Footprint Chart User Guide
A Footprint Chart is a type of chart that provides a detailed view of certain information such as Traded Volume, Aggressive Buying/Selling Activity (Ask/Bid Volume) and Delta at each price level. This enhanced view into what occurred inside the bar enables traders to see and interpret Orderflow information that are not available on a conventional price chart. Additionally, the Bar Information Table summarizes various information gathered from each bar in a tabular format.
Indicator Highlights
- Supported on many commonly used bar types:
- NinjaTrader builtin bar types: Tick, Volume, Range, Second/Minute, Day, Heiken-Ashi, Renko, Point & Figure
- Third Party bar types: ninZa Renko, Uni Renko
- Ability to choose Volume by Price, Delta by Price or both on the same chart
- Highly customizable Volume by Price and Delta by Price profiles
- Great flexibility in layout, placement, orientation and sizing of Volume and Delta profiles
- Ability to show Value Area (VAH, VAL, VPOC) with Volume by Price
- Buy/Sell Imbalances
- Unfinished Auction
- Threshold based highlighting
- Tick compression
- Highly customizable Information Table with rows that can be reordered
- Flexible placement of Information Table (top or bottom of chart)
- Comprehensive list of widely used values to display in Information Table
- Ability to hide chart bars
- Streamlined User Interface and intuitive grouping of Indicator Properties
- Does not require NinjaTrader’s Lifetime license
- Does not require Tick Replay
Adding and Removing Indicators
To learn how to add or remove indicators on your charts, please refer to NinjaTrader’s Working with Indicators documentation.
After installing the Orderflow package, the Footprint Chart indicator will appear under T3000/Orderflow folder in NinjaTrader’s Indicators menu.
User Guide
The following list of options and menus are available in this indicator and will be discussed in detail in the following sections.
Settings:
RTH Session Template: This input selects the Regular Trading Hours session template which determines RTH session start and end times required for various calculations. Detailed instructions on how to use this input are available here.
Hide Chart Bars: Enabling this option will remove price bars and only leave the Footprint. Otherwise, price bars and Footprint will be visible.
Footprint Configuration:
This menu includes various settings that define the Footprint characteristics.
Footprint Layout: Selects the Footprint layout from a list of available options. All combinations of Delta by Price, Volume by Price, or both are offered along with every possible combination of alignments and orientations. The parenthesis characters at the beginning of the layout name indicate the orientation of Volume and Delta profiles. For example, in the image shown above, the Footprint will include a Delta and Volume profiles side by side. Delta profile will be on the left and Volume profile will be on the right with both profiles pointing to the right as indicated by the parenthesis.
Placement Relative to Price Bar: Determines which side of price bar the Footprint is placed.
Width (%): Determines what percentage of the available space between two consecutive price bars is used to display the Footprint.
Tick Compression (ticks): Determines the number of price levels (in ticks) that are aggregated together per each step of the Footprint.
Value Text Font: Customizes the font used to show Footprint values.
Auto Adjust Right Side Margin: Enabling this option will automatically adjust the chart’s right side margin in such a way as to correctly align the right end of the Footprint and Information Table with the right edge of the chart panel. If this option is disabled, the right side margin can be adjusted manually as needed.
Additional Right Side Margin (pixels): If Auto Adjust Right Side Margin is enabled and additional space is required on the right side margin, this input will add the specified number of pixels to provide the extra margin.
Delta Footprint:
This menu is only present if the selected Footprint Layout includes Delta by Price. It includes various settings that apply to Delta by Price portion of Footprint. This menu is context sensitive. The inputs shown in this menu will depend on selected options.
Footprint Step Size: This input determines if Delta Footprint step size is proportional to the Value of Delta or if it is drawn in Full. view image
Show Maximum Delta (POC): Enabling this option will highlight the Delta Footprint level corresponding to delta with the largest absolute value (Point of Control) for each bar. The value may be positive or negative. You may customize the appearance of the POC by updating the Maximum Delta Color value below in the same section.
Show Imbalance: Enabling this option will highlight Buy/Sell imbalances in Delta Footprint. When this option is selected, the Imbalance Settings input group will become visible in the Delta Footprint menu, which can be used to update the criteria that identify an imbalance as well as customize the Footprint appearance. view image
If Show Imbalance isn’t selected, Delta Footprint will highlight positive and negative delta values that exceed the Delta Threshold value. Color and Opacity values in the Footprint Colors section can be used to customize the Footprint appearance. view image
Delta Threshold: Footprint levels with Delta values above and below this threshold value can be customized with different colors and opacity levels to highlight their differences.
Maximum Delta Color: Customizes the appearance of the highlight that identifies the Maximum Delta value or Delta Point of Control (POC). This setting is only available when Show Maximum Delta (POC) option is enabled.
- Mode: In Diagonal mode, the values of Bid and Ask volume are compared diagonally to determine if an imbalance exists. In Horizontal mode, the values of Bid and Ask volume are compared horizontally to determine if an imbalance exists. view image
- Ratio: This value represents the minimum required ratio between Bid and Ask volume that would determine if an imbalance exists. For example if bid volume is 200 and ask volume is 100, this indicates a sell side imbalance of 2x or 200%. Similarly with bid volume of 100 and ask volume of 250, this would indicate a buy side imbalance of 2.5x or 250%.
- Min Delta: This value represents the minimum required positive or negative delta (difference between bid and ask volume) to determine if an imbalance exists.
- Additional Color and Opacity settings can be used to customize Buy/Sell Imbalance and Neutral conditions.
Unfinished Auction Color: Customizes the appearance of the highlight that identifies Unfinished Auctions. This setting is only available when Show Unfinished Auction option is enabled.
