Order Flow Imbalance — where pressure is building (/ES quote book, 60s)
—
warming up…
Cont-Kukanov-Stoikov order flow imbalance on Ironbeam's own top-of-book quotes — tracks
whether resting buy-side or sell-side size has been building faster over the last minute.
This is a pressure READOUT, not a price-direction signal: 2026-11-12 research found this
measure does not reliably predict where price sits 5 minutes later (coin-flip, both TRAIN
and TEST), only a modest edge on which side the very next single trade comes from. Treat it
as "where pressure is right now," not a forecast.
CRSI(3,2,100) on SPX 5m
* Same backward-looking CRSI formula — just a fresher current-price input standing in for the
still-forming bar's eventual close. Can swing hard on a single tick (the streak component is very
reactive). Not used by any live trading logic. Live price now sourced from Ironbeam's own ES
futures feed (2026-11-02, replacing a Tastytrade-sourced SPX cash quote that could go stale on its
own outages) — carries a small, usually-few-point ES/SPX basis not corrected for here.
▬ live CRSI
▬ last closed bar CRSI
collecting data… the chart fills in as the server accumulates snapshots (one point per ~30s refresh).