OFI Pressure — Signal Playbook

What it detects

Order-flow imbalance — the net of bids/asks being added, pulled, and hit at the best quotes — reaches a 30-candle extreme while the book leans the same way. Of all our metrics, OFI is the one academic work (Cont, Kukanov & Stoikov) ties most directly to the next short-horizon price move.

How OFI Pressure paints across a heatmap row — the colour language it speaks on the live map.

How VYX surfaces it

VYX evaluates OFI Pressure live on every candle across 300+ Hyperliquid markets and paints it onto the heatmap, so an unusual microstructure reading stands out at a glance instead of hiding in a watchlist. That is the job it does in the workflow: it is a scan filter and a piece of context, not an automatic entry. Scan the map for where OFI Pressure is firing, focus that market to read the signal against price and the confirmation cues below, and let the next candle or two resolve before acting on it.

How to play it

Use it as scanner context, not an automatic entry:

• Read OFI as pressure building before it shows on the tape — it tends to lead price on short horizons.
• Use it to time a pair you already like, not as a standalone reason to trade.
• Best when book imbalance agrees with the OFI direction (this signal already requires it).
• Act on fresh matches — OFI’s edge decays within minutes.

Confirmation

What strengthens the read:

• Price starts moving the same direction within a few candles.
• Aggressive tape flow agrees (same-side CVD / sweep).
• Tight spread — the flow is hitting real liquidity.

Invalidation

What kills it:

• OFI mean-reverts off its extreme with no price follow-through.
• Book imbalance flips against the OFI direction.
• The move has already happened — you are late.

Risk & honest evidence

Respect the limits:

• A short-horizon, fast-decaying edge — not a swing signal.
• Sampled ~1s, so ultra-fast bursts are smoothed.
• Evidence: grounded in market-microstructure research; with strong academic priors (Cont et al.). VYX's own live backtest is still accruing — treat this as scanner context, not a proven edge.