How a footprint imbalance is calculated

A footprint chart splits each bar into rows, one row per price. Each row shows two numbers. The left number is the volume that traded at the bid, meaning sellers crossed the spread. The right number is the volume that traded at the ask, meaning buyers crossed the spread. An imbalance marker highlights a row where one of those numbers is much larger than a number it is compared with. The comparison is where platforms differ.

The example bar

The table is an invented one-minute bar in a future with a 0.25 tick.

Diagonal comparison

In the diagonal method, a buy imbalance compares the ask volume at a price with the bid volume one tick below it. A sell imbalance compares the bid volume at a price with the ask volume one tick above it.

The reason is the spread. When the best bid is 5,013.75 and the best offer is 5,014.00, an aggressive buyer trades at 5,014.00 and an aggressive seller trades at 5,013.75. Those two prices are the two sides of the same quote. Comparing ask volume at 5,014.00 with bid volume at 5,013.75 compares buyers and sellers who faced the same market.

With a 300% threshold, the buy side of the example works out like this:

• Ask 48 at 5,014.00 against bid 15 at 5,013.75 gives 3.2, a buy imbalance.
• Ask 140 at 5,013.75 against bid 40 at 5,013.50 gives 3.5, a buy imbalance.
• Ask 61 at 5,013.50 against bid 44 at 5,013.25 gives 1.39, no imbalance.
• Ask 30 at 5,013.25 against bid 95 at 5,013.00 gives 0.32, no imbalance.

The sell side compares each bid with the ask one tick above:

• Bid 95 at 5,013.00 against ask 30 at 5,013.25 gives 3.17, a sell imbalance.
• Bid 44 at 5,013.25 against ask 61 at 5,013.50 gives 0.72, no imbalance.
• Bid 40 at 5,013.50 against ask 140 at 5,013.75 gives 0.29, no imbalance.
• Bid 15 at 5,013.75 against ask 48 at 5,014.00 gives 0.31, no imbalance.

The bar has two buy imbalances on consecutive prices at the top and one sell imbalance at the low. Platforms that mark stacked imbalances usually call two or three consecutive imbalances on the same side a stacked imbalance and can draw a zone across them.

Horizontal comparison

Some tools offer a horizontal mode that compares bid and ask at the same price. At 5,013.75 that gives 140 against 15, a ratio of 9.3. At 5,013.25 it gives 44 against 30, a ratio of 1.47 in favour of sellers. The same bar produces different markers depending on the mode. If you read about a setup that uses imbalances, find out which mode the author used before you compare it with your chart.

Settings that change the result

The threshold is the first setting. Lowering it adds markers. At 130% the example bar shows four imbalances instead of three, because 61 against 44 clears the lower threshold.

The minimum volume is the second. A row with 8 on the ask and 0 on the bid one tick below gives an infinite ratio. Without a minimum volume filter, thin rows at the edges of a bar produce imbalance markers that represent a handful of contracts.

Price grouping is the third. If the chart groups four ticks into one row, the platform adds the volume of those ticks together before comparing. A 1.00 row in an index future can hide a strong imbalance on one tick inside it, or create one from four weak ticks.

The data itself is the fourth. Every number in the table depends on how the platform assigned each trade to the bid or the ask. The note on what a delta number counts explains how that assignment works and when it goes wrong.

What an imbalance tells you

An imbalance says that, within one bar, aggressive buying at one price was several times larger than aggressive selling at the price below it. It does not say whether resting sellers absorbed that buying, whether price moved afterwards, or whether the volume came from one participant or many. To answer those questions you need the order book and the trade sizes.

Footprint views go by different names. On this site, ATAS and Quantower list cluster charts, Sierra Chart lists Numbers Bars and NinjaTrader lists volumetric bars. Each platform's documentation states which comparison mode and defaults it uses. Set the threshold, the minimum volume and the row size on purpose, and write them down, so a marker on today's chart means the same thing as a marker on last month's chart.