Bid by ask, delta and volume footprint layouts

Footprint layouts come in three common forms: bid by ask, delta and volume. A footprint is a candle split into one row per price, with traded contracts printed in each row. The three layouts print different numbers from the same trades. This note draws one bar in all three and lists what each layout hides.

The note on reading a footprint bar row by row used the bid by ask layout. Read it first if the two-number rows are new to you.

The example bar

Here is an invented five-minute bar in the E-mini Nasdaq-100 future, NQ, with one row per 0.25 tick. Bid volume counts contracts where a seller hit the bid. Ask volume counts contracts where a buyer lifted the offer.

The bar traded 378 contracts. Sellers hit the bid for 204 and buyers lifted the offer for 174.

The bid by ask layout

The bid by ask layout prints both columns side by side, so the 18,402.50 row reads 64 by 21. Platforms calculate the other two layouts from these two numbers.

It is the only layout of the three that supports diagonal imbalance checks. The note on how a footprint imbalance is calculated compares the bid in one row with the ask in the row above, and that needs both columns.

The bid by ask layout takes the longest to read. This bar has 12 numbers. A 30-row bar on a fast day has 60, and you have to do the subtraction yourself to see which row held the net selling.

The delta layout

The delta layout prints ask volume minus bid volume for each row.

The rows add up to a bar delta of -30. The -43 at 18,402.50 is the largest number in the table. The three negative rows add up to -60, and -43 of that sits in one row.

The delta layout hides how much traded. The +4 at 18,402.25 came from 84 contracts. The -5 at 18,402.75 came from 109 contracts, the most in the bar. In the delta layout, both rows look quieter than the +9 at the high, where only 9 contracts traded.

The volume layout

The volume layout prints bid volume plus ask volume for each row.

The busiest row is 18,402.75 with 109 contracts, the bar's point of control. The volume layout is a small volume profile for one bar.

The volume layout hides the side. Rows 18,402.50 and 18,402.25 read 85 and 84. One was 64 against 21 and the other was 40 against 44. In this layout they look the same.

Which layout to use for which question

1. Use bid by ask to see how much each side traded at each price.
2. Use delta to find the rows with net buying or net selling.
3. Use volume to find the price where the bar traded the most contracts.

If your platform colours the cells, check whether the colour follows delta or volume. The colour and the printed number can come from different layouts.

The same bar in Liquivue

Liquivue draws footprints on its docked HTF chart. That chart is a linked candle chart beside the heatmap, and it follows the same instrument and crosshair as the order flow chart. Liquivue lists two footprint views there, footprint and delta footprint.

Set the HTF chart to five-minute time candles and the delta footprint view. This bar would show +9, +17, -5, -43, +4 and -12 from top to bottom. Switch to the footprint view to check the -5 row and see that 109 contracts traded there. For volume per price over a longer range, Liquivue also has volume profiles on the same chart.

Move the crosshair to 18,402.50 on the HTF chart and Liquivue moves the heatmap crosshair to the same price. The heatmap then shows how much size rested on the bid while sellers hit it for 64 contracts.

Other platforms

Sierra Chart lists Numbers Bars, which print bid and ask volume and imbalances at each price. ATAS lists cluster charts and NinjaTrader lists volumetric bars. Each platform names its layouts differently, so match the numbers in a row with the definitions in this note before you compare two charts.

A check you can run

Take one footprint bar in bid by ask layout and copy its rows. Work out row delta and row volume by hand. Switch your platform to its delta and volume layouts and compare each row. If a row differs, check whether the platform groups more than one tick per row.