tradedevils-indicators

Footprint Orderflow indicator

$349.00

Overview

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  

Tradedevils orderflow footprint indicator for NinjaTrader 8

1 Footprint general settings

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 drop-down menu you can quickly switch between the different layouts without having to change the indicator settings

 

Footprint general 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)

Footprint table layout NinjaTrader 8

 

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 

Footprint bid/ask table layout ninjatrader 8


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

Footprint layout delta ninjatrader 8

 

1.4 Cell display text

For each footprint style, you can select what the cell text should show. You can choose between:

  • Bid / Ask
  • Volume
  • Delta
  • Diagonal Delta

Footprint cell text types ninjatrader 8

 

1.4 Delta calculation methods

The footprint indicator can calculate the delta based on 

  • Bid/Ask volume 
  • Up/Down tick volume
  • Up/Down tick count

Bid/ask is preferred, but not all exchanges supply this. For those exchanges, you can choose one of the other options

 

1.6 Grouping price levels / Tick aggregation

You can group multiple price levels together into one single print. This is very useful for instruments like NQ, and crypto, or when you want to look at a higher timeframe e.g. a 5min footprint chart. Without grouping price levels there might just be too many numbers in a single bar making the screen difficult to read.

When we group multiple price levels together (e.g. 5 ticks) we reduce the number of numbers in each bar and make the chart much easier to read

 

Footprint tick aggregation

1.7. Show Bar Value Area

 When enabled this will show the value area for each bar. The value area is colored green for an up bar and red for a down bar, but these colors can be changed as you like

Footprint bar value area

1.8 Show last traded tick/price

When enabled this will highlight the last price/tick traded by a yellow background color. You can of course change the color to your liking

Orderflow last traded price


Footprint last traded tick 

 

2. Footprint Bar Statistics

The indicator can display bar statistics above and below each candle. In the indicator settings, you can define what should be displayed in each row above and below the candle. You can show up to 4 different rows above the candle and 4 different rows below the candleFootprint bar statistics

 

Footprint bar statistics

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

Single delta imbalances in the orderflow footprint chart

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 the ask is 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 be 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.

Oversized imbalances in the orderflow footprint chart for NinjaTrader

 

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. 

Multiple imbalances footprint chart

 

3.4 Stacked delta imbalances


Stacked imbalances occur when we have 3 (or more), (this minimum can be changed in the settings) 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 which stays on the chart until its broken.  For a stacked imbalance on the ask, the background for the next bars will be green

Footprint chart stacked imbalances

3.5 Reversal imbalances / trapped traders

Reversal imbalances are indications of trapped traders. They occur when there are multiple buy imbalances at the top of a red bar, (or multiple sell imbalances at the bottom of a green bar). These imbalances mean traders went a long (or short) trying to trade a breakout but prices reversed on them and now these traders are trapped in a losing position.

 Below you see an example where price breaks out from a consolidation area. Traders go long, trying to trade the breakout, but then the price reverses. The traders who went long got trapped and are now in a losing position

Orderflow footprint imbalance reversal signal

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. 

Foot print chart big imbalance signal

 

4.2 Second-slot delta imbalance

A second-slot 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-slot 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

Second slot imbalance orderflow

 

5. 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

Footprint chart unfinished business or failed action


6. 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

Footprint summary table NinjaTrader 8

The footprint can show up to 10 rows and you can define what should be shown on each row. 

  • Bid = total bid volume of the bar
  • Ask = total ask volume of the bar
  • Delta Signals (see below)
  • Delta = the delta (ask - bid) of the bar
  • Max Delta = The maximum delta reached in the bar
  • Min Delta = The minimum delta reached in the bar
  • Delta Percentage = the delta/volume percentage 
  • CumulativeDelta = the cumulative delta
  • CumulativeDelta/Volume = the cumulative delta/volume
  • Volume = the total volume of the bar
  • Buy Volume = the total buy volume of the bar
  • Sell Volume = the total sell volume of the bar
  • Trades= the number of trades traded in the bar
  • COT High = the COT high of the bar
  • COT Low = the COT low of the bar

The footprint summary also shows letters for the different delta signals:

  • F = Delta Flip
  • T = Delta Tail
  • R = Delta Reversal
  • D = Delta Divergence
  • S = Delta Surge

Footprint tabel settings

6.1 Delta extremes

You can highlight the cells which have an

  • a delta extreme
  • a delta volume% extreme
  • a volume extreme
For each of these, you can specify both the threshold and the color. E.g. below you can see a delta extreme  of -1104 which is indicated by the cyan background

 Delta extremes

 

6.2 Small Min/Max Delta

You can highlight cells that have a low Min or Max delta.  Again you specify the threshold and color. E.g. below you can see a Min delta of 1 which is highlighted by a white background

Min/Max delta

 

The settings for the extremes and small min/max delta can be found here

 Delta extremes settings

 

 

7. Easy access dropdown 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

Footprint chart dropdown menu

8. 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

Footprint delta signals NinjaTrader 8

 

8.1 Delta Surge signal (S)

The delta surge signal is a 4-bar signal and is indicated with the letter 'S' and/or a magenta vertical stripe. The signal happens when there is 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.

