Footprint row size and tick grouping

Footprint row size is the number of ticks of price that share one row in a footprint bar. A footprint bar splits each candle into rows and prints the volume sold at the bid and bought at the offer in each row. Tick grouping is the setting that combines several ticks into one row. This note builds one invented NQ bar at three row sizes and shows what changes and what stays the same. It then reads the bar on the footprint in Liquivue and on other platforms. The note on reading a footprint bar row by row covers the layout.

Why row size matters

An NQ tick is 0.25 points. In this example NQ trades a 160 point range in one session, which is 640 ticks. A one minute bar that covers 10 points has 40 rows at one tick per row, and on a laptop screen those rows are too small to read. Grouping 4 ticks per row cuts the same bar to 10 rows. Each row then holds four prices, and the bar no longer shows which of the four traded the volume.

One bar at one tick per row

All numbers below are invented. The bar is one minute of NQ, from 11:05 to 11:06 New York time. The Bid column counts contracts sold at the bid. The Ask column counts contracts bought at the offer.

The bar traded 507 contracts. Bids total 222 and asks total 285, so bar delta is plus 63. The point of control is the row with the most volume. Here it is 18,403.00, with 125 contracts.

A diagonal imbalance compares the ask at one price with the bid one tick lower. With a 300 percent threshold, the ask of 90 at 18,403.00 against the bid of 28 at 18,402.75 gives a ratio of 3.2. So 18,403.00 shows a buying imbalance. No other row passes 300 percent. The note on stacked imbalances and how to set them covers thresholds.

The same bar at two ticks per row

Each row now covers 0.50 points. The platform adds the bid and ask of each pair of prices.

The point of control is still the 18,403.00 row, now with 183 contracts. The row below it holds 173, only 10 fewer.

The diagonal check at the 18,403.00 row now compares an ask of 108 with a bid of 73, a ratio of 1.48. The imbalance is gone. Grouping added the 45 contracts sold at 18,402.50 to the 28 sold at 18,402.75, so the bid side of the comparison rose from 28 to 73. The ask side gained only the 18 contracts bought at 18,403.25.

The same bar at four ticks per row

Each row now covers 1.00 point.

The bar has three rows. The point of control is the 18,403.00 row with 268 contracts, but the bar no longer shows which of its four prices traded most. The 18,402.00 row shows more selling than buying, 117 against 110. Inside that row, the 18,402.75 price had more than twice as much buying as selling.

What stays the same at every row size

Total volume is 507 contracts at all three settings. Bids total 222, asks total 285 and bar delta is plus 63. Grouping moves volume between rows. It never adds or removes a trade. If two platforms show different bar delta for the same bar, row size is not the cause. Check how each platform assigns the trade side instead.

Reading this bar in Liquivue

Liquivue puts its footprint on a docked HTF chart, which sits beside the heatmap as a linked candle chart. The HTF chart follows the heatmap's instrument and crosshair, and it has footprint and delta footprint modes on time, Renko and tick candles. To read this bar in Liquivue, open a one minute NQ chart on the HTF chart and move the crosshair to the 11:05 candle. The heatmap beside it shows the resting bids and offers at the same prices. Its trade bubbles at 18,403.00 show the buys that make up the 90 contracts. The volume profile on the heatmap adds those 125 contracts to the 18,403.00 row of the session profile, so you can compare the footprint row with the profile row.

This site has not verified which row size options the Liquivue footprint offers. During the 7-day trial, check whether you can set the row size in ticks and whether the setting stays when you change instrument. Liquivue costs €20 a month after the trial, and data comes from your own Rithmic or NinjaTrader connection.

Row size on other platforms

ATAS builds cluster charts, its name for footprints, and live futures need its Pro plan at €69.95 a month. Sierra Chart Numbers Bars show bid and ask volume and imbalances at each price, and live footprints from external data need Package 11 at US$46 a month. NinjaTrader Order Flow+ has volumetric bars. Each platform names and sets row size in its own way, so match the setting before you compare two footprints of the same bar.

A check you can run

Open one bar from your last session at one tick per row. Write down its point of control and every diagonal imbalance. Switch to two ticks, then four, and write the same values each time. Count how many imbalances remained at each row size, and check that bar delta did not change.