Table of contents:
- 1 History of the Footprint Chart
- 1.1 What are Footprints?
- 1.2 1) Volume Footprint
- 1.3 2) bid x ask footprint
- 1.4 3) Delta Footprint
- 1.5 4) profiles footprint
- 1.6 5) imbalance footprint
- 1.7 Supplier for Footprint Charts
- 1.8 Application of the Footprint Charts
- 1.9 Trend phases with dark colored Footprints
- 1.10 Range phases
- 1.11 Bar Delta
- 1.12 Basic rules for the interpretation of price & volume & delta
- 1.13 Example in the S&P E-Mini Future
- 1.14 Example in Forex trading
- 1.15 Conclusion
The Footprint Chart seems like a very powerful tool that is used by many professional traders. It is a special chart type that allows us to see the traded volume on each price. On this page, I will explain to you exactly how the Footprint Chart is working and how you can use it for successful trading.
History of the Footprint Chart
The so-called Footprint Charts were developed at the CME in 2002 and have been available to the public since 2003.
Compared to other charts, Footprint Charts are therefore still a rather “young” chart type. Footprint Charts are the only chart type that was developed after the introduction of electronic trading. Trading changed from floor to screen.
This made it possible for the first time to bundle all data and then visualize it.
Just as the introduction of the DOM brought a significant acceleration in order entry for many traders, the Footprint Charts enabled the same added value in relation to charting.
What are Footprints?
Footprints are a type of chart that allows you to view the chart. Please have a look at the following video:
You get a triple visibility at one data point:
- Price (Each cell in a Footprint represents a price or a series of prices)
- Volume (displayed as numbers in the cells)
- Orderflow (marked by colors – depending on the footprint type)
This data is summarized logically, so that you really get a view into the chart.
In the figure you can see the representation of a candlestick and a footprint bar. On the left side of the Footprint you see the Bid and on the right side the Ask of the Volume.
While a normal chart only shows the price, here you can also see the volume and the order flow.
Using the Footprints offers many advantages:
- You are even closer to the action and get an insight into the chart
- You can see the “emotions” from the market
- More self-confidence when trading, because you understand the market better
- Real time, not distorted
- Gives an insight into the “energy” that had to be applied to move the price
- You can see how the volume develops vertically and not only horizontally
- (Not cash for cash, but price for price)
- Discovery of price and volume patterns that cannot be seen with a normal chart
- You can see how the buy and sell orders affect the price
- Better assessment of whether the market will continue its trend
- Information advantage over most traders who only look at Open, High, Low and Close
The most common Footprint types:
- volume footprint
- Bid x Ask Footprint
- delta footprint
- Profile Footprint
- imbalance footprint
1) Volume Footprint
The Volume Footprint shows only the total volume traded at each price. This happens regardless of whether the volume in question was traded at Bid or Ask. This is useful for identifying large volumes during trading.
The formula is as follows:
- Bid traded volume + ask traded volume = Volume Footprint.
For example, if you look at the Bid/Ask Footprint, it looks like this:
- (700 + 350): Results in a volume of 1050.
So you never get a negative number, because this is the sum of the traded volume at each price. The darker the colour, the larger the volume.
2) bid x ask footprint
This type of Footprint shows the number of shares/contracts that were traded at a certain price at the Bid and Ask.
The display is therefore as follows:
- Bid traded volume x ask traded volume, such as (700 x 350).
The x is not to be exchanged here with the mathematical operator, but only serves as a spacer.
The Bid x Ask Footprint provides an overview of how the volume is traded at a certain price and whether it is more by buyer or seller. With the help of the Bid x Ask Footprint one can very well detect a change in momentum or order flow. If the color is green, there have been more aggressive buying. If the color is red, there were more aggressive sales. The darker the color, the greater the aggressiveness of the respective parties.
3) Delta Footprint
Delta Footprints are represented in positive or negative numbers.
A negative delta shows how many shares/contracts on the bid were sold due to aggressive sellers. On the other hand, if the delta is positive, it represents a more aggressive behaviour of the buyers and the servicing of the Ask.
The delta is calculated as follows:
ask traded volume – bid traded volume, for example:
- 350 – 750 = -350
The Delta Footprint is therefore -350, which shows that the pressure to sell was greater at this price. Or to put it another way. 350 more contracts were traded when the price was the bid than when the price was the ask.
So this gives you a way to measure the buying and selling pressure at each price. It also helps to determine who is more aggressive, buyer or seller. The darker the colour, the more aggressive the buyer or seller.
4) profiles footprint
This Footprint type is somewhat similar to the Market Profile.
It displays a profile or histogram of the volume. The color of the respective profiles within a Footprint is based on the delta. Green again represents a positive delta (buying pressure) and red represents a negative delta (selling pressure). The darker the colour the higher the delta.
In addition to the normal volume distribution, the delta is given here as additional information. You can thus see how much volume was traded and how this volume was created.
5) imbalance footprint
The Imbalance Footprint has only existed since 2013.
For the four other Footprint types presented so far, the delta or the volume at a certain price determines the colour of the Footprint. For example, at each price the volume traded at the bid is subtracted from the volume traded at the ask to determine the delta of the price. This gives an indication of the order flow at a particular price.
The imbalance footprint differs in that the volume traded on the bid at one price is compared with the volume traded on the ask one price higher. An algorithm then shows the volume ratio of the two prices.
