订单流不平衡包含了买卖方向和买卖力度，能够很好地衡量市场的供需状况。事实上，订单流不平衡是市场信息流的一个反映。本文参考了许多文献后，提出了期货订单流不平衡指标的计算方法，其中，对买卖方向的现有计算方法进一步优化，同时讨论股票价格的风险敞口的不同计算方法导致的差异。 本文实证考察了股指期货订单流不平衡对股指价格波动是否具有预测作用。具体地，选用沪深300股票指数。通过分析证明了订单流不平衡的信息会从期货市场传导到股票市场。进一步地，本文从股票市场的涨跌阶段、数据的频率、订单流不平衡累计的时间等多方面进行检验，得到牛市阶段、每分钟频率的高频数据、使用15分钟加总的订单流不平衡，订单流不平衡的预测能力较好。

Order imbalance indicates an excess of buy or sell orders for a specific security on a trading exchange, which measures supply and demand in the market. In fact, it is a reflection of the market’s information flow. This paper optimizes the previous algorithm used to measure the direction of buy and sell, and we discuss the difference caused by using different algorithms to calculate the risk exposure of stock prices. Then, the paper proposes a new one to measure the imbalance indicators. We investigate whether the imbalance of stock index future order can predict the fluctuation of stock index prices, and find out that imbalance information will be transferred from the future market to the stock market. And We further examine the result from the aspects such as fluctuation of stock index prices, data frequency, aggregated intervals of imbalanced order, predictability of intraday returns. The result shows that using data of bull market, minute frequency, 15 minutes aggregated order flow and morning time will predict stock index order imbalance better.