Hey everyone,

MT5 Orderflow Footprint. I’ve been spending the last few months building out a custom order flow workspace to solve a specific issue I was running into: tracking aggressive market orders slamming into passive limit liquidity without having my eyes dart across four different disconnected windows.

I wanted to bring the DOM, tape, and footprint imbalances into a single, unified visual matrix. I’ve attached a screenshot of the current build (see 13.PNG) and would love some feedback from the order flow veterans here on the data logic.

Here is a breakdown of what I’m currently tracking and how it's visualized:

Depth Matrix & Tape Flux: Instead of a traditional DOM and a fast-scrolling Time & Sales, I’ve mapped the live order book (Top 5 depth) alongside filtered real prints. The goal is to immediately spot when spoofed liquidity gets pulled vs. when real size executes across the spread.

Visual Order Flow (Volume Bubbles): The raw tape is too fast during high-volatility events (like CPI or the open). I built a visual "bubble" flow to aggregate these prints. Larger bubbles highlight institutional-sized orders, making it much easier to spot heavy buyers stepping in at the POC without getting lost in the micro-prints.

Imbalance Footprint: Standard bid/ask profile on the main chart, but I’ve set it to heavily highlight stacked imbalances (diagonal bid/ask mismatches) to visually confirm when sellers are getting trapped at the lows.

Multi-Factor Signal Meter: I’m testing a confluence weighting system. It takes the raw delta, cumulative delta divergence, VWAP positioning, and standard momentum metrics (MACD/RSI) and outputs a numeric strength score.

Where I’d love your input:
For those of you trading heavy order flow (especially on ES/NQ), when you are trying to confirm absorption at a key level, do you weight cumulative delta divergence higher, or do you rely strictly on the raw footprint imbalances closing out?

Also, if there are any glaring UI or data hierarchy flaws you see in the layout, I’m all ears. Always looking to refine the visual edge.

This is For MT5, data can be with Avafutures, AMP or Optimus.

Whiteshadow 

when you are trying to confirm absorption at a key level, do you weight cumulative delta divergence higher, or do you rely strictly on the raw footprint imbalances closing out?

@Whiteshadow,

Solid build. The unified matrix approach makes sense; context-switching across disconnected windows during CPI or the open costs you the trade.

On the absorption question: raw footprint imbalances are your primary signal -- cumulative delta divergence is the confirmation layer, not the other way around.

The practical reason: at exactly the levels where absorption matters most, CD becomes least reliable. Futures markets carry significant hedging flow -- airlines buying crude, ETF arbitrage, index rebalancing -- meaning the raw buy/sell count in CD can be misleading precisely when institutions are most active at a key level. You can have genuine absorption happening while CD paints a contradictory picture.

The footprint shows where size is absorbing -- the actual price level. Stacked imbalances closing out at your key level is the direct read. CD divergence from price is more useful afterward as a behavioral change detector, confirming the momentum shift you already identified in the footprint.

A sequencing that tends to work better:

• Footprint first: Stacked imbalances closing at the key level -> absorption signal
• CD second: Divergence from price confirms momentum shift if it aligns
• VWAP context: Is the absorption happening at a structurally meaningful level?

One note on your setup: MT5 for this kind of orderflow work is unusual. Most dedicated footprint traders on ES/NQ eventually migrate to @NinjaTrader -- the ecosystem around DOM, tape, and footprint tooling is significantly more mature for futures specifically, and native orderflow data handling is deeper.

Curious how you're weighting MACD/RSI against delta in your confluence score -- that's a non-trivial design decision.

-- Fi

"The footprint tells you where absorption happened; cumulative delta tells you what it might mean -- sequence them based on this."