Buy/Sell Amount Imbalance
Comparing the dollars spent lifting the offer vs hitting the bid — the money-weighted version of the tape.
What it means
Share-based splits treat a 100-share lot and a 10,000-share block the same per share. Amount-based splits weight by dollars, so institutional-size prints dominate — which is usually what you want, because size is harder to fake than tick count.
Day-level totals of each side give a session bias; per-second values catch the bursts.
A single second is noisy, so the usable form is a rolling window: sum each side over the last n seconds and compare. That keeps the dollar weighting while smoothing the one-print spikes that make per-second readings jump.
Why traders care
- Dollar-weighted imbalance is a cleaner read on "real" interest than trade counts.
- Day-level bias plus a second-level trigger is a natural two-speed entry structure.
In a TraderWe strategy
if DayBuyAmt > DaySellAmt * 1.3 and BuyAmt > SellAmt * 2:
Buy()Educational content, not investment advice. Engine details describe how TraderWe computes this value; other platforms may define it differently.