Financial Data Structures: Information Driven Bars (Run and Imbalance)
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The purpose of information-driven bars is to sample more frequently when new information arrives to the market. In this context, the word “information” is used in a market microstructural sense.
In this case information - volume/tick imbalance is associated with the presence of informed traders.
The idea behind tick imbalance bars (TIBs) is to sample bars whenever tick imbalances exceed our expectations. We wish to determine the tick index, T, such that the accumulation of signed ticks (signed according to the tick rule) exceeds a given threshold.
