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Detection Algorithm

For each completed 1-minute candle the algorithm evaluates two conditions to decide whether it should be flagged as buy-heavy or sell-heavy.

Rolling averages

The mean buy volume and mean sell volume are computed over the previous 20 candles (roughly 20 minutes of trading).

Warmup period

At least 5 candles of history are required before any signal is produced. This is why you won't see markers in the very first few minutes after market open.

The first (09:30 ET) and last (15:59 ET) candles of the regular session are always excluded from the imbalance check — they almost invariably carry outsized volume and would flood the chart with noise.

Buy-heavy condition

A candle is flagged ▲ B when both of the following are true:

  • Buy volume significantly exceeds the 20-minute rolling average of buy volume
  • Buyers dominated sellers in that minute (buy volume > sell volume)

Sell-heavy condition

A candle is flagged ▼ S when both of the following are true:

  • Sell volume significantly exceeds the 20-minute rolling average of sell volume
  • Sellers dominated buyers in that minute (sell volume > buy volume)

Why both conditions?

Requiring both conditions simultaneously filters out misleading prints. A high-volume candle where both sides are active equally is just noise — a signal only fires when volume is elevated and clearly one-sided. This combination tends to coincide with institutional order flow rather than retail churn.

High-volatility days

On news-driven days (FOMC, CPI, earnings) the rolling average adjusts upward within a few minutes, so the threshold self-corrects. You may still see more signals than usual on high-volatility days, but they reflect genuinely outsized flow.