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.