Reading a footprint bar row by row

To read a footprint bar, go one price row at a time from the high to the low, then add the rows up. A footprint bar is a candle split into rows, one per price. Each row shows how many contracts traded at the bid and how many traded at the ask at that price. This note reads one invented bar row by row and then builds the bar totals from those rows.

The earlier note on how a footprint imbalance is calculated compares rows diagonally. This note reads each row on its own, because platforms build every imbalance and delta figure from single rows.

The example bar

Here is an invented five-minute bar in the E-mini S&P 500 future, ES, with one row per 0.25 tick. The bar opened at 5,024.25 and closed at 5,024.75.

Bid volume counts trades where a seller hit the bid. Ask volume counts trades where a buyer lifted the offer. Row delta is ask volume minus bid volume. Row volume is the two added together.

How to read the rows from the top

The high row

At 5,025.00 buyers lifted 14 contracts and the bid side reads 0. That zero is normal at a bar's high. To trade at the bid at 5,025.00, the bid would have to rise to 5,025.00, and in this bar it never did. A later note covers what a zero or a small number at the extreme can and cannot tell you.

The upper rows

At 5,024.75 the ask side reads 61 against 22 on the bid, a row delta of +39. At 5,024.50 the two sides are close, 95 against 88. Buyers and sellers traded similar amounts at that price.

The busiest row

At 5,024.25 the row holds 242 contracts, the most in the bar. That price is the bar's point of control, the price with the most traded volume. It is also the open. Sellers hit the bid for 140 contracts there, and buyers lifted 102.

The lower rows

At 5,024.00 sellers outnumber buyers 76 to 41. At the low, 5,023.75, the ask side reads 0 for the same reason the bid side reads 0 at the high. The offer never fell to that price.

Adding the rows into bar totals

Once you have read each row, add the rows up.

1. Bar volume is 658 contracts, the total of the row volume column.
2. Total bid volume is 345 and total ask volume is 313.
3. Bar delta is 313 minus 345, or -32.
4. The point of control at 5,024.25 holds 242 contracts, 36.8% of the bar.

The bar closed two ticks above its open with a delta of -32. Sellers who crossed the spread traded 32 more contracts than buyers who crossed it, and price still finished higher. The row table shows where that happened. The selling sat at 5,024.25 and below, and the buying sat at 5,024.75 and above, where the bar closed. A bar delta of -32 on its own does not show that split. The note on cumulative delta with ten trades follows the same arithmetic as a running total.

The same bar in Liquivue

In Liquivue, the footprint sits on the docked HTF chart. That chart is a linked candle chart beside the heatmap. It follows the same instrument and crosshair as the order flow chart. Set it to five-minute time candles and the footprint view, and this bar would draw as a footprint with six price rows.

The delta footprint view shows one net figure per row. Here that gives +14, +39, +7, -38, -35 and -19 from top to bottom. Use it to find which rows held the selling. Switch back to the plain footprint to see whether a small net figure came from 7 contracts or from 183.

Move the crosshair to 5,024.25 on the HTF chart. Liquivue moves the heatmap crosshair to the same price. You can then check how much size rested on the bid at 5,024.25 while those 140 contracts sold into it. The footprint counts trades. The heatmap shows the orders those trades filled against.

Where else footprints appear

Footprint views go by different names. On this site ATAS lists cluster charts, NinjaTrader lists volumetric bars and Sierra Chart lists Numbers Bars. Liquivue lists footprint and delta footprint on its HTF chart. Each platform decides which trades count as bid or ask, so the same bar can differ by a few contracts between them.

A check you can run

Pick one footprint bar from a quiet period. Copy its rows into a table like the one above. Work out row delta and row volume by hand, then add them up for bar volume, bar delta and the point of control. Compare your totals with the bar statistics your platform prints. If they differ, check the row size first. A chart that groups two ticks per row would put 5,024.50 and 5,024.25 into one row of 425 contracts.