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The Lab
Ideas traders use, put to the record · updated 30 Oct 2026 22:01 UTC
← the Lab · signals tested · live
#1 Order-book pressure A hint
The idea
When more money waits to buy just below the price than to sell just above it, buyers are stronger, so the price should rise next.
Why test it
Order-book heatmaps and "bid walls" are on most trading screens. If the book's lean predicted the next few minutes, it would be the simplest edge there is. If it predicted the reverse, that would say walls are bait, put there to be pulled.
What we tested
Every five minutes, for each coin: the imbalance, (bids − asks) ÷ (bids + asks), of the US dollars resting within 1% of the price on OKX's perpetual and Coinbase's spot books. Against: the price change over the next 15 minutes. Data: our own record of the books, every five minutes; 32 coins, 172,368 snapshots.
Record tested: 11 Oct 2026 – 30 Oct 2026 · first run: 12 Oct 2026 · numbers as of: 30 Oct 2026 22:01 UTC, updated every minute.
What we found
A hint. Something, as the idea says, but not clearly more than chance. After the snapshots most bid-heavy, the next 15 minutes went 0.1 bps better than after the snapshots most ask-heavy: under $1 on every $10,000.
Every snapshot of every coin sorted into five equal groups by the signal, low to high, and the average move over the next 15 minutes after each group, in basis points (0.01%) above or below the average move. If the idea were right, the bars would climb from left to right.
How sure
- ✗ More than chance. t +2.6; we ask for beyond ±3, not the usual ±2, because coins move together and the moves overlap.
- ✗ The same in most coins. 19 of 32 coins point the same way; we ask for 70%.
- ✗ The same every day. 12 of 20 days point the same way.
- … Holds on new data. Waiting: 18 of the 30 days it needs. Only the record from 13 Oct 2026 on counts here, because the settings were fixed before it existed. So far: +0.008 (t +2.6).
- ✗ Big enough to pay its costs. The highest fifth against the lowest: +0.1 bps, against about 10 bps for a round trip at typical fees.
What could still be wrong
A few days of record can be one market's mood; the answer has already flipped once as coins were added. Books can change in a second, so a snapshot every five minutes may miss what matters.
All the numbers
By day · mean rank correlation
| -0.058 11 Oct | -0.002 12 Oct | +0.023 13 Oct | -0.003 14 Oct | -0.001 15 Oct | -0.000 16 Oct | -0.017 17 Oct | +0.007 18 Oct | +0.052 19 Oct | +0.036 20 Oct | +0.014 21 Oct | +0.025 22 Oct | +0.019 23 Oct | -0.014 24 Oct | +0.008 25 Oct | +0.023 26 Oct | +0.033 27 Oct | -0.006 28 Oct | +0.022 29 Oct | +0.001 30 Oct |
Other settings · mean rank correlation
| next 5 min | next 15 min | next 60 min | |
|---|---|---|---|
| imbalance ±0.2% | +0.001 t +0.3 | +0.004 t +1.2 | +0.011 t +2.9 |
| imbalance ±1% | +0.013 t +5.7 | +0.007 t +2.6 | +0.008 t +1.9 |
| imbalance ±5% | +0.023 t +8.4 | +0.025 t +6.3 | +0.035 t +4.8 |
The test above is ±1%, next 15 minutes; these are the other distances and horizons. With several tries one will look good by luck, so all are shown.
By coin · rank correlation
| coin | rank corr. |
|---|---|
| ETH | +0.032 |
| BTC | +0.029 |
| XRP | +0.028 |
| APT | +0.026 |
| SUI | +0.026 |
| DOGE | +0.023 |
| ADA | +0.023 |
| ENA | +0.021 |
| NEAR | +0.021 |
| LTC | +0.021 |
| STRK | +0.018 |
| ZEC | +0.016 |
| TIA | +0.011 |
| W | +0.008 |
| ONDO | +0.008 |
| LINK | +0.006 |
| INJ | +0.006 |
| WLD | +0.004 |
| S | +0.004 |
| RSR | -0.001 |
| ZRO | -0.002 |
| UNI | -0.002 |
| HYPE | -0.003 |
| SOL | -0.003 |
| TAO | -0.007 |
| AAVE | -0.009 |
| ARB | -0.010 |
| DOT | -0.011 |
| GRASS | -0.012 |
| AVAX | -0.013 |
| MAGIC | -0.014 |
| FIL | -0.024 |
Update, 27 October 2026: where the idea comes from
Added after this page was published. The study above is left as it was.
- Order-book imbalance and the next move were tied together by Rama Cont, Arseniy Kukanov and Sasha Stoikov in 2014: changes in the orders at the best prices explained most of the next few seconds' moves. Ours is a slower cousin, the money resting within 1% of the price.
