The Footprint order flow indicator gives traders an edge by providing deep insights into each bar's internal buying and selling activity. It shows where aggressive sellers and buyers are. Where big orders are placed and where important support & resistance levels are., It will highlight all the important single, multiple, stacked, and oversized delta imbalances as these often provide clues about what the market is going to do next. It will spot imbalances on both price level and bar level.
Besides delta imbalances, it will also give signals for all the important Delta setups.
By using and understanding a footprint order flow chart you will have a clear edge over 99% of all other traders who are just looking at the normal bar open/high/low/close and have no idea about the aggressive sellers and buyers inside each candle and what their plans are
No matter if you are scalping for a few ticks, or are more of a swing trader looking for bigger moves. Orderflow footprint charts will help you finetune your entries and stop-loss placement
1 Footprint chart layouts
The indicator can show up to 3 different layouts. Each layout has its own color scheme which you can fully customize. You can define your default layout in the indicator settings, and with our easy to access context menu you can quickly switch between the different layouts without having to change the indicator settings
1.1 Footprint Table Layout
With the table layout, the information is displayed in a table-like style. On the left of each bar, we see the total number of contracts traded on the bid for each price level. And on the right of the bar, we see the total number of contracts traded on the ask for each price level
The price level with the highest volume is marked by a gray background and border (NOTE all colors can be customized)
1.2 Footprint Bid/Ask Layout
The bid/ask layout is showing the same information as the table layout but in a slightly different way. Now the bid and asks are plotted more like a histogram. The more contracts are traded at a price level, the wider the row becomes. This quickly gives you an indicator of where most of the volume took place inside a bar. You can also optionally highlight the price level with the highest volume
1.3 Footprint Delta Layout
The delta layout shows the delta volume between the bid and asks for each price level. When the delta is negative, it's displayed in gray on the left side of the bar. If it's positive then it's displayed in blue on the right side of the bar. Again you can optionally choose to highlight the price level at which most volumes got traded
2. Footprint Bar Statistics
The footprint indicator can display bar statistics above each bar.
2.1 Delta Volume
The first line shows the delta volume for each bar. Delta volume is defined as the bid volume - ask volume. Green color means its positive, red color means its negative
In the screenshot below you see that the first bar has a positive delta volume of 2167, the next bar had a negative delta volume of -343 and the last bar had again a positive delta volume of 394
2.2 Delta Volume Percentage
The second line shows the delta volume percentage for each bar. The delta volume percentage is defined as (delta volume) / (total volume)
2.3 Total Volume
The third line shows the total bar volume
2.4 Total Bid / Ask Volume
And the last line shows the total bid volume and total ask volume for each bar
3. Delta Imbalances
3.1 Single delta imbalances
The indicator can highlight single delta imbalances at each price level. An imbalance occurs when the ratio between the bid/ask is more than a predefined percentage. By default, the indicator uses a ratio of 400% which is the industry standard but this can be changed. So when the ratio between the bid and ask is 400% or more the indicator will highlight this with a red text color for the bids or blue text color for the asks.
In the screenshot below you can see that the first bar had a single imbalance of 4/77 on the bid. The second bar had a single imbalance on the ask of 30/1
3.2 Oversized delta imbalances
The indicator can also highlight oversized imbalances. An oversized imbalance is when the ratio between the bid and ask is 1000% or more. Again you can change this value but 1000% is more or less the industry standard. When the ratio between the bid and ask if 1000% or more then the indicator will highlight this with both a red text color AND border for the bids, or a blue text AND border for the asks
In the following screenshot, the left bar has an oversized imbalance on the ask, as can been seen by the blue text color and border. The right bar also has an oversized imbalance, but this time on the bid, as can be seen by the red color and border.
3.3 Multiple delta imbalances
The indicator will plot a green or red border around the entire bar when the bar contains 3 or more imbalances on the ask and/or bid side. As seen in the screenshot below we have 4 ask imbalances. Therefore the entire bar is surrounded by a green border. If we would have 3 or more imbalances on the bid side then the bar would be surrounded by a red rectangle.
3.4 Stacked delta imbalances
Stacked imbalances occur when we have 3 (or more) imbalances stacked on top of each other. gain this can happen on the bid and/or the ask side
When a stacked imbalance is the indicator will highlight this by coloring the background for the next 5 bars (you can change the number of bars)
When we get a stacked imbalance on the bid, the indicator will mark this with a red background for the next 5 bars (see screenshot). For a stacked imbalance on the ask, the background for the next bars will be green
4. Delta Imbalance Signals
4.1 Big Delta Imbalance Signal
The indicator can highlight big imbalances with a yellow dot in the middle. You can specify the minimum imbalance level needed to determine a big imbalance. For ES this would be around 1300.
Of course, you can define the level (1300 by default), and you should adjust this for the markets you are trading. Big imbalance levels should not appear often. They should occur 1-2 a day. So if you see many yellow dots on your chart then you will need to increase the big imbalance level for your markets.
In the following screenshot, you see a big imbalance highlighted by the yellow dot. As you can see 1477 contracts were traded on the bid side, and 350 contracts on the ask side.
4.2 Second row delta imbalance
A second-row imbalance signal means buyers or sellers have failed to push the market higher or lower. On the chart, this indicated by a yellow diamond
The rules for a 2nd-row imbalance are
- A green candle and an imbalance on the 2nd row from the bottom of the bid
- A red candle and an imbalance on the 2nd row from the top on the ask
The idea is that buyers spent a lot of volume trying to move the market up, but in the end, the candle closed lower. Since buyers failed to push it up further and the candle closed lower price is likely to continue downwards. See screenshot below
The reverse is also true for sellers trying to move the market lower and failing with a green-up candle as can see in the following screenshot.