Rules:

  • 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 

Example:

Here you can see an example of a delta surge signal. The first bar has a negative delta of -461, then in the next bars we see the delta increase to positive 119->429->620

So in 4 bars, we went from -461to +620 where each bar is getting a higher positive delta. When that happens the delta surge signal will be plotted 

Orderflow footprint delta surge signal Ninjatrader 8

8.2 Delta Divergence signal (D)

The delta divergence is a trend reversal signal. Only look for these signals when they occur at (or near) a swing high/low. The Delta divergence is plotted in the footprint table with the letter 'D' and a blue vertical stripe.

Rules:

  • Price makes a new low with a green candle and positive delta
  • Price makes a new high with a red candle and negative delta

Example

In the screenshot below we can see the trend going up and making a new high.. then just after making a new high, we get a red candle with a bearish delta divergence signal and then the trend reverses and goes down

Ninjatrader 8 orderflow footprint delta divergence signal

8.3 Delta Flip signal (F)

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 delta flip is shown in the footprint chart with the letter 'F' and a yellow vertical stripe

Rules

  • 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

Example

Footprint orderflow NinjaTrader delta flip signal

8.4 Delta Tail signal (T)

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. It is plotted on the footprint table with the letter 'T' and an orang vertical stripe

Rules

  • The bar has a negative delta at all prices except the top or
  • The bar has a positive delta at all price levels except the bottom

Example

Below you see a bar that has a negative delta at all price levels except at the top. 

Orderflow delta tail signal

 

8.5 Delta Reversal signal (R)

The Delta Reversal signal gets plotted when a bar has an above-average max and min delta. It is plotted with the letter 'R' and a light salmon vertical stripe

Rules

  • The bar has above-average max and min delta

Example

Below we see that the second bar has a high max and high min delta, and prices reverse.

Ninjatrader orderflow delta reversal signal


 

9. Delta Signal Alerts

Each delta signal can give an alert and each delta signal can have its own sound.

You can enable which signals should give an alert and which sound to play in the indicator settings

Volume delta alerts

10. Vertical stripes for delta signals

You can enable displaying vertical stripes for any delta signal. Each delta signal can have its own color so you can easily see that a delta signal is present for a candle and which signal it is by looking at its color

Below you will see that 2 vertical stripes are displayed since the first candle has a delta Surge signal and the second candle has a delta divergence signal

Vertical stripes for all delta signals

 

11. Thin prints

Thin prints happen when there is a 0 at one or more price levels. They indicate a sudden momentum. Price swept through these levels without any counter-trading.  When this happens this leaves a gap that often will get filled within a few bars

Thin prints orderflow footprint

12. Above / Below POC signals

The Above/below POC signals are very powerful signals when they occur at new swing lows or swing hi's.  They indicate the market reached a top (or bottom) and is ready to reverse. The signal is shown on the chart with a red triangle above or green triangle below the candle 

Rules:

  • A green bar that opens & closes above the POC at a swing low
  • a red bar that opens & closes below the POC at a swing hi

 Above/below poc footprint signal

13. Volume profile

The footprint indicator can show the session volume profile on the left or right of the chart. Including the POC, Value area high &  low

Footprint volume profile

 

14. Delta bars

You can (optionally) show delta bars above the footprint summary table. The delta bars give you a quick glance if there is a delta % increase or decrease

Footprint delta bars for NinjaTrader 8

 15. Bloodhound(*) / NinjaScript / Strategy support

The indicator exports all delta signals as plots so you can use them from BloodHound/ ninja script/ strategy builder/ninja script strategies.

(*) You can use these plots with BloodHound. However, BloodHound does not support Tick Replay yet in NinjaTrader 8. This means that the signals/plots will only work for live real-time bars in Bloodhound!! 

