Sierra Chart diagonal imbalance settings: how to configure and read diagonal comparisons

Sierra Chart diagonal imbalance settings in short

Sierra Chart diagonal imbalance settings control how the Numbers Bars study compares ask volume at one price with bid volume one price level below it. When the ratio between the two passes your chosen threshold, the cell is highlighted. You configure this in the Numbers Bars study settings, then read the highlights as a record of aggressive activity, not as a trade signal.

What diagonal comparison means

A footprint cell shows bid volume (trades hitting the bid) and ask volume (trades lifting the offer) at each price. A horizontal comparison would set the bid and ask at the same price against each other. A diagonal comparison instead sets the ask volume at a price against the bid volume at the price one tick below it, and the bid volume at a price against the ask volume one tick above.

The reasoning is about how the order book works. A buyer lifting the offer at 5001.00 in ES is trading against resting sell orders at 5001.00, while sellers hitting the bid are at 5000.75. Comparing across that diagonal lines up aggressive buyers at one level with the aggressive sellers at the neighboring level, which is where the two sides compete for position.

Example on ES, where one tick is 0.25 points:

• Ask volume at 5001.00: 420
• Bid volume at 5000.75: 80
• Ratio: 420 / 80 = 5.25

With a 300 percent threshold (3.0 ratio), the 420 cell would be flagged as a buy-side diagonal imbalance. This only describes what traded. It does not say what price does next.

Where to find the settings

The imbalance options live inside the Numbers Bars study. If you have not yet covered the basics, start with Numbers Bars settings for beginners, then return here.

1. Open the chart and go to Analysis > Studies.
2. Select the Numbers Bars study in the list and click Settings.
3. Open the Settings tab and look for the imbalance-related inputs, usually named something like Volume Imbalance Type, Imbalance Percentage and Imbalance Min Volume (exact labels can vary by version).
4. Open the Numbers Bars Calculated Values or Colors sections to assign highlight colors.

The Sierra Chart documentation for Numbers Bars describes the current input names, so check it against your build: Sierra Chart Numbers Bars documentation.

Core inputs to configure

Imbalance type

Choose the diagonal comparison method rather than the same-price option. This is the setting that decides whether the study compares across the diagonal. If your highlights look identical to a same-row comparison, this is the first thing to check.

Imbalance percentage or ratio

This is the threshold. A value of 300 means one side must be at least three times the opposing diagonal value. Common starting points range from 200 to 400, but there is no universally correct number. Fast instruments with large volume per tick, such as ES and NQ, tolerate higher ratios, while thinner contracts such as CL on a quiet session may need lower ones to show anything.

Minimum volume filter

Ratios on tiny numbers are noisy. Ask 6 against bid 1 is a 6x ratio, but it is six contracts. A minimum volume setting prevents those cells from highlighting. Suggested approach:

• Set it relative to typical per-tick volume on your instrument and time frame.
• Review a normal session and raise it if small cells keep lighting up.
• Lower it if nothing ever highlights during active periods.

Highlight colors

Use one color for buy-side imbalance and a clearly different one for sell-side imbalance. Keep the font readable against the cell background. Layout and readability choices are covered in footprint chart setup, so this article stays on the comparison logic.

Reading the highlights

Single imbalances

One highlighted cell tells you that at one price, aggressive volume exceeded the opposing diagonal by your threshold. That is a fact about that bar only. On its own it carries little weight, since any busy bar can produce one.

Stacked imbalances

Several consecutive highlighted cells on the same side show a run of one-sided aggressive trading across adjacent prices. Traders often watch stacks because they indicate persistence within the bar. Whether that persistence continues or fades is not knowable from the highlight, so treat it as context to combine with other evidence, not a rule.

Edges of the bar

The top and bottom rows of a bar have no diagonal partner on one side. A top-row ask cell has no bid above to compare against in some calculations, so the edge may show a blank or a different result. Know how your version handles this before reading extremes.

To be alerted when a single price level reaches a volume threshold, rather than a ratio, use the Volume at Price Threshold Alert V2 study.

Instrument examples

• ES: High volume per tick. A 300 percent threshold with a modest minimum volume may be a workable start on a 5-minute or range bar.
• NQ: Larger tick movement and faster pace. Many users raise the minimum volume because small cells flip often.
• CL: Volume can thin out outside the main session. Tune the minimum volume per session, and confirm contract specifications on the CME Group crude oil page.
• EURUSD: Spot forex has no central tape. Volume in Sierra Chart on a futures proxy such as 6E, or on a broker feed, reflects only that source, so imbalance numbers represent that feed and not the whole market.