Value Settings: Settings in this section customize the appearance of Delta value text in Footprint. This section is only available when Show Values is selected. The following settings are available:
- Value Type: Determines if the value shown is Delta or Bid/Ask volume.
- Bid/Ask Delimiter: If Value Type is set to Bid/Ask, this value will be used as separator between Bid and Ask volume values.
- Hide Values Below Threshold: Enabling this option will hide text for those levels that have a Delta absolute value below the selected threshold.
- Color settings for value text corresponding to various conditions.
Volume Footprint:
This menu is only present if the selected Footprint Layout includes Volume by Price. It includes various settings that apply to Volume by Price portion of Footprint. This menu is context sensitive. The inputs shown in this menu will depend on selected options.
Footprint Step Size: This input determines if Volume Footprint step size is proportional to the Value of Volume or if it is drawn in Full. view image
Show Maximum Volume (POC): Enabling this option will highlight the Volume Footprint level corresponding to the largest volume value (Point of Control) for each bar. You may customize the appearance of the POC by updating the Maximum Volume Color value below in the same section.
Show Value Area: Enabling this option will show the Volume Footprint as a Value Area. When this option is selected, the Value Area Settings input group will become visible in the Volume Footprint menu which can be used to update various parameters related to Value Area. view image
If Show Value Area isn’t selected, Volume Footprint will highlight volume values that exceed the Volume Threshold value. Color and Opacity values in the Footprint Colors section can be used to customize the Footprint appearance. view image
Show Values: Enabling this option will show values at each price level. If price scale is too compressed and there isn’t enough space to display values on the Footprint, values will not be displayed. Expand the price scale until Footprint values appear. Settings in the Value Settings section can be used to customize the appearance of Footprint value text.
Volume Threshold: Footprint levels with Volume values above and below this Threshold value can be customized with different colors and opacity levels to highlight their differences.
Maximum Volume Color: Customizes the appearance of the Maximum Volume value or Volume Point of Control (VPOC). This setting is only available when Show Maximum Volume (POC) option is enabled.
Value Area Settings: Settings in this section are used to customize the appearance of Volume Footprint’s Value Area. This section is only present when Show Value Area is selected. The following settings are available: view image
- Value Area (%): Percentage of trading volume used for Value Area Calculations.
- Profile Color & Opacity: Customizes the color for Volume Profile.
- Value Area Color & Opacity: Customizes the color for Value Area
- Show Value Area Lines: Draws lines at Value Area High (VAH) and Value Area Low (VAL) of Volume Profile.
- Show Value Area Labels: Draws price labels at Value Area High (VAH) and Value Area Low (VAL) of Volume Profile.
- Value Area Line: Line characteristics for lines used to draw VAH and VAL.
- POC Line: Line characteristics for line used to draw VPOC.
- Label Font: Used to customize the font used to show VAH, VAL and VPOC price levels.
- Hide Values Below Threshold: Enabling this option will hide text for those levels that have a Volume value below the selected threshold.
- Volume Value Color: Color for text representing the value of Volume at each price level.
Bar Information Table:
The Bar Information Table summarizes various information gathered from each price bar in a tabular format.
To enable this table, select Show Bar Information. When Show Bar Information is selected, a list of various information that can be shown in the table becomes available.
The following list of values are available to display in the Bar Information Table:
Trades | Total number of trades executed |
Delta | Total delta for bar (difference between aggressive buy volume and aggressive sell volume) |
Delta Change | Change in delta compared to prior bar’s value |
Delta (%) | Delta as percentage of total volume |
Delta Per Second | Delta speed: Total delta divided by duration of the bar |
Max Delta | Maximum delta seen in the bar. This could also be negative if there is no buying pressure |
Min Delta | Minimum delta seen in the bar. This could also be positive if there is no selling pressure |
Total Volume | Total volume for bar |
Volume Change | Change in total volume compared to prior bar’s value |
Volume Per Second | Volume speed: Total volume divided by duration of the bar |
Ask Volume | Total volume transacted at Ask price (aggressive buying volume) |
Ask Volume Change | Change in ask volume compared to prior bar’s value |
Ask Volume (%) | Ask volume as percentage of total volume |
Bid Volume | Total volume transacted at Bid price (aggressive selling volume) |
Bid Volume Change | Change in bid volume compared to prior bar’s value |
Bid Volume (%) | Bid volume as percentage of total volume |
Duration (Seconds) | Time elapsed between first and last trades for a given bar |
Start Time | Time of first trade that formed the bar |
End Time | Time of last trade that formed the bar |
RTH Cumulative Delta | Cumulative Delta value for RTH session. Accumulation of Delta only takes place during RTH hours and resets at the start of RTH session. |
ETH Cumulative Delta | Cumulative Delta value for full ETH session. Accumulation of Delta takes place during the full ETH session and resets at the start of Globex on each day. |
Table Settings:
This menu is only present if Show Bar Information is selected.
This section includes various settings that customize the appearance of the Footprint Information Table.
The Information Table can be placed at the top or bottom of the chart panel using the Table Placement setting.
Color options are available to customize various aspects of the Information Table such as Background, Border, Grid, Text and individual Cells.
Cell Highlight Opacity adjusts the transparency level of table cell colors if Positive/Negative highlighting is applied to the cell.
The font used to display the data shown in Information Table matches the font used on the chart scale. It can be adjusted by right clicking on the chart window and then selecting Properties > General > Font.
Table Row Order:
This menu is only present if Show Bar Information is selected.
If Custom Row Order is enabled, the complete list of values that are available to display in Information Table will be shown with their corresponding sequence number. Values with lower sequence numbers will be displayed first and placed higher in the table. By adjusting the sequence number, Information Table values can be reordered as needed.
Setting the sequence value to zero will remove that row from the table.
If multiple table values have the same sequence number, their order will be determined based on the order shown in this menu.