 Footprint orderflow plots for strategies


16. Features

  • Orderflow Footprint chart
  • Bid/Ask, Up/Down tick volume, or Up/Down tick count delta calculation methods
  • Footprint summary table
  • Delta bars
  • Choose between Table layout/ Bid/Ask layout and Delta layout
  • Each layout can be fully customized
  • Plots up to 3 POCs / high volume nodes per bar
  • Plots single imbalances
  • Plots multiple imbalances
  • Plots stacked imbalances
  • Plots oversized imbalances
  • Plots reversal imbalances
  • Plots bar value area
  • 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
  • Vertical stripes for delta signals
  • Volume profile
  • Tick aggregation
  • Alerts for all delta signals available
  • Delta Extremes
  • Delta % Extremes
  • Volume Extremes
  • Small Min/Max delta
  • thin prints
  • COT high/low
  • Open/Close above/below POC signal
  • Quick and easy-to-access drop-down menu to quickly change the most used settings
  • Support for bloodhound/blackbird
  • Support for strategies
  • Exposes plots for all signals and values
  • 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.

 

17. Terms

All our indicators and packages come with

  • a one-time fee only
  • lifetime license for 1 pc (we offer 20% discount for 2nd licenses)
  • includes free future updates

We also offer a 100% free 7-day trial of all our indicators allowing you to test our software before you decide to invest in it. Since you are able to test all our software before buying it all sales are final and non-refundable


    18. Changelog

    25-nov-2022 v1.0.1.3 

    • added reversal imbalances / trapped traders
    • paint bars now render bars on top, but behind the footprint summary
    • added a separate setting to turn on/off Stacked Imbalances
    • added option to place the volume profile on the left or right of the chart
    • added COT High & COT Low
    • added plotting the bar value area 
    • added option to show the last traded tick
    • improved volume profile so it now shows it correctly for previous days
    • added thin prints
    • stacked imbalances will now stay on the chart until broken
    • extreme colors are now also used in the bar statistics
    • added option to specify what you want to show above & below each bar
    • added option to set minimum volume needed for an imbalance
    • improved performance of loading time
    • small UI improvements

    14-nov-2022 v1.0.1.2

    • added session volume profile
    • added new bullish signals: a green bar where the open + close of the candle are above POC  
    • added new bearish signals: a red bar where the open + close of the candle are below POC  
    • added option to specify a separate font for imbalances
    • added new options to the dropdown menu
    • added delta extreme
    • added delta volume extreme
    • added delta% extreme
    • added small Min Delta / Max Delta
    • grouping ticks for Instruments like NQ or crypto

    09-nov-2022 v1.0.1.1 

    • added option to show vertical stripes for each delta signal, each which its own color
    • added option to highlight cells in the footprint summary which have a high (used-defined) delta percentage
    • added option to highlight cells in the footprint summary which have a high (used-defined) volume
    • added alerts for all delta signals

    06-nov-2022 v1.0.0.9 

    • added a setting to specify the min. of imbalances needed to trigger a 'multiple imbalances signal' which is displayed by the red/green border around the candle

    01-nov-2022 v1.0.0.8 

    • added a setting to specify the min. of consecutive imbalances needed for a stack imbalance 
    • added 2nd slot imbalance plots for use in strategies
    • added support for up/down tick volume and tick count
    • added delta bars
    • added dropdown menu for easy access to most common settings

    15-Jan-2022 v1.0.0.7 

    • fixed bug where footprint was showing wrong bid/ask numbers
    • some small cosmetic fixes

    22-July-2021 v1.0.0.5

    • fixed issue on GC which had bars containing only zeroes (0)

    22-July-2021 v1.0.0.5

    • added plots for all signals and values
    • added support for bloodhound/blackbird

    3-June-2021 v1.0.0.4

    • changed delta signal diamonds to letters
    • fixed small layout issues

    3-June-2021 v1.0.0.3

    • added option to highlight the largest 3 POC's
    • fixed small layout issues

    1-June-2021 v1.0.0.2

    • added context menu
    • fixed small layout issues

    31-may-2021 v1.0.0.1

    • improved default color scheme
    • added more signals
    • fixed small bugs and layout issues

    27-may-2021 v1.0.0.0

    • the first version is released

    19. Media

    Orderflow footprint indicator NinjaTrader 8

     Footprint bid ask chart Ninjatrader 8Footprint order delta chart Ninjatrader 8

    Key Features

    A must have for all serious orderflow traders.
    Our footprint indicator  has all the features orderflow traders need.