Common mistakes

• Using a ratio without a minimum volume, which floods the chart with meaningless highlights.
• Changing thresholds every session until the chart agrees with a bias.
• Comparing results across different bar types and assuming the same numbers apply. A 1-minute bar and a 2000-tick bar will distribute volume differently.
• Treating a highlight as a signal. It is a measurement.
• Ignoring data quality. Imbalance relies on accurate bid/ask classification, which depends on your data feed and whether it provides tick-level bid and ask information.

A simple way to validate your settings

1. Load a day of historical data for your instrument.
2. Pick three bars and calculate a few diagonal ratios by hand.
3. Check that the highlights match your calculation.
4. Adjust the threshold and minimum volume until highlights appear on bars you consider notably one-sided, and not on every bar.
5. Save the settings in your chartbook so they persist. Details on file handling are in how to install a Sierra Chart chartbook.

If you want the underlying bid and ask volume logic first, how to read a footprint chart covers it, though this guide assumes you already know it.

Edge cases and limits of a bid ask imbalance

The settings above decide which cells light up. The cases below decide whether a highlighted cell means anything.

Zero volume on the opposite side

If ask volume at P is 12 and bid volume one tick below is 0, the ratio is mathematically undefined. Platforms handle this differently: some treat it as an infinite imbalance, some ignore it, some apply a minimum volume rule. Twelve contracts against zero is not meaningful pressure on ES, which is why a minimum volume filter matters. Check how your study treats zero values before trusting those flags.

Top and bottom of the bar

The lowest row has no bid row below it for a diagonal buy comparison, and the highest row has no ask row above it for a diagonal sell comparison. Extremes of a bar are often exactly where traders look for exhaustion, yet the diagonal method has less information there.

Price row grouping

If you combine several ticks into one row, for example 4 ticks per row on NQ (tick size 0.25, so 1.00 point per row), the "one level below" in the comparison becomes one row below, not one tick below. The diagonal logic no longer matches the actual inside quote. Imbalance counts on grouped rows are not comparable to tick level counts.

Imbalances show executed aggression, not intent

A flagged cell says market buyers outtraded market sellers in that pairing. It says nothing about resting limit orders that absorbed them, or about orders pulled before they traded. A buy imbalance at a high followed by no further progress can reflect absorption by passive sellers. For resting liquidity you need depth of market data, which the footprint alone does not show.

Bar construction changes every number

A 1-minute, 5-minute or range bar footprint slices the same trades differently. A stacked imbalance on a 5-minute bar may not exist on 1-minute bars, because volume that was summed in one cell gets split. Compare imbalances only across charts built the same way.

Instrument context

The same threshold behaves differently across markets. ES usually trades large size per level, so a 300% ratio on small volumes during a quiet overnight session may mean little. CL, with a 0.01 tick, spreads volume across many more price levels, so individual cells are thinner and ratios swing more easily. Adjust the minimum volume filter per instrument and session.

Spot EURUSD is a special case. Spot forex has no centralized exchange volume, so a retail feed's bid ask split is not a true record of aggression across the market. If you want footprint imbalances on the euro, use the CME Euro FX futures contract (6E), where trades are exchange reported.

Conclusion

Diagonal imbalance settings come down to three decisions: use the diagonal comparison type, choose a ratio, and filter out low-volume noise. Check highlights against hand calculations, keep thresholds consistent, and treat the result as a description of aggressive volume and not as a forecast. Trading futures and forex carries risk of loss, and no setting removes it. If you want tools built around this kind of order flow reading, SierraOnShop offers Sierra Chart resources worth exploring.

FAQ

Why are my diagonal imbalances not highlighting at all?

The ratio may be too high, the minimum volume filter too strict, or the imbalance type may not be set to diagonal. Also confirm your data feed supplies bid and ask volume, since without it the study cannot classify trades.

Is a 300 percent imbalance ratio the best setting?

No single value is best. It is a common starting point. Adjust it to your instrument, bar type and session activity, then keep it consistent while you evaluate.

Do diagonal imbalances work on replay and historical data?

They can, provided the historical data contains tick-level bid and ask volume. Data that only has aggregated volume may not produce accurate results. See the Sierra Chart tick by tick data documentation for data requirements.

Can I use diagonal imbalance on EURUSD?

Yes, with a feed that provides bid and ask volume, but remember that spot forex volume is specific to your broker or provider and does not represent the whole market.