Range bars and footprints

A range bar footprint is a footprint chart built on range bars, so each bar covers the same price span. A range bar is a bar that closes when its high minus its low reaches a set number of ticks. A footprint is a chart that prints the contracts bought and sold at each price inside a bar. The note on footprint bar periods by time, range or volume split twelve trades three ways. This note covers what changes when you read a footprint on range bars. It follows six invented ES bars, then shows the nearest option in Liquivue.

How a range bar closes

Take a range of 4 ticks. ES is the E-mini S&P 500 future, and one tick is 0.25 points, so 4 ticks is 1.00 point. The bar stays open until a trade makes its high minus its low equal 1.00 point. That trade closes the bar, and the next trade starts a new one.

Two rules follow from this. Every closed bar spans 5 prices, so every footprint has 5 rows. The closing trade is always at a new high or a new low, so every bar closes at one end. On a time bar, a close at the low means the last trade of the period printed at the bar's lowest price. On a range bar, a close at the low follows from how the bar is built, so it adds no information.

Six ES range bars

All numbers below are invented. The bars use a 4 tick range.

All six bars have the same height on the chart. Bars 1 to 4 covered 2 minutes 33 seconds in total. Bars 5 and 6 covered almost 22 minutes. On a one minute chart, the open would take 3 bars and the lunch stretch would take 22.

What varies when the range is fixed

On range bars the price span stays the same, and duration and volume change from bar to bar.

Duration is the first number to read. Bar 3 moved 1.00 point in 18 seconds. Bar 6 took more than 12 minutes to move the same distance. Read each bar's start time from the crosshair or data window. The gap between two start times is the duration.

Volume per bar is the second. Bar 4 traded 4,200 contracts to cover 1.00 point, and bar 3 traded 1,900 to cover the same distance. More than twice the volume went through bar 4 for the same price change. That is a measured difference in how much trading the move took. It is not a forecast.

Contracts per minute combines both. Bar 1 ran at 5,760 contracts a minute, bar 4 at 3,600 and bar 6 at about 162.

Bar 3 row by row

Here is the footprint of bar 3, which spans 5,070.00 to 5,071.00. Each row shows contracts sold at the bid, then contracts bought at the offer.

Sellers traded 1,305 contracts and buyers 595, for a bar delta of minus 710 on 1,900 contracts. Every row is negative, and the largest row delta sits one tick above the low. A footprint row size larger than 1 tick would merge these 5 rows into fewer. The note on footprint row size and tick grouping covers that setting.

Choosing the range size

The size you pick sets how many bars each part of the session produces. With 4 ticks in this example, the first 153 seconds after the open made 4 bars and the 22 minutes at lunch made 2. A 2 tick range would give footprints with only 3 rows and more bars at the open than you can read at that speed. An 8 tick range would give footprints with 9 rows, and the 22 minutes at lunch might not close a single bar.

Count the bars each size produces over five sessions, for your busiest and quietest hour. Write the size down and keep it, so this week's bars compare with last week's.

In a fast market, one trade can jump past the bar's limit. If one trade jumps 6 ticks past the bar's limit, some platforms draw filler bars with no volume and others let one bar exceed its range. Check which rule your platform follows before you read volume on those bars.

Price-based footprints in Liquivue

This site has not verified range candles in Liquivue. The nearest choice is a Renko candle on the docked HTF chart, which also closes on price movement and can carry a footprint or a delta footprint. The HTF chart sits beside the heatmap as a linked candle chart, on the same instrument and crosshair.

The same reading works in Liquivue. Set a Renko size, note how long each candle took and compare its volume with the candle before. The heatmap and trade bubbles stay in view next to it. If the bids at 5,070.00 in bar 3 rested for minutes before sellers reached them, the heatmap band shows that, and the footprint row does not.

Range bars on other platforms

NinjaTrader Order Flow+ has volumetric bars, and the BidAsk history needs historical bid and ask tick data. Without that history, a footprint on any bar type cannot split older trades by side. ATAS builds its workspace around cluster charts, and its dxFeed connector documentation lists special Range variants as unsupported on that connector. The bar types you can use depend on the data connection as well as the software.

A check you can run

Open yesterday's ES session on a 4 tick range footprint. Write down the duration and contract count of the three fastest bars and the three slowest. Then divide each count by its duration in minutes and compare the fastest and slowest rates.