Here we see sellers spend a lot of volume, creating an imbalance but in the end, failing to push prices lower. The candle closed as a green candle and the price just went higher from afterward
4.3 Unfinished business or failed action
An unfinished business or failed action occurs when
- The market makes a new high but has 1 or more contracts traded at the bid at the high price of the bar
- or the market makes a new low but has 1 or more contracts traded at the ask at the low of the bar
When this happens then this is called unfinished business or a failed action. In general, price likes to return to this level and restest it, or take care of the unfinished business.
The indicator can show unfinished business by a green or red line which stays on the chart until the market returns to retest it. You can optionally choose to hide lines that are retested or keep them on your chart
In the screenshot below we see the market making a failed action, and a few bars later it comes back and retests the level
7. Footprint summary
The indicator can show a summary for each bar right below the chart, You can fully customize what you want to see in the summary
8. Context menu
Sometimes you just want to switch quickly between the different styles to see how the footprint chart might look in delta or table view. Or perhaps you want to temporarily hide the footprint summary. For this, we added a quick context menu that allows you to do this. Using the menu you can quickly switch between the different footprint styles and/or hide/show the bar statistics or footprint summary
9. Delta Signals
The indicator can plot several delta signals/setups in real-time. These signals are plotted in the footprint summary by small colored diamonds. Each signal can be enabled/disabled and you can change its color. Note that you should not just trade any delta signal blindly. Always look at where it appears and at the bigger context. In general, signals are more powerful when they occur at swing hi's and swing lows. In the following screenshot, you can see several signals. All signals will be explained below
9.1 Delta Surge signal
The delta surge signal is a 4-bar signal and is colored cyan by default. It triggers when we see a sudden increase in the delta and when the delta is getting stronger and stronger. This is often a tell that buyers (or sellers) are in control and the market is/might be starting to trend.
- The first bar has a negative delta, then the next bar has a positive delta and in the following 2 bars the positive delta increases more
- The first bar has a positive delta, then the next bar has a negative delta and in the following 2 bars the negative delta increases more
Here you can see an example of a delta surge signal. The first bar has a negative delta of -222, then in the next bars we see delta increase to positive 14->344->461
So in 4 bars, we went from -222 to +461 where each bar is getting a bigger positive delta. When that happens the delta surge signal will be plotted
9.2 Delta Divergence signal
The delta divergence is a trend reversal signal. Its strength is when it appears at a swing low or swing high, so those are the places where you should look at them. The Delta divergence is plotted when there is a divergence between delta and price.
- Price makes a new low with a green candle and positive delta
- Price makes a new high with a red candle and negative delta
Here we can see the price going down and then on the bottom it prints a green bar which not only makes a new low but also has a positive delta. So although the bar made a new low, the delta is positive and we closed with a green bar, which indicates delta divergence and a possible reversal
9.3 Delta Flip signal
The Delta flip signal is a 2-bar signal. It triggers when there is a sudden shift in Delta from positive <-> negative and indicates a potential reversal. Again look for these signals at important places like swing lows/hi's
- The first bar closes on its min-delta and has a max-delta around 0. The next bar closes on its max-delta and has a min-delta around 0
- Or the first bar closes on its max-delta and has a min-delta around 0. The next bar closes on its min-delta and has a max-delta around 0
9.4 Delta Tail signal
A delta tail signal occurs when a bar has a negative delta at all price levels except the bottom of the bar and vice versa.
- The bar has a negative delta at all prices except the bottom or
- The bar has a positive delta at all price levels except the top
Below you see a bar that has a negative delta at all price levels except at the bottom. The bar also has imbalances and stacked imbalances as shown by the red border and red background.
9.5 Delta Reversal signal
The Delta Reversal signal gets plotted when a bar has an above-average max and min delta.
- The bar has above average max and min delta
Below we see that the second bar has a high max and high min delta.
- Orderflow Footprint chart
- footprint summary
- Choose between Table layout/ Bid/Ask layout and Delta layout
- Each layout can be fully customized
- Plots up to 3 POC's / high volume nodes per bar
- Plots single imbalances
- Plots multiple imbalances
- Plots stacked imbalances
- Plots oversized imbalances
- Plots highest ask/bid volume in each bar
- Bar statistics
- Total volume
- Total ask & bid volume
- Delta volume
- Delta volume %
- Bar imbalance signal
- Plots signals
- Big imbalances
- 2nd-row imbalances
- Bar delta volume imbalances
- Stacked and multiple imbalances
- Bar imbalance signal
- Unfinished business or failed actions
- Delta Surge
- Delta Flip
- Delta Reversal
- Delta Tails
- Delta Divergence
- Fully customizable
- Quick and easy to access context menu to quickly flip between the different styles and show/hide bar statistics or footprint summary
- Works on any timeframe
- Works on any market
- Works on any bar-type (which supports tick replay )
- Works with any NinjaTrader license
NOTE-1 !! You do need to enable tick replay in your data series to use this indicator. Watch the video on how to enable this.
NOTE-2 !! This indicator requires historical and real-time tick data. Not all brokers support this. Consult your broker in case you are unsure.
We offer a 100% free 5-day trial of all our indicators allowing you to test our software before buying it. Since you are able to test all our software before buying it all sales are final and non-refundable!
- changed delta signal diamonds to letters
- fixed small layout issues
- added option to highlight the largest 3 POC's
- fixed small layout issues
- added context menu
- fixed small layout issues
- improved default color scheme
- added more signals
- fixed small bugs and layout issues
- the first version is released
Footprint chart table style
Footprint chart bid/ask style
Footprint chart Delta style