    Shows all the different imbalances

    single, multiple, stacked, reverse, inverse, overzized, big and more

    Shows all the delta signals and alerts

    Divergence, Tails, Reverse, Surge, Flip, Above/Below POC and more

    Table, Bid/Ask, delta styles

    Switch between the different footprint styles with a single click

    Session Volume Profile

    Session volume profile with POC, Value area high and low

    Bar POC and Value area

    Shows up to 3 POC's and the value area for each bar

    Bar statistics & Delta bars

    Fully customizable bar statistics and Delta bars

    Tick aggregation

    Group multiple price levels into 1 print for high volatile instruments like NQ or crypto

    Bloodhound & Strategy support

    Plots for all the delta signals and important metrics 

    Why a Footprint chart ?

    Get better entries

    Enter the markets the moment when you see there's enough support

    Avoid getting trapped

    Don't get trapped anymore when buying the highs and then price immediately reverses 

    Get in early

    Get in at the earliest point possible. Don't wait for lagging indicators to confirm what the footprint already told you 5 bars ago

    Optimize your exits

    The exit is where you make your money. By reading the footprint you can see when momentum starts shifting and you can get the best exit possible

    Footprint display styles

    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 drop-down menu you can quickly switch between the different layouts without having to change the indicator settings

    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.

    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 (The POC)is marked by a gray background and border..

    All colors can be fully customized to your liking

    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 

    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

    Cell Text options

    For each footprint style, you can select what the cell text should show. You can choose between: Bid / Ask Volume, Delta Diagonal Delta

    Bid/Ask

    Bid/Ask will show the total volume traded on the bid on the left and total volume traded on the right on the right of the bar.

    Volume

    Volume will show the total volume traded at each price level on the left of the bar

    Delta

    Delta shows the delta between the bid and the ask. If delta is positive it will be shown on the right of the bar. If negative if will be shown on the left of the bar

    Diagonal delta

    Delta shows the  diagonal delta between the bid and the ask. If delta is positive it will be shown on the right of the bar. If negative if will be shown on the left of the bar

    Section
    Drop element here!

    Tick aggregation

    You can group multiple price levels together into one single print. This is very useful for instruments like NQ, and crypto, or when you want to look at a higher timeframe e.g. a 5min footprint chart. Without grouping price levels there might just be too many numbers in a single bar making the screen difficult to read. When we group multiple price levels together (e.g. 5 ticks) we reduce the number of numbers in each bar and make the chart much easier to read

    With tick aggregation (6 ticks) NQ-5min 

    Without tick aggregation NQ-5min

    Show last traded tick

    When enabled this will highlight the last price/tick traded on the current forming bar with a yellow background. It allows you to quickly spot where current price is.. You can of course change the color to your liking

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    Drop element here!

    Bar POC's and value area

    Up to 3 POC's

    The indicator can show up to the top 3 POC's (Point of control )for each bar. The POC or point of control is the price level where most volume was traded within the bar. By default its highlighted by a gray background and a bigger text font

    Prominent POC's

    A prominent POC happens when 2 or more candles both have their POC at exactly the same price level
    This is a indication that the POC is a very important and strong level. These prominent POC's act as levels of support & resistance and are levels you want to know about

    To highlight this the indicator will show the POC using a different color (yellow by default). On the left you can see 2 bars with the same POC price

    Value area

    We can also show the value area for each bar. The value are is the area where 68% of the total volume of the bar was traded. By default the value area for a bar will be green for an up candle and red for a down candle.But like everything else, you can fully customize all colors and whats been shown on the chart

    Value Area Color schemes, based on Candle Close or Candle color

    The value area for a bar can use of of the following two color schemes.

    - Candle color
    the value area will be color red for red bars and green for green bars,

    -Candle close:
    The value area will be colored based on whether the close of the candle lies inside or outside the value area.
    If the close is inside the value area, the value area will be colored grey.
    If the close is above the value area high it will be colored green, and if its below the value area low it will be colored red

    Value area color based on Candle Close

    Value area color based on Candle Color

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    Drop element here!

    Thin Prints

    Thin prints happen when there is a 0 at one or more price levels. They indicate a sudden momentum. Big buyers stepped in and swept price swept through these levels without any counter-trading. When this happens it leaves a gap that often will get filled within a few bars

    Exhaustion prints

    Exhaustion prints indicate weakness. In an up trend we would like to see a good amount of contracts traded at the high, while in a downtrend we would like to see a good amount of contracts traded at the low. If this is not the case and we see only a small amount of volume at the high in an uptrend, or at the low in a downtrend then this indicates weakness or exhaustion. The trend might come to an end or go into a consilidation area 

    On the left we see price going sideways at a high printing several bars with exhaustion prints. Then price suddenly drops
    At the bottom again we see exhaustion prints occuring and 1 bar later the market reverses up again

    By default the threshold for the exhaustion print is set to 10. So any cell at the high or low with a volume less of 10 will be marked as an exhaustion print.

