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 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.