- For example: 600,000 dollars of bids and 400,000 of asks within 1% give (600,000 − 400,000) ÷ 1,000,000 = +0.2, a lean to the buyers.
- The catch: a resting order can be pulled in a second. Orders placed to be pulled ("spoofing") were made illegal in US markets in 2010, but a book seen every five minutes can't tell a real wall from one that will vanish.
- Theirs and ours. The link between order imbalance and the price is theirs. The depth measure, its books and its settings are ours.
Credits
- Rama Cont, Arseniy Kukanov and Sasha Stoikov, "The Price Impact of Order Book Events", Journal of Financial Econometrics, 2014: order flow imbalance and the price; ours is a related measure, the resting depth near the price.
- Charles Spearman, "The Proof and Measurement of Association between Two Things", American Journal of Psychology, 1904: the rank correlation.
- "Student" (William Sealy Gosset), "The Probable Error of a Mean", Biometrika, 1908: the t-statistic.
- The rule, its settings and the record are our own; the data as named above.
- PerpGremlin and Claude, Order-book pressure, TerminalGremlin, 2026: the tests, the code and the words.
How to read a study: the maths, step by step
1. Basis points (bps). A hundredth of a percent: 100 bps is 1%. 10 bps on $10,000 is $10. Buying and selling once (a round trip) at typical fees costs about 10 bps, so an effect smaller than that loses money.
2. The five groups (fifths). Take every hour of every coin and sort them by the signal, lowest to highest. Cut the pile into five equal groups. For each group, average the price move that followed. Each bar shows its group's move above or below the average of all hours, so a market that simply rose all month doesn't count. If the idea is right, the bars climb (or fall) steadily from one end to the other.
3. Rank correlation (Spearman's). One number for "when the signal is higher, is the move after higher too?" Put the hours in order by the signal (1st, 2nd, 3rd…), and again by the move that followed, then compare the two orders. Five hours in exactly the same order in both give +1; exactly reversed, −1; no pattern, about 0. Markets are noisy, so real effects are tiny: 0.03 held for years is notable. We work it out for each coin, then take the average over the coins.
4. t: more than luck? Even with no real link, an average comes out a little above or below zero by chance. How much it usually wobbles (the standard error) can be worked out from how much the coins disagree with each other. t is the average divided by that wobble. For example, an average of 0.02 with a usual wobble of 0.005 gives t = 4: four times what luck usually makes. Luck alone passes ±2 about 1 time in 20, and ±3 only a few times in 1,000. We ask for ±3, because coins move together and neighbouring hours overlap, which makes luck look surer than it is.
5. "The price bouncing back" taken out. Some signals mostly echo the price's last move: a fall, then a bounce. We remove what that last move already explains and check that what is left still lines up with the move after, with t still beyond ±3.
6. Many settings tried. Try twenty settings and one will look good by luck, so every setting tried is shown under "All the numbers", not only the best.
7. Old data and new data. The settings tested (distances, horizons, thresholds) were set on 12 Oct 2026, after a first look at the numbers (a study added later gives its own dates). The record from 13 Oct 2026 on was unseen when they were chosen, so it is the fair test: each study judges it apart, as "holds on new data", once there is enough of it.
The verdicts. Holds up: every test passed. Real, but small: every test passed but one: the effect is too small to pay for a trade's costs. Partly: more than chance, but some tests failed. A hint: t beyond ±2 but not ±3: perhaps something, perhaps luck. No sign: nothing the record can tell from chance. Too early: under 2 weeks of record. No reliable edge: a write-up's word: what looked good did not hold up against chance or on unseen data. No edge after fees: a write-up's word: there is something, but trading costs eat it. Not shown: a write-up's word: the record could not show that the idea helps. Passed, on a weak bar: a write-up's word: it cleared the bar set in advance, but the bar proved easy; the stricter reading, added after, is shown apart. No reliable gain: a write-up's word: the versions that looked better did not clear the bar set in advance: all three coins, at both a day and a week. Failed on fresh data: a write-up's word: a lead from one study, tested again on prices kept apart, did not hold. Not proven, a lead: a write-up's word: it failed the test set in advance, but pointed the same way throughout; worth a fresh test. Holds, with the coins paid for: a write-up's word: it held up through every test, but only as set out: the coins bought outright, nothing borrowed. Not confirmed; the lead holds: a write-up's word: on fresh data it fell just short of the bar set in advance, but still pointed the same way.
Historical data: Binance Vision (data.binance.vision), used under CC BY-NC-SA 4.0 (creativecommons.org/licenses/by-nc-sa/4.0); what is drawn from it here is shared under the same licence.
Educational research from public market data; any trading discussed is paper, never real. Nothing here is advice. The full notice.