Volume Imbalance (VI)

Real-time Indicator

Volume Imbalances are detected on the current bar by comparing it to the previous bar.

Event	Lag	Detail
Detection	0 bars	Detected as soon as the current bar's body creates a gap with the previous bar's body

Volume Imbalance detects gaps between consecutive candle bodies (open/close range) where no trading overlap occurred. Unlike a Fair Value Gap which spans three bars, a Volume Imbalance only needs two adjacent bars — making it a faster, more granular signal.

How it works:

Calculate body edges for each bar: body_hi = max(Open, Close), body_lo = min(Open, Close)
Bullish VI: Previous bar's body top is below current bar's body bottom, previous bar's high is below current body bottom, and the current bar moves aggressively upward
Bearish VI: Current bar's body top is below previous bar's body bottom, previous bar's low is above current body top, and the current bar moves aggressively downward
Zone boundaries capture the gap between the two bodies

def volume_imbalance(
    data: Union[PdDataFrame, PlDataFrame],
    open_column: str = "Open",
    high_column: str = "High",
    low_column: str = "Low",
    close_column: str = "Close",
    bullish_vi_column: str = "bullish_vi",
    bearish_vi_column: str = "bearish_vi",
    bullish_vi_top_column: str = "bullish_vi_top",
    bullish_vi_bottom_column: str = "bullish_vi_bottom",
    bearish_vi_top_column: str = "bearish_vi_top",
    bearish_vi_bottom_column: str = "bearish_vi_bottom",
) -> Union[PdDataFrame, PlDataFrame]:

Example

from pyindicators import (
    volume_imbalance,
    volume_imbalance_signal,
    get_volume_imbalance_stats,
)

# Detect Volume Imbalances
df = volume_imbalance(df)

# Generate signal
df = volume_imbalance_signal(df)

# Get statistics
stats = get_volume_imbalance_stats(df)
print(f"Bullish VIs: {stats['total_bullish']}")
print(f"Bearish VIs: {stats['total_bearish']}")

Output Columns:

Column	Description
`bullish_vi`	1 on bars with a bullish Volume Imbalance, else 0
`bearish_vi`	1 on bars with a bearish Volume Imbalance, else 0
`bullish_vi_top`	Top price of the bullish VI zone (NaN otherwise)
`bullish_vi_bottom`	Bottom price of the bullish VI zone (NaN otherwise)
`bearish_vi_top`	Top price of the bearish VI zone (NaN otherwise)
`bearish_vi_bottom`	Bottom price of the bearish VI zone (NaN otherwise)

Comparison with FVG:

Feature	Fair Value Gap (FVG)	Volume Imbalance (VI)
Bars span	3 bars	2 bars
Measured from	Wick (high/low)	Body (open/close)
Sensitivity	Lower — requires larger gap	Higher — catches smaller gaps

Volume Imbalance