# Volume-Imbalance Bars

`D01-F01-A06` · Market Data Engineering → Bar Construction · archetype `tape-aggregate` · difficulty 4/5 · verification **verified**

Full page: https://docs.thefintechbuilder.com/market-data-engineering/bar-construction/volume-imbalance-bars/
Agent skill: `npx skills add IslamBaraka90/Fintech-Algorithms-Library` — https://docs.thefintechbuilder.com/guides/agent-skill/

## Install and import

```bash
npm install fintech-algorithms
```

```ts
import { constructBars } from "fintech-algorithms/market-data-engineering/bar-construction/volume-imbalance-bars";
```

## Signature

```ts
constructBars(trades, config)
```

The imbalance rule applied to signed *volume* rather than signed tick count, so one large order weighs more than many small ones pointing the same way.

## Parameters

| Name | Type | Required | Notes |
| --- | --- | --- | --- |
| `trades` | `Trade[]` | yes | The raw tape in chronological order. Each trade carries `tradeId`, `timestamp`, `session`, `symbol`, `price`, `volume` and `currency`. |
| `config` | `{ initialTickSign: number; initialExpectedTicks: number; initialExpectedSignedVolume: number; alphaTicks: number; alphaSignedVolume: number; thresholdFloorShares: number; thresholdScale: number; closePartial?: boolean }` | yes | As for tick-imbalance bars, but the tracked quantity is signed volume. `thresholdFloorShares` is the floor in shares, and `thresholdScale` multiplies the expectation to form the trigger. |

## Returns

`Bar[]` · length fewer

One bar per signed-volume imbalance event.

## Errors

- When any alpha falls outside 0…1, or a seed expectation is not positive — throws

## Complexity

Time `O(n)`, space `O(bars)`.

## Worked example

This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

### Input

`trades`:

```json
[
  {
    "tradeId": "W01",
    "timestamp": "2026-01-05T14:30:00.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 100,
    "volume": 60,
    "currency": "USD"
  },
  {
    "tradeId": "W02",
    "timestamp": "2026-01-05T14:30:00.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 100,
    "volume": 40,
    "currency": "USD"
  },
  {
    "tradeId": "W03",
    "timestamp": "2026-01-05T14:30:01.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 99.99,
    "volume": 70,
    "currency": "USD"
  }
]
```

Showing 3 of 8 elements.

`config`:

```json
{
  "closePartial": true,
  "initialTickSign": 1,
  "initialExpectedTicks": 4,
  "initialExpectedSignedVolume": 50,
  "alphaTicks": 0.25,
  "alphaSignedVolume": 0.25,
  "thresholdFloorShares": 120,
  "thresholdScale": 1
}
```

### Call

```ts
constructBars(trades, config)
```

### Returns

array of 2 objects

```json
[
  {
    "barIndex": 0,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:30:00.000Z",
    "endTime": "2026-01-05T14:30:04.000Z",
    "open": 100,
    "high": 100,
    "low": 99.97,
    "close": 99.97,
    "volume": 405,
    "dollarValue": 40493.65,
    "tickCount": 6,
    "firstTradeId": "W01",
    "lastTradeId": "W06",
    "closeReason": "threshold"
  },
  {
    "barIndex": 1,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:30:05.000Z",
    "endTime": "2026-01-05T14:30:06.000Z",
    "open": 99.98,
    "high": 99.99,
    "low": 99.98,
    "close": 99.99,
    "volume": 135,
    "dollarValue": 13497.85,
    "tickCount": 2,
    "firstTradeId": "W07",
    "lastTradeId": "W08",
    "closeReason": "threshold"
  }
]
```

## Verification and provenance

Tier: **verified** (via input-expected).

The worked example below is the figure published in this algorithm's article, replayed and asserted by the test suite on every build. The arithmetic cannot drift without the build failing.

Both tiers guarantee the signature. Full explanation: https://docs.thefintechbuilder.com/guides/verification/

Generated from the docs.json payload shipped inside fintech-algorithms@0.13.1.
The signature and parameter list are checked against the compiled implementation at build time,
so a description that contradicts the code fails the build rather than reaching this file.

## Links

- Article (how it works, step by step): https://thefintechbuilder.com/market-data-engineering/bar-construction/volume-imbalance-bars/
- Implementation source: https://github.com/IslamBaraka90/Fintech-Algorithms-Library/blob/main/src/market-data-engineering/bar-construction/volume-imbalance-bars/impl.ts
- Standalone repository: https://github.com/IslamBaraka90/Fintech-Volume-Imbalance-Bars-Bar-Construction-algorithm
- Package on npm: https://www.npmjs.com/package/fintech-algorithms
- Domain index for agents: https://docs.thefintechbuilder.com/market-data-engineering/llms.txt