Suggested Imbalance Footprint Settings
We are often asked what are some good "rule of thumb" settings for the imbalance Footprint, so we wanted to provide some guidance for common futures symbols. There are no magic numbers for either the Min Diff or Imbalance %, however, here are some good base line values to work from and dial them in to your particular style of trading.
The Min Diff value is volume and represents the minimum volume difference required to be considered an imbalance. For higher volume contracts we recommend larger values, and for lower volume or volatile contracts we recommend smaller values.
The Imbalance % is the percent different required to be considered an imbalance using the imbalance calculation. To learn more about the imbalance Footprint and calculation watch the video below.
Some people like to see lots of imbalances and in that case we would recommend 200% (default). However, we like to see less imbalances and use a value of 300% or 400% very often. This makes the imbalances more important because there are fewer of them. We have seen some people use 500% or even 1000%. Again, there is no magic number, it only matters based on the strategy and edge you are developing.
Name - Symbol - Min Diff and imbalance %
S&P Emini - EP - 25 and 400% Nasdaq 100 - ENQ - 5 to 10 and try using a lower imbalance % like 200 to 300. Mini Dow - YM - 10 and try using a lower imbalance % like 200 to 300. Euro Futures - EU6 - 5 to 10 and try using a lower imbalance % like 200 to 300. Light Crude Oil - CLE - 5 and 400% Gold - GCE - 5 and 200 to 300% 30 Yr Bond - USA - 20 and 400% 10 Yr Note - TYA - 25 and 400% Bund - DB - 25 and 400% Dax - DD - 5 to 10 and try using a lower imbalance % like 200 to 300. Eurostoxx 50 - DSX - 25 and 400%