Strategy pattern · Microstructure
Test an order flow imbalance strategy before it trades a single open.
Super Algo Kit grades this order flow imbalance strategy C with status claimed: the builder's results were never independently tested. The owner-lesson card labels each trade by the side that started it, then scans about 200 liquid futures shortly after the open for one-sided flow. It trades the most lopsided contracts and is flat by the close.
strategy facts
Opening-window order-flow imbalance on liquid futures
- Family
- Microstructure: aggressor-side order flow in the opening window
- Markets
- Liquid futures, or the matching cash equities
- Timeframe
- 5-minute windows, scanned at two fixed times after the open
- Evidence grade
- C: an unreplicated claim; the real build recorded no validated edge
- Status
- Claimed: the builder's own claim, with no independent test on record
- Source
- Owner lesson, generalised and anonymised from a real build; not a recommendation
- Data needed
- Trade prints with the prevailing bid and ask, opening rules, an instrument master and licensed tick history
From the kit's own card. Not investment advice.
Paper first
Test it before you trade it.
Super Algo Kit runs inside the coding agent you already use. It interviews you, writes the spec with pass marks set first, then builds, backtests and paper-tests. Real money starts only when you type the authorize command.
The plan, step by step
Tick them off as you go.
How does an order flow imbalance strategy work?
Each trade is labelled by its aggressor, the side that started it. A trade at the ask counts as buyer-initiated and a trade at the bid as seller-initiated. Summed over 5-minute windows, a strongly one-sided ratio is read as pressure that may continue after the open.
The builder ran this across about 200 liquid futures and traded the most lopsided contracts. The label is only an estimate, though. And the window that produces the reading is also the one with the widest spreads.
Order flow imbalance rules in plain words
This is a summary of the builder's idea, not the card's exact rules. Every value goes into a trial plan before any run.
- Label trades by quote side, with a tick test when the price sits between quotes.
- Run a Lee-Ready variant in parallel and log how often the labels disagree.
- Per contract and window, divide the larger side's volume by the smaller side's.
- At two fixed scan times, enter the most one-sided contracts in the dominant direction.
- Use a stepped trailing stop, cap open positions and be flat by the close.
What the evidence says, and where it breaks
The card is grade C with status claimed, and the real build recorded no validated edge. Scanning 200 contracts for the most extreme ratio will find extreme values by chance. Positions entered at the same two moments are largely one bet on the market's direction.
The build also had serious engineering gaps. Its stop lived only in software, polled every second, with nothing resting at the broker. It had no daily-loss cap, a feed-failure timeout that was never enforced, and database ports open to the network.
How Super Algo Kit tests an order flow imbalance bot
Pass marks are declared first, and every parameter change is a logged trial. The test uses tick data with bid and ask, runs both trade classifiers and reports how often they disagree. A null distribution for the ratio and a plain price-change baseline show whether imbalance adds information.
Costs include market-order slippage at the open, from the pack's cost model. Walk-forward checks and the deflated Sharpe ratio follow. The paper run must survive a feed cut and a process kill with a position open.
Before you rely on it
Where it fails.
- Aggressor labels are noisy: a stale quote mislabels a trade, and the tick test can only guess.
- Auction prints, block trades and crosses are not aggressor flow, and they inflate the ratio.
- Market orders at the open pay the widest spreads of the session, and the imbalance can fade first.
- Scanning many contracts finds extreme ratios by chance; compare against a null distribution.
- Positions entered at the same two times are largely one bet on the market.
FAQ
Order flow at the open: questions.
What is order flow imbalance?
Order flow imbalance compares buyer-initiated and seller-initiated volume over a window. In Super Algo Kit's card, each trade is labelled by its aggressor using the quotes or a tick test. A strongly one-sided ratio is read as pressure that may continue.
How do you tell if a trade was a buy or a sell?
A trade at or above the ask is usually labelled buyer-initiated, and one at or below the bid seller-initiated. Between the quotes, a tick test guesses from the last price change. Super Algo Kit runs a Lee-Ready variant in parallel and reports how often the two labels disagree.
Does an opening order flow strategy have a proven edge?
No. Super Algo Kit grades this order flow card C with status claimed, because the builder's results were never independently tested. It is generalised from a real build, and that build recorded no validated edge.
Why does Super Algo Kit insist on a broker-side stop?
In the real build the stop lived only in software, so a crash, hang or dropped connection left positions unprotected. Super Algo Kit's paper run kills the process with a position open and checks that the stop still rests at the venue. An independent risk gate and a daily-loss cap are required too.
Do I need tick data to backtest order flow imbalance?
Yes. The order flow test needs trade prints with the prevailing bid and ask, or synchronised quote and trade streams. Tick history is large and often licensed, so Super Algo Kit checks the data terms before the backtest.
Keep reading
More guides.
India · Data feedTrueDataSuper Algo Kit helps you use TrueData data for backtesting and paper runs inside your own AI coding agent.
United States · Data feedDatabentoSuper Algo Kit lets you use Databento data for backtesting a bot you build in your own AI coding agent.Sources the kit's card cites
- Lee and Ready (1991). Inferring Trade Direction from Intraday Data. Journal of Finance 46(2).
- Super Algo Kit owner-lesson card: opening-window order-flow imbalance scan on liquid futures (generalised and anonymised from a real build).
- Related literature cards in the kit: order-book-imbalance, opening-range-breakout and multi-symbol-scanner.
- Super Algo Kit hard rules H3, H4 and H12, and invariants INV-3 and INV-7.
Build it with Super Algo Kit.
15 specialist roles and 35 skills inside your coding agent. Paper first, live only when you say.
Super Algo Kit is development software. It is not investment advice, a signal service or a promise of performance. Trading involves substantial risk, including the loss of all capital you trade with.