Footprint Chart + Volume Profile

23 dic 2023

Footprint charts provide volume information to candlestick charts. This indicator specifically provides the quantity of Market Orders executed on each side of the Order Book, thereby showing you the number of contracts that had hit the bid or the offer - and it does so on each bar.

In addition, it visualises a Volume Profile for each bar, providing you an even better visualisation, contrasted to that which renders the numbers alone.

This Footprint Chart calculates executed orders by getting the change in volume for every price move and pooling them on their corresponding "tick bucket". Their specific "tick bucket" is calculated on the nearest "tick", the size of which you will provide by setting the "Tick Size/ Increment" to whichever tick size you need.

For instance, volume changes on a price of 10.4 on a 1 tick Footprint Chart will be recorded as part of the nearest whole number(10), while on a 3 tick Footprint Chart, it will be recorded as part of 9 as it is the nearest multiple of 3.

Calculating the "tick bucket" this way is most conservative, however, if you would like it calculated differently — Having the volume changes recorded on the succeeding tick, e.g. Recording 10.4 as 12 on a 3 tick Footprint Chart. Simply set the "Tick Basket Assignment" to "Next Tick", While setting the same to "Previous Tick" records volume changes on the preceding tick. Default is "Nearest Tick".


How to read the Footprint Chart?
This Footprint Chart depicts a portion of the Depth of Market, arranged in such a way that the left side represents the bid, while the right side represents the ask. It is therefore natural that orders hitting the bid (Market Sells) are to be placed on the Left Side of the chart while orders hitting the ask (Market Buys) are to be placed on the Right Side. This way, you can visualise how the current price came to be, as well as observe with the several order flow analysis concepts and ideas you can apply. In summary, numbers on the Left represents Sell Orders and numbers on the Right represents Buy Orders.

If, however, you wish to see only the total volume that transacted within the bar, you may do so by toggling the "Split Buy and Sell" option.

Footprint Chart showing only the total volume:


Furthermore, this chart has its own candles, the width of which can be adjusted accordingly.


Volume Profile
This Footprint Chart offers a Stacked Volume Profile and an Unstacked Volume Profile, the former renders a Volume Profile which compares the buys from the sells, the better to visualise levels of activity, the latter renders a standard Volume Profile which shows the total volume that transacted on a price tick.

The type of Volume Profile that this Footprint Chart renders is similar to that of a Periodic Volume Profile, which renders Volume Profiles for every bar on the chart. Furthermore, the width of each Volume Profile bar of this Footprint Chart is relative to the largest volume transacted on the current session, the session beginning from the point you have opened the Footprint Chart until the 500th bar, capped for optimisational purposes, and shall adjust the session start accordingly once this limit had been reached. The Volume Profile bars' width will therefore change agreeably to each significant volume update, and sized relatively with that of the others.


Optimisation
This Footprint Chart utilises several drawings and calculations for attaining its visuals, the arrangement of which makes it more pleasing and easier to understand. Several optimisations have been implemented within the code, e.g. utilising queues, however, if you wish for it to be even more optimised, you can use an "Unstacked" Volume Profile, using larger tick sizes, as well as using 0 decimal placements for the Footprint Chart.

Furthermore, deselecting "Use Stacked Bars" will allow more boxes to be drawn, and will double the amount of boxes the volume profile can use.



Limitations
No historical tick data have yet been made available for use and so this Footprint Chart only has realtime data at its disposal. Historical footprints are therefore not rendered, the boundary of which is delineated by a vertical broken line.


Tips
This Footprint Chart is best viewed on a chart of its own, and it is therefore ideal to clear the chart of other candles by hiding them or utilising a line chart alternatively. In addition, stretch the time scale to its utmost capacity, the better to see properly the Volume Profile, as well as stretch the price scale to a proper height, the better to read the footprint volumes inscribed on the indicator.


Warnings
Changing settings may cause the Footprint Chart to reset. If, in case you have been accumulating Footprint Charts and wish to change some settings for the benefit of your charting, it is best to take a snapshot of your chart prior, for recent changes may cause resets to occur.

5 gen

Note di rilascio

Changes:

Faster Tick Assignment Algorithm: Implemented a faster algorithm for the computation and assignment of ticks allowing the script to calculate footprints with ticks set as low as 0.0001

New Features:

1. Added total volume to the bottom of each footprint chart: Users can now see total volume of market orders executed for their corresponding sides.
   
3. Added efficiency mode: Efficiency mode adds more label 'real estate' by skipping some 0 volume ticks (usually where a liquidity 'vacuum' occurred), as well as enables a faster response time by using a faster algorithm, all at the expense of visual consistency and aesthetics.
   

Reminder:
A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Bid Side, and the left, represents the Ask Side. Executed trades on the right side therefore represent Market Sell Orders and trades on the left represent those of the Market Buy Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

5 gen

Note di rilascio

Mini Update: Updated Efficiency Mode Tool-tip and Chart Snapshot

Reminder:
A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Bid Side, and the left, represents the Ask Side. Executed trades on the right side therefore represent Market Sell Orders and trades on the left represent those of the Market Buy Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

17 gen

Note di rilascio

Changes:

New Features:
1. Hide Volume Profile, Footprint Text or Total Volume Text: Added the ability to hide Volume Profile, Footprint text and Total Volume Text.