The goal of this type of footprint is to automatically mark imbalances by always comparing the bid price with the higher ask price. The automatic marking is of course configurable like all colors in the Footprints. It is determined by a percentage of the volume by which the value must be greater than the compared value.
The usual default configuration is 140%. In the example below, the 398 is marked green. The 398 is marked green (strong Ask volume) because 251 x 140% = 351 and the value 398 is greater than 351 and is therefore seen as a significant imbalance and is therefore marked green. With a red (strong bid volume) marking it is exactly the other way round.
Supplier for Footprint Charts
The best known providers are:
Application of the Footprint Charts
Due to the large number of possible applications and the different Footprint types, there are a variety of strategies.
Footprint charts can be applied in all markets and time frames. Scalpers choose accordingly smaller timeframes and longer-term oriented traders choose accordingly larger timeframes.
Trend phases with dark colored Footprints
If the market is showing a downward or upward trend, one should usually also see dark green or dark red Footprints. The dark footprints should cover most of the bar. A good indication of a strong trend is when the upper or lower price of each bar has a dark color (green for an uptrend and red for a downtrend). The earlier this can be seen, the better. It is also an indication that a trend only ends when the darkness of the colors decreases and the colors become lighter. This is a sign of decreasing momentum. If, in addition, the colors change and the opposite color of the trend appears, this is an even stronger indication of an at least temporary end of the trend.
In range phases (consolidation/sideways movement) the colours should alternate. Ideally, the ratio is 50% red and 50% green. In any case, the bars should not all have one colour. This behavior can usually be observed especially at lunchtime or in value areas. Often it even shows dark green bars at the high and dark red bars at the low. This probably suggests that some traders are speculating on a breakout and are wrong. It is also possible that a fake breakout may occur. In this case, however, it is usually better to bet on a decline from the extreme points of the range. Another helpful tool is the Delta Footprints and the observation of the Delta at the high and low of each bar. Often the volume at these extreme points also decreases. Usually no breakouts occur under low volume, which is therefore another indication that the breakout has been rejected. One thus receives good signs of a reversal within the range.
The Bar Delta is the sum of all Footprint Deltas in a given bar. There are several ways to use it. One strategy is to confirm the price movement. If the price moves up, the delta of the bar should be positive. This usually confirms that aggressive buyers support the price and the trend continues. The exact opposite is true for the downtrend. Aggressive sellers express themselves through a negative delta, which should result in further falling prices. In range phases, however, the positive and negative delta should alternate. If in a range phase the delta of the bars should be predominantly green, this can be an indication that the range is left upward and vice versa.
Basic rules for the interpretation of price & volume & delta
The volume should increase in line with the trend. The volume should increase in the direction of the trend and decrease against the trend.
The delta, which represents the net buying or selling at each price, is displayed in color. The Delta should also be increasing and positive in an uptrend and increasing and negative in a downtrend.
|Increasing||Increasingly||Risingly positive||Strongly upwards|
|Increasing||Waning||Decreasing positive or becoming negative||Weak|
|Falling||Increasing||Rising negative||Weakly down|
|Falling||Waning||Decreasing negative or becoming positive||Strong|
Example in the S&P E-Mini Future
Strong and consistent buying with a delta is displayed. This is followed by a candle with a negative delta and a much larger volume than the candle before it. The candle also closes almost at the low and the highest delta was also reached near the low. This is an indication that the buying pressure has come to an end for the time being.
Example in Forex trading
In principle, the Footprint Charts can be used on all markets traded on stock exchanges. The largest use is in the futures markets.
But even in the Forex market these chart types can be used, although there is no volume. The Forex market is an over-the-counter market. Therefore, the volume cannot be measured there with the usual tools.
If someone acquires five contracts in the futures market, this also corresponds to a volume of five in the order book of the respective exchange. On the Forex market, on the other hand, the volume cannot be measured by the number of contracts purchased. It is measured by adding up all price changes observed during a specified period. In a forex pair, a price change requires a certain number of completed transactions to be determined.
The figure above is the Footprint type Imbalance. It is sometimes a good indicator when three or more imbalances occur at the high or low. This can be an indication of short-term exhaustion and can result in a pullback. One can use this information to exit or enter a trade.
As said before, it is only an indication, but with other additional techniques of technical analysis it is a way to identify potential entries and exits.
The Footprints charts have a decisive advantage over the classic charts. Besides the price, you can also see the volume and the order flow.
In addition, all the data is well structured and logical, so that you can apply the information regarding volume and order flow without having to read the order book.
The different footprint types also give you the possibility to adapt the footprint charts to your personal preferences and trading approach.
Nevertheless, the use of Footprint Charts, like any other tool, is limited and of course not the holy grail. Just as the pure order book trading or the pure charting technique is not the holy grail. The use of Footprint Charts alone will not give you a statistical advantage. But if used correctly, you can earn money with them.
In my opinion there is no way around volume and order flow, especially in day trading, and the Footprints are still a good tool for this.
See my other articles about futures:
- CFDs vs. Micro Futures – Which one is better?
- Futures Broker Comparison – Find The Best Broker And Save Money
- How does the Volume Profile work? – Tutorial
- How to calculate the Tick Value of Futures
- Options vs. Futures – Two Different Types Of Futures Contracts
- orderbook – The Most Common Order Types
- What is Future Trading – tutorial
- What is the Footprint Chart? – Tutorial