Delta per price level in a footprint

Delta per price level is the delta of a single row inside a footprint bar. Delta is ask volume minus bid volume. Ask volume counts contracts where a buyer lifted the offer, and bid volume counts contracts where a seller hit the bid. The note on bar delta versus cumulative delta worked with one number per bar. This note splits that number across the rows of two bars and reads them in Liquivue.

Two bars with the same bar delta

Here are two invented five-minute bars in the E-mini S&P 500 future, ES, with one row per 0.25 tick. Both have a bar delta of +60.

Bar A traded 450 contracts and bar B traded 460. A chart of bar delta alone draws the two bars the same height.

Reading the rows of bar A

Every row of bar A is positive, and the rows sit between +8 and +12. Buyers lifted the offer a little more than sellers hit the bid at every price. No single row holds more than a fifth of the bar delta.

Reading the rows of bar B

Bar B splits into two parts. The top three rows add up to -34, so sellers hit the bid more than buyers lifted the offer there. The bottom three rows add up to +94. The row at 5,070.25 alone is +64, more than the whole bar delta.

The +60 bar total hides both facts. It reports the net of +94 and -34.

Row delta as a share of row volume

A row's delta means more next to its volume. Divide row delta by row volume to get delta percent. At 5,070.25 in bar B, 64 divided by 104 is 61.5%. The largest row in bar A is +12 on 52 contracts, or 23%.

Delta percent can be high on a quiet row. The +20 at 5,070.00 in bar B came from 40 contracts, so it is 50%. A row with 40 contracts and a row with 104 contracts can both show a large share, and only the volume tells them apart.

How row size changes row delta

Group two ticks into each row and bar B reads differently.

The -2 and +10 rows merged into a +8 row, so the middle of the bar looks almost balanced. The +64 row is now part of a +84 row. Write the row size beside any row delta you log. The note on footprint layouts covers how platforms switch between bid by ask, delta and volume views of the same rows.

What row delta cannot tell you

Every contract has a buyer and a seller. A row of +64 means the aggressive side was the buyer on 64 more contracts. It does not name the traders or say what the next bar will do. The passive sellers at 5,070.25 sold the same contracts that the aggressive buyers bought.

The same bars in Liquivue

Liquivue draws footprints on its docked HTF chart, a linked candle chart that sits beside the heatmap and follows the same instrument and crosshair. Set the HTF chart to five-minute time candles and choose the delta footprint view. Bar B shows -18, -14, -2, +10, +64 and +20 from top to bottom. Switch to the footprint view to see the 20 by 84 behind the +64.

Move the crosshair to 5,070.25 and Liquivue moves the heatmap crosshair to the same price. The heatmap shows how much size rested on the offer at 5,070.25 while buyers lifted it for 84 contracts. Liquivue CVD adds each bar's delta into a running total. Liquivue delta profiles beside the heatmap add row delta at each price over a longer period than one bar.

Row delta on other platforms

Sierra Chart lists Numbers Bars with bid and ask volume at each price. ATAS lists cluster charts and NinjaTrader lists volumetric bars in Order Flow+. Each platform names its footprint views differently, so match the numbers in a row before you compare two charts. The cost audit lists Liquivue at €20 a month, with market data extra.

A check you can run

Find two bars on your chart with bar deltas within 10 contracts of each other. Copy the row deltas of both. Add the positive rows and the negative rows of each bar separately. If one bar has a negative sum larger than half its bar delta, log the row split beside the bar delta from then on.