    Ofcourse you can customize the threshold, colors and you can even extend the threshold into the nex bars or until broken if you would like

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    Bar statistics

    The indicator can display bar statistics above and below each candle. In the indicator settings, you can define what should be displayed in each row above and below the candle. You can show up to 4 different rows above the candle and 4 different rows below the candle

    Bar statistics settings

    The indicator can display bar statistics above and below each candle. In the indicator settings, you can define what should be displayed in each row above and below the candle. You can show up to 4 different rows above the candle and 4 different rows below the candle

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    Big trades / Big orders filter

    Sometimes a footprint could get a bit overwhelming, especially if you are only interested what the BIG guys are doing. That is exactly why we developed the big trades/big orders filter. It filters out all the noise and only shows the biggest trades

    By filtering out all the noise, the footprint chart becomes very easy to read.
    All the big trades become clearly visible so the BIG guys can't hide anymore

    The filter will fiter our all price levels which have a bid or ask below the threshold. You can set the threshold to anything you like, depending on how much 'noise'you want to filter our. The exact value depends a bit on the market and timeframe you are looking at
    As a guideine we would recommend to set the filter to a value so it shows 5-10 signals during a full trading day

    For the ES 15 range chart that would be +/- 750

    Below you can see an example of an ES 15 range chart with the Big Trades/Big orders filter set to 750. 
    You can clearly spot these big orders. As shown on the chart you can optionally extend them to the right since these big trades/orders often provide a pool of liquidity to form strong support/resistance levels

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    Define your own dynamic color rules using c#

    The indicator allows you to use C# script to define color coding rules. With these c# scripts you can create advanced rules which determine what forground and background color an item should have based on the rules you define.

    You can define custom rules for:
    - Bar statistics
    - Vertical stripe
    - Footprint summary table cells

    For example lets say you want the volume displayed in the bar statistics to be the color Cyan when the volume is more then 10.000
    You can do this using the following rule

    if (Volume >= 10000) TextColor= "Cyan";

    This simple rule will set the Text color to Cyan when the bar volume is equal or above 10.000

    Let take it a bit further
     if (Volume >= 10000)  { TextColor= "Cyan"; BackgroundColor="White"; Opacity=30 }

    This rule will still set the text color to cyan, but now it also sets the background color to a 30% white (which is more or less greyish)

    Since the rules are just c# you can also use things like if, then, else, loops, Math.xxx() functions e.g.
    if (Delta >= 1000) TextColor= "Cyan"; else if (Delta >= 0) TextColor = "ForestGreen"; else TextColor = "DarkRed";

    This  will set the Text color to cyan when Delta is equal or above 1000
    If its below 1000 then it will set the textcolor to ForestGreen when the delta is above 0 and DarkRed when the dela is below 0

    Besides having access to the complete c# language you also have access to the following variables of the current (forming) bar

    Volume    - the total bar volume value
    Delta        - the bar delta value
    MinDelta  - the bar min delta value
    MaxDelta - the bar max delta  value
    DeltaPercentage - the bar delta / volume% value
    COTHigh - the bar COT High value
    COTLow - the bar COT Low value
    Open - the bar's open price
    Close - the bar's close price
    High - the bar high price
    Low - the bar low price
    CumulativeDelta - the cumulative delta value for the bar
    CumulativeVolume - the cumulative volume for the bar
    POC - the bar POC price
    ValueAreaHigh - the bar Value Area High price
    ValueAreaLow - the bar Value Area Low price
    TotalAsks - the bar total ask volume
    TotalBids - the bar total bid volume
    Trades - the number of trades executed in the bar
    IsGreenBar - true if the bar is a green candle, false otherwise
    IsRedBar - true if the bar is a red candle, false otherwise

    And as shown above you can set the following variables:
    Opacity  - background color opacity (0-255)
    BackgroundColor - name of the background color
    TextColor - name for the text color

    Bar statistics dynamic color rules

    As stated above you can define your own custom rules / scripts for the bar statistics labels shown above & below the bar
    On the right you can see the default rules.
    If you leave one of the rules empty (like for example here the Trades colors is left empty) then the label will be shown with the default built-in colors

    Vertical stripe dynamic color rules

    You can also define a custom rule for rendering the vertical stripes (scroll down to read more about the vertical stripes)

