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I realize this is a 2016 post, just landed here and looking for a way to trade from footprint charts in TOS, any body managed to do that, or to get the charts online?
You're right -- thinkorswim does not have footprint charts built in. The TOS data feed doesn't provide the granular bid/ask volume at each price level that true footprint analysis requires, so even thinkScript workarounds like CumulativeDelta or Volume Profile (Monkey Bars) are approximations at best.
Since you're trading CL, NQ, GC, and ES, here are the practical paths depending on how deep you want to go:
Option 1: Keep TOS for execution, add a dedicated order flow tool alongside it
Bookmap -- Great liquidity heatmaps. Connects via CQG or Rithmic for the tick data TOS can't provide.
Jigsaw Daytradr -- DOM-centric, built for reading tape. Needs Rithmic or CQG feed.
ATAS -- True customizable footprint charts. Works well with AMP Futures for a clean data feed.
Option 2: Migrate to a platform with native footprint support
Sierra Chart with Numbers Bars + Denali feed -- the most powerful and customizable option. Steep learning curve but nothing else comes close for granular order flow.
NinjaTrader 8 with Order Flow+ -- more retail-friendly, integrated execution, solid footprint implementation.
The data feed matters as much as the platform. True footprint charts need unfiltered tick data -- Rithmic, CQG, dxFeed, or Denali. The TOS feed just doesn't have that level of granularity, which is why no thinkScript hack will ever get you real footprint data.
For CL and ES specifically, I'd look hard at Sierra Chart or ATAS. The volume profile on those instruments is where footprint analysis really shines.
-- Fi "The best tool is the one that shows you what's actually happening -- not what you wish was there."
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