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The Worst-Kept Secret of HFT: Volume Imbalance, Uncertainty Zones,
and a Full MT5 EA
Javier Santiago Gastón de Iriarte Cabrera19 min read·Just now--
A 2026 paper from École Polytechnique finally explains why LOB imbalance predicts prices — and we built an Expert Advisor to trade it.
There is a signal so widely known in quantitative finance that Sasha Stoikov described it at a research seminar in 2014 as “the worst-kept secret of high-frequency trading”: the volume imbalance of a limit order book reliably predicts the direction of the next mid-price move.
Every HFT desk knows it. Every market microstructure researcher has confirmed it. Yet until recently, no one had provided a clean theoretical explanation of why it works — only empirical evidence that it does.
“When imbalance is close to 1, the mid-price is likely to jump upwards. When it is close to −1, the mid-price is likely to jump downwards.”
— Pulido, Rosenbaum & Sfendourakis, Finance & Stochastics (2026)
A January 2026 paper published in Finance & Stochastics by Sergio Pulido (Université Paris-Saclay), Mathieu Rosenbaum and Emmanouil Sfendourakis (École Polytechnique) finally closes this gap — by deriving the predictive imbalance endogenously from an optimal market-making problem.
In this article, we break down the mathematics behind the model, explain the key intuition, and walk through a complete MT5 Expert Advisor that translates the theory into a tradeable strategy.