    For example on the right you can see a vertical stripe which gets rendered when the bar volume is > 1000 or the delta /volume % is above 25

    The rule itself is pretty simple

    if (Math.Abs(DeltaPercentage) > 25 || Volume >= 10000) { Opacity=30; BackgroundColor= "Cyan"; }

    You can define the vertical stripe rules in the indicator settings under section 12. Delta signals

    Footprint summary dynamic color rules

    Another place where you can define custom c# color rules is in the footprint summary table
    (scroll down to read more about the footprint summary table)

    Here you can use rules to define which cells should be highlighted and what colors it should have

    For example on the right you can see that the MinDelta and MaxDelta will render with a white background when its value is <=1

    The Delta% will be shown on a cyan background when the delta% is above 25:

    And the volume is also rendered with a cyan background when the volume is > 10000
    These are just the default rules, but you are free to customize them to your liking

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    Footprint summary table

    The indicator can show a footprint summary table which shows all the important metrics for each candle
    You can fully customize the look & feel of the table and which rows gets shown there

    Customize what to show

    The footprint table can show up to 10 rows. In the indicator settings you can fully customize what to show in each rows

    Note that you dont have to show all 10 rows. If you only like to to show 3 rows then you can simply disable the other 7 rows by setting it to none

    Dynamic cell highlighting

    As we shown above in the dynamic color rules using c# section you can define custom rules when a cell should be highlighted and what colors it should be shown

    Delta % and Delta Extremes

    By default the dynamic color coding rules will highlight cell with Extreme Delta/volume %, that is any bar which has a delta% of 25% or more th a cyan background color

    And it will also highlight any bar which has a large delta (>1000) with a cyan background color

    Ofcourse you can change theses rules as you like

    Small Min/Max Delta

    By default the dynamic color coding rules will also highlight cells which have a very small MinDelta or MaxDelta. These cells will be colored with a white background. 
    Again you can change these rules as you like.

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    Delta Imbalances

    The footprint order flow indicator can show
    - normal imbalances
    - multiple imbalances
    -2nd slot imbalances
    - oversized imbalances
    - big imbalances
    - stacked imbalances
    - inverse imbalances

    Single 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 second bar had a single imbalance of 90/20 on the bid. The third bar had a single imbalance on the bid of 41/10

    Multiple 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 on the right we have 3 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. 

    Oversized 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 the ask is 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 first bar has an oversized imbalance on the bid as can be seen by the red color and border.

    Stacked imbalances

    Stacked imbalances occur when we have 3 (or more), (this minimum can be changed in the settings) 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 which stays on the chart until its broken. For a stacked imbalance on the ask, the background for the next bars will be green

    Inverse imbalances

    Inverse imbalances are indications of trapped traders. They occur when there are multiple buy imbalances at the top of a red bar, (or multiple sell imbalances at the bottom of a green bar). These imbalances mean traders went a long (or short) trying to trade a breakout but prices reversed on them and now these traders are trapped in a losing position. On the left you see an example where price breaks out from a consolidation area. Traders go long, trying to trade the breakout, but then the price reverses. The traders who went long got trapped and are now in a losing position

    Big imbalances

    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 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. 

    Second-slot delta imbalance

    A second-slot 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-slot 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 to the left

    Delta Signals

    The footprint order flow indicator can show several delta signals like
    - Above / below POC signal
    - Delta Surge
    - Delta Tail
    - Delta Reversal
    - Delta Divergence
    -Delta flip
    - Thin prints

    Above / Below POC signals

    The Above/below POC signals are very powerful signals when they occur at new swing lows or swing hi's. They indicate the market reached a top (or bottom) and is ready to reverse. The signal is shown on the chart with a red triangle above or green triangle below the candle

    Rules
    :
    -A green bar that opens & closes above the POC at a swing low
    - a red bar that opens & closes below the POC at a swing hi

    Delta Surge signal (S)

    The delta surge signal is a 4-bar signal and is indicated with the letter 'S' and/or a magenta vertical stripe. The signal happens when there is 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.

    RULES:
    -4 consecutive bars with increasing delta

     EXAMPLE:
    Here you can see an example of a delta surge signal. The first bar has a negative delta of -461, then in the next bars we see the delta increase to positive 119->429->620 So in 4 bars, we went from -461to +620 where each bar is getting a higher positive delta. When that happens the delta surge signal will be plotted 

    Delta Divergence signal (D)

    The delta divergence is a trend reversal signal. Only look for these signals when they occur at (or near) a swing high/low. The Delta divergence is plotted in the footprint table with the letter 'D' and a blue vertical stripe.

