A volume imbalance is a gap between the bodies of two adjacent candles whose wicks nevertheless overlap. The second candle opens away from where the first closed, yet price did visit the space between — with a wick.
That is the difference from an FVG: there the stretch is empty outright, here wicks have been through it.
How it is found
Two adjacent candles are taken and their body edges compared. For the bullish case, the bottom of the second candle's body must be above the top of the first candle's body — while the second candle's low is not above the first candle's high, meaning the wicks did cross. The bearish case mirrors.
The zone is the space between the bodies.
The 0.1 ATR threshold
Gaps between bodies occur far more often than FVGs, and on average they are smaller. So the threshold here is 0.1 ATR — three times lower than the 0.3 ATR used for ordinary gaps.
Both numbers are tied to the instrument's volatility rather than to absolute price: one threshold then works on gold and on a coin worth fractions of a cent alike.
Crossed ones are not shown at all
Here it differs from the other imbalances. An FVG crossed all the way through stays on the chart as mitigated and may produce an inversion. For a volume imbalance, if price has already reached the far edge, no object is created.
The reason is scale: there are many of these zones, they are small, and keeping every mitigated one would drown the rest of the markup. Only fresh and touched ones are shown.
Where the threshold came from
This condition is not in the original method — there a volume imbalance is described with no lower bound on size. We added the threshold because without it daily charts collected hundreds of zones a tick thick. The decision is recorded in the module's decision log, along with the reason and how to revert it.
What the zone does not mean
The name mentions volume, but no volume enters the calculation: only open and close prices are used. It is a gap between bodies, nothing more.
Like the rest of the markup, the zone describes the past and claims nothing about whether price will return.