell volume, it typically indicates strong buying interest, driving prices higher if the offer-side liquidity cannot contain it, and vice versa.


How it Works

The imbalance ratio is calculated as follows, according to the selected session timeframe (see settings):

Pine Script®

imbalance := ((buyVolumeAccumulator - sellVolumeAccumulator) 
                  / (buyVolumeAccumulator + sellVolumeAccumulator)) * 100

Aggressive Volume Imbalance uses lower timeframe historical data to calculate Historical Aggressor Volume Imbalances, while live data is used for live aggressor volume imbalances.


How to Use It

You can set the indicator to use any historical data timeframe you prefer. However, it is highly recommended to use lower timeframes (e.g., 1 second), as the lower the timeframe, the more granular the data.

The indicator resets to 0% whenever a new session timeframe begins (e.g., a new day) and calculates new values for the rest of the session. This can be configured in the settings.