Stacked imbalances and how to set them

A stacked imbalance is a run of footprint imbalances on consecutive prices, all on the same side of one bar. A footprint chart splits each bar into price rows. Each row shows the volume sold at the bid and the volume bought at the ask. An imbalance marks a row where one side is several times the other. The note on how a footprint imbalance is calculated covers the diagonal comparison for a single row. This note takes one bar and changes the stack settings one at a time.

The example bar

Here is an invented one-minute bar in the E-mini S&P 500 future, ES. One tick is 0.25 points. All numbers are an example.

The diagonal ratios

A buy imbalance compares the ask volume at one price with the bid volume one tick lower. Here are the six buy ratios for the bar.

The bottom row at 5,019.50 has no row below it in the bar, so it has no buy ratio.

Setting 1. The ratio threshold

A threshold of 300 percent means the ask must be at least three times the bid one tick lower. At 300 percent, two rows qualify, 5,020.75 and 5,020.50. They sit next to each other.

Lower the threshold to 240 percent and 5,021.00 qualifies with 2.44. The stack grows to three rows, 5,020.50, 5,020.75 and 5,021.00. Lower it to 190 percent and 5,020.25 joins with 1.93, for four rows.

Setting 2. The stack count

The stack count is the number of consecutive imbalance rows the platform needs before it marks a stack. With a stack count of 2 and a 300 percent threshold, this bar shows one buy stack across 5,020.50 and 5,020.75. With a stack count of 3, it shows none. The trades are the same in both cases.

Setting 3. The minimum volume

A minimum volume filter ignores a row unless its larger side holds at least a set number of contracts. Set it to 25 with a 240 percent threshold. The row at 5,021.00 has 22 on the ask, so the filter drops it. The stack falls back to two rows, and a stack count of 3 shows nothing again.

Rows at the top and bottom of a bar often hold few contracts. Without the filter, a row with 5 on the ask and 1 on the bid one tick lower counts as a 500 percent imbalance.

Setting 4. The row size

Many platforms let you group several ticks into one row. Group this bar into rows of two ticks, or 0.50 points, and the platform adds each pair before it compares them.

The grouped buy ratios are 86 against 39, or 2.21, then 133 against 56, or 2.38, then 53 against 35, or 1.51. At 300 percent none of them qualify, and the stack from setting 1 is gone. Each of the two strong ticks now shares a row with a weaker tick, and the sums put both ratios below 3.

The sell side of the same bar

A sell imbalance compares the bid volume at one price with the ask volume one tick higher. At 5,019.50 the bid holds 35 against 12 on the ask at 5,019.75, a ratio of 2.92. At 5,019.75 the bid holds 26 against 41 at 5,020.00, a ratio of 0.63. At 300 percent the bar has no sell imbalance. At 240 percent it has one, at 5,019.50. A single row never makes a stack.

Writing the settings down

In this bar, the buy stack appears at a 300 percent threshold with a stack count of 2 and one-tick rows. It disappears if you raise the stack count to 3 or group the rows into two ticks. Write all four settings next to any screenshot, so a reader can rebuild the marker from the numbers. The note on bid by ask, delta and volume footprint layouts covers three ways to display the same bar.

Platforms give the footprint view different names. Sierra Chart lists Numbers Bars with bid and ask volume and imbalances at each price. ATAS and Quantower list cluster charts, and NinjaTrader lists volumetric bars. Read each platform's documentation for its default threshold, stack count and comparison mode before you compare markers across two of them.

What a stack records

A stack records that aggressive buying beat aggressive selling one tick lower by a set ratio, on consecutive rows of one bar. It does not say whether resting sellers absorbed that buying or whether price moved afterwards. The glossary defines the footprint terms used here.

A check you can run

Open one footprint bar that your platform marks with a stack. Copy the bid and ask on each row into a table and work out the diagonal ratios by hand. Then change one setting, such as the row size, and see whether the platform still draws the stack. If it does not, write down which setting removed it.