top-of-book imbalance: predictive power

At any time, for a given order book there’s an observable ticking ratio I name as “top-of-book-imbalance” or TOBI := b/(b+a) where

b is total volume at best bid level and
a is total volume at best ask level

For a given stock, whenever TOBI was high, statistically we had seen more market-buy orders in the preceding time period; and conversely when TOBI was low, we had seen more market-sell orders.

Therefore, TOBI has proven predictive power.

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