     RULES:
    - Price makes a new low with a green candle and positive delta
    - Price makes a new high with a red candle and negative delta

    EXAMPLE
    In the screenshot on the left we can see the trend going up and making a new high.. then just after making a new high, we get a red candle with a bearish delta divergence signal and then the trend reverses and goes down

    Delta Flip signal (F)

    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 delta flip is shown in the footprint chart with the letter 'F' and a yellow vertical stripe

     RULES
    -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

    Delta Tail signal (T)

    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. It is plotted on the footprint table with the letter 'T' and an orang vertical stripe

     RULES
    -The bar has a negative delta at all prices except the top or The bar has a positive delta at all price levels except the bottom

    EXAMPLE
    On the left you see a bar that has a negative delta at all price levels except at the top. 

    Delta Reversal signal (R)

    The Delta Reversal signal gets plotted when a bar has an above-average max and min delta. It is plotted with the letter 'R' and a light salmon vertical stripe

    RULES

    - The bar has above-average max and min delta

    EXAMPLE
    On the right we see that the second bar has a high max and high min delta, and prices reverse.

    Delta Drop signal (O)

    The delta drop signal is a 4-bar signal and is indicated with the letter 'O' and/or a red vertical stripe. The signal happens when there is a sudden decrease in the delta and when the delta is getting weaker and weaker . This is often a tell that the current trend might be ending and we will go into a consolidation or reversal.

    RULES:
    -4 consecutive bars with decreasing delta

    EXAMPLE:
    Here you can see an example of a delta surge signal. The first bar has a negative delta of -461, then in the next bars we see the delta increase to positive 119->429->620 So in 4 bars, we went from -461to +620 where each bar is getting a higher positive delta. When that happens the delta surge signal will be plotted 

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    Delta  Signal Vertical Stripes

    Although the footprint summary can show you all the delta signals and you can use the alerts feature to get alerted when an signal happens it might be nice to have a more clear indication when a delta signal occurs. This is what the delta vertical stripes do. When enabled they plot a vertical stripe behind the bar when a delta signal occurs

    Also note that you can define your own dynamic rule in c# to determine when a vertical stripe is shown.
    Scroll up to read more about the dynamic color rules using c# 

    Delta Signal settings

    On the left you can see the delta signal settings
    You can turn on or off each delta signal signal and also its vertical stripe. Furthermore you can assign a separate color to each signal and its vertical stripe.
    The standard color is the color used for the letter in the footprint summary.
    The Stripe color is used for the vertical stripe

    Custom Dynamic vertical stripes

    You can also define a custom rule for rendering the vertical stripes

    For example on the left you can see a vertical stripe which gets rendered when the bar volume is > 1000 or the delta /volume % is above 25

    The rule itself is pretty simple
     if (Math.Abs(DeltaPercentage) > 25 || Volume >= 10000) { Opacity=30; BackgroundColor= "Cyan"; }

     You can define the vertical stripe rules in the indicator settings under section 12. Delta signals

    Delta  Signal Alerts

    The indicator can give you an audible alert for each of the delta signals. Just enable the alert, assign a sound to it and sit back. The indicator will alert you when the signal appears

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    Delta bars

    You can (optionally) show delta bars above the footprint summary table.
    The delta bars give you a quick glance if there is a a sudden delta % increase or decrease by tjust looking at the height of the delta bars.
    Beneath the delta bars you can also show optionally show the delta percentage, delta and volume

    Delta bar settings

    In the detat bar settings you can define the maximum height for the delta bars. If you find the current delta bars to high then just lower this number a bit, and if they are too small then just increase it a bit. The default value of 10 should be ok for most users and screens
    Next you can choose whether you want to show the delta percentage, delta and or volume below the delta bar
    And finally you can change the colors of the delta bars

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    Session volume profile

    Many people like to keep an eye on todys volume profile when trading a footprint chart. Volume profile traders know that the Value Area and POC are important levels to watch, together with low and high volume nodes. That is why we included a volume profile into the footprint indicator. It shows the volume profile of the entire session, together with the POC, Value area low and Value area high

    Volume profile settings

    In the volume profile settings you can define if you want to show the volume profile on the left or right (or not at all)
    Next you can define how wide the volume profile should be. This is measured in % of your chart. so 10% means it will fill 10% of your chart
    Finally you can se the Value Area which is 68% by default, but some people like to use 70% so you can change it
    Finally you can change the colors for the Value Area, POC and VAL H/L lines

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    Bloodhound* / NinjaScript / Strategy support 

    The indicator exports all delta signals and other bar metrics as plots so you can use them from BloodHound*/ ninja script/ strategy builder or your own ninja script strategies.

