Footprint bar periods by time, range or volume

A footprint bar period is the rule that decides when one footprint bar closes and the next one opens. A footprint chart prints the volume bought and sold at each price inside a bar. The period decides which trades share a bar. This note splits one set of twelve ES trades three ways, by time, by range and by volume, then runs a fourth split on tick candles in Liquivue. The note on reading a footprint bar row by row covers what each row means.

The trades in this example

All numbers below are invented. The market is the E-mini S&P 500 future, ES, where one tick is 0.25 points. A buy is a trade at the offer and a sell is a trade at the bid. Delta is buys minus sells.

The twelve trades total 830 contracts. Buys come to 260 and sells to 570, so delta for the three minutes is minus 310. Every split below adds up to those two numbers.

How time bars split the trades

A time bar closes when the clock reaches the end of its period. With one minute bars, trades 1 to 4 form the first bar, 5 to 7 the second, and 8 to 12 the third.

• 10:00 bar has 230 contracts and delta plus 130.
• 10:01 bar has 60 contracts and delta minus 40.
• 10:02 bar has 540 contracts and delta minus 400.

The 10:01 bar has about a quarter of the first bar's volume and a ninth of the third bar's. The three sells of 200, 150 and 120 printed within 10 seconds, and they share the 10:02 bar with two later buys.

How range bars split the trades

A range bar closes once its high minus its low reaches a set size. Here the size is two ticks, 0.50 points. The first bar closes at trade 3, when price has gone from 5,050.00 to 5,050.50. The second closes at trade 8 and the third at trade 12.

• Bar A has 180 contracts and delta plus 180, over 35 seconds.
• Bar B has 310 contracts and delta minus 290, over 70 seconds.
• Bar C has 340 contracts and delta minus 200, over 40 seconds.

Each bar spans three price rows, so the footprints all have the same height. The time inside each bar now varies, from 35 to 70 seconds. The three small trades from 10:01:10 to 10:01:50 no longer form a thin bar of their own. They share bar B with the first large sell.

How volume bars split the trades

A volume bar closes after a set number of contracts. Here the size is 300. Trade 8 crosses the limit, and so does trade 9. Some platforms split a trade that crosses the limit and others put the whole trade in one bar. This example splits it.

• Bar 1 has 300 contracts, trades 1 to 7 plus 10 contracts of trade 8, and delta plus 80.
• Bar 2 has 300 contracts, the other 190 of trade 8 plus 110 of trade 9, and delta minus 300.
• Bar 3 has 230 contracts so far and delta minus 90. It is still open.

Bar 2 lasted 5 seconds, from 10:02:05 to 10:02:10. Every contract in it was a sell. On the time chart the same selling sat inside a one minute bar with 70 contracts of buying.

What each period changes

Time bars keep the clock, so a 10:02 bar on your chart matches a 10:02 bar on anyone else's. Range bars keep the price span, so every footprint has the same number of rows. Volume bars keep the contract count, so a delta of minus 300 in one bar compares directly with the delta in the next bar. None of the three shows more trades than the others. Each groups the same 830 contracts in a different way.

The row size inside each bar is a separate setting. The note on footprint row size and tick grouping covers it.

The same trades on Liquivue tick candles

The Liquivue HTF chart is a docked candle chart beside the heatmap, linked to the same instrument and crosshair. It lists time, Renko and tick candles, each with footprint and delta footprint. A tick candle closes after a set number of trades.

With four trades per candle, the twelve trades form three candles.

• Trades 1 to 4 give 230 contracts and delta plus 130.
• Trades 5 to 8 give 260 contracts and delta minus 240.
• Trades 9 to 12 give 340 contracts and delta minus 200.

The tick split counts prints, not contracts, so trade 8 with 200 contracts counts the same as trade 7 with 10. Renko candles also close on price movement, with rules that vary by platform. In Liquivue you can switch the HTF chart between time and tick candles and keep the heatmap, trade bubbles and CVD in view on the same screen. This site has not verified range or volume candles in Liquivue, so build those two splits in another platform.

Bar periods on other platforms

ATAS builds its workspace around cluster charts. Its dxFeed connector documentation lists minute and second cluster charts. The same page says the special Range variants do not work on that connector. The periods you can pick depend on the data connection. NinjaTrader Order Flow+ has volumetric bars, and the BidAsk history needs historical bid and ask tick data. The glossary defines delta, footprint and tick.

A check you can run

Open one hour of yesterday's session on a one minute footprint. Write down the smallest and the largest bar volume. Then switch to a volume period equal to the average one minute volume and count how many bars the same hour produces.