2. More Readable Numbers: Added the option to use numerical abbreviations to shorten numbers, making them easier to read. (e.g. 123,123 becomes 123k). This option is enabled by default.

3. View the Volume % Composition: Added the option to display volume % composition of price point versus the volume of the entire bar. This option is enabled by default.

Volume % Composition Screenshot:


4. Orderflow Imbalance Indication: Added the option to view aggressive order Imbalances.
Imbalances are calculated diagonally, ask trades volume vs bid trades volume (immediate lower bid).

Orderflow Imbalance Calculation Explanation:


If the ask trades volume is greater than the bid trades volume by 300% (default, you can change this in the options) it is considered as an ask side imbalance. The same is true for the opposite.

If enabled, the indicator displays arrows on price where imbalance occurred. Up pointing arrow indicates ask sided imbalance(more % of aggressive buyers versus adjacent lower diagonal aggressive sellers on bid) while a down pointing arrow indicates bid sided imbalance(more % of aggressive sellers versus adjacent upper diagonal aggressive buyers on ask). This option is enabled by default.

Reminder:
A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Bid Side, and the left, represents the Ask Side. Executed trades on the right side therefore represent Market Sell Orders and trades on the left represent those of the Market Buy Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

17 gen

Note di rilascio

Mini Update:Updated Imbalance Tool-tip and Chart Snapshot

Reminder:
A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Bid Side, and the left, represents the Ask Side. Executed trades on the right side therefore represent Market Sell Orders and trades on the left represent those of the Market Buy Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

17 gen

Note di rilascio

Mini Update: Fixed NaN volume % composition and Total Labels printing on price point 0

Reminder:
A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Bid Side, and the left, represents the Ask Side. Executed trades on the right side therefore represent Market Sell Orders and trades on the left represent those of the Market Buy Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

18 gen

Note di rilascio

Mini Update:
1. Improved OrderFlow Imbalance algorithm: imbalance algorithm now properly accounts for imbalances against 0 volume prices. Furthermore, the algorithm may not indicate imbalance on prices where very fast price sweeps commence, displaying arrows exclusively on prices where the very fast price sweep concludes instead. This intentional behaviour aims to vividly illustrate the velocity of the market movement.
2. Added the option to enable imbalance and volume % composition on indicator confirmation page.

Reminder:
A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Bid Side, and the left, represents the Ask Side. Executed trades on the right side therefore represent Market Sell Orders and trades on the left represent those of the Market Buy Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

23 gen

Note di rilascio

Changes:

1. Added the ability to allow indicator to automatically choose a Tick Size to prevent most visual errors when first launching the indicator. Set to default. Note that it is highly recommended to use a Manual Tick Size the better to match your preference. Make sure to uncheck the "Automatically Select Tick Size/ Increment" option if you choose to use a Manual Tick Size.
2. Set unnecessary input displays to none.
3. Updated tooltips.

20 feb

Note di rilascio

Introducing Delta Footprint Type and the Improved Automatic Tick Size Selection Update

New Features:

Added Delta Footprint Type or Delta Mode. You can access delta mode by going to Settings > Footprint Type > Delta.



Volume Delta is calculated by subtracting the trades executed on the offer against the trades executed on the bid.

A Positive Volume Delta indicates that buyers had been more aggressive than sellers, while the opposite is true for a Negative Volume Delta.

The Volume Profile is also presented differently in Delta Mode. In Delta Mode, the Volume Profile Bars directly reflect the value of the Volume Delta and are coloured accordingly. Positive Delta Volume Bars are coloured agreeably to the “VP Buy Colour Setting” and Negative Delta Volume Bars to the “VP Sell Colour Setting”. The POC pointer also points to the price point with the largest absolute delta. However, the volume % composition remains the same with that of the Regular Footprint Type.

Changes:

1. Rearranged and renamed some of the input settings.
   
2. Replaced Split Buy Sell Checkbox Input with Footprint Type Select Input.
   
3. Replaced Automatically Select Tick Size Checkbox Input with Tick Size / Increment Input and changed automatic tick size selection algorithm to use the ATR on script load for better results.
   
4. Fixed input tooltips.
   
5. Added Option to Change Imbalance Characters To Use.
   
6. Replaced Up Arrow Emoji to ▲ and Down Arrow Emoji to ▼as the default Imbalance Markers to support some browsers. You can always replace these via input settings.
   
7. Added the Current Tick Size to the separator label for reference. Especially useful if you use Automatic Tick Size Selection.
   

About previous reminders:

Thanks to trader buford_mclean for bringing to my attention my error of interchanging the sides of the orderbook on previous reminders. I apologise for the inconvenience.

Here is the corrected Reminder:

A gentle reminder for all traders. This footprint chart is a depiction of how market orders are executed on the order book. The right side therefore represents the Ask Side, and the left, represents the Bid Side. Executed trades on the right side therefore represent Market Buy Orders and trades on the left represent those of the Market Sell Orders.

Furthermore, always zoom in your chart to the limit and remove candlesticks or change them into a line chart, the better to see the Footprint charts.

Cheers,
Happy Trading!

21 feb

Note di rilascio

Mini Update:

Fixed a severe error when using Delta Mode.

7 mar

Note di rilascio

• Improved Automatic Tick Size Selection