     (*) You can use these plots with BloodHound. However, BloodHound does not support Tick Replay yet in NinjaTrader 8. This means that the signals/plots will only work for live real-time bars in Bloodhound!! 

    Fo example, below we have a very simple automated strategy which uses some of these plots.
    The strategy is just a skeleton example on how to use the footprint indicator. Ofcourse you will need to extend it with your own entry/exit logic rules, but it does show how you can use the footprint indicator
    In this case it checks if the previous bar has stacked imbalances by looking at the StackedByImbalances and StackedSellImbalances and if there are any it prints them to the ninjascript output window

    Change log

    4-dec-2022 v1.0.1.5  (not released yet)

    • added exhaustion prints
    • added delta drop signal
    • added color schemes for the value area (based on candle close or candle color)

    3-dec-2022 v1.0.1.4 

    • added option to set the bar width
    • added option to program custom vertical stripe color
    • added option to program the colors shown in the bar statistics
    • added option to program while cells to highlight in the summary table
    • added prominent POC's
    • added big traders/order filter
    • small UI improvements

    25-nov-2022 v1.0.1.3 

    • added reversal imbalances / trapped traders
    • paint bars now render bars on top, but behind the footprint summary
    • added a separate setting to turn on/off Stacked Imbalances
    • added option to place the volume profile on the left or right of the chart
    • added COT High & COT Low
    • added plotting the bar value area 
    • added option to show the last traded tick
    • improved volume profile so it now shows it correctly for previous days
    • added thin prints
    • stacked imbalances will now stay on the chart until broken
    • extreme colors are now also used in the bar statistics
    • added option to specify what you want to show above & below each bar
    • added option to set minimum volume needed for an imbalance
    • improved performance of loading time
    • small UI improvements

    14-nov-2022 v1.0.1.2

    • added session volume profile
    • added new bullish signals: a green bar where the open + close of the candle are above POC  
    • added new bearish signals: a red bar where the open + close of the candle are below POC  
    • added option to specify a separate font for imbalances
    • added new options to the dropdown menu
    • added delta extreme
    • added delta volume extreme
    • added delta% extreme
    • added small Min Delta / Max Delta
    • grouping ticks for Instruments like NQ or crypto

    09-nov-2022 v1.0.1.1 

    • added option to show vertical stripes for each delta signal, each which its own color
    • added option to highlight cells in the footprint summary which have a high (used-defined) delta percentage
    • added option to highlight cells in the footprint summary which have a high (used-defined) volume
    • added alerts for all delta signals

    06-nov-2022 v1.0.0.9 

    • added a setting to specify the min. of imbalances needed to trigger a 'multiple imbalances signal' which is displayed by the red/green border around the candle

    01-nov-2022 v1.0.0.8 

    • added a setting to specify the min. of consecutive imbalances needed for a stack imbalance 
    • added 2nd slot imbalance plots for use in strategies
    • added support for up/down tick volume and tick count
    • added delta bars
    • added dropdown menu for easy access to most common settings

    15-Jan-2022 v1.0.0.7 

    • fixed bug where footprint was showing wrong bid/ask numbers
    • some small cosmetic fixes

    22-July-2021 v1.0.0.5

    • fixed issue on GC which had bars containing only zeroes (0)

    22-July-2021 v1.0.0.5

    • added plots for all signals and values
    • added support for bloodhound/blackbird

    3-June-2021 v1.0.0.4

    • changed delta signal diamonds to letters
    • fixed small layout issues

    3-June-2021 v1.0.0.3

    • added option to highlight the largest 3 POC's
    • fixed small layout issues

    1-June-2021 v1.0.0.2

    • added context menu
    • fixed small layout issues

    31-may-2021 v1.0.0.1

    • improved default color scheme
    • added more signals
    • fixed small bugs and layout issues

    27-may-2021 v1.0.0.0

    • the first version is released

    For traders, by traders

    We are just like you. We like trading the markets every day.
    And every day, the market teaches us something new.  Besides this, we also get a lot of feedback from our customers. We take all this information and ideas to further continue to develop our indicators. And if you bought it before.. then ALL future updates will be free. How's that for a change ?

    39 Updates

    So far.. we added 39 new features since the first release in may 2021

    5 star rating

    We received a 5 star rating from our customers

    350+ traders

    Hundreds of traders are using our footprint indicator everyday

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