Hello Traders,

After a long break from Trading, i am finally back to NinjaTrader.

During 2016/2017 i shared a FootPrint Indicator which many people here seemed to like.

Today i am sharing a new version of this indicator, which includes a few new features and ideas i've been working on for quite some time.

I would like to mention that i use this indicator in my daily trading and that i will only add features i find useful for my own trading.
If you want to have some additional features added to it, you could always hire a programmer to customize the indicator for you, as i am sharing the source which can be freely edited.

This indicator was developed with the intention to keep things simple.
You will for example notice that the indicators Bottom-Bar values are missing the usual battery of numbers for traded volume, delta, delta percent, volume at ask, at bid etc.
This isn't because i am too lazy to code it but because i need this indicator to make trading decisions.
My personal problem with most of these FootPrint charts was, that there are too many information to process, which results in a constant uncertainty and the feeling that i maybe missed an important number which would have prevented me from taking a loosing trade or vice versa.

I am sharing this indicator for free, because i believe that trading is hard enough and because there is so much rubbish being sold for thousands of dollars, which would be better invested in education and actual training.

Trading is not about the indicators you use.
There is a bunch of very profitable traders out there using a scruffy 10 period moving average. Invest in your mindset, the indicators are minor.

I made this thread to explain the indicator and that you guys could ask some questions or share some ideas and setups. I usually don't have too much time being online and answering questions but it's well possible that other Users can help each other and figure things out.


1.0 Installation:

To install the indicator, just download and import it to NT8.
The indicator uses Tick-Replay and i would recommend to load a maximum of 3 to 4 days of data, depending on the bar type and time frame you are using.

If your bars are messed up after loading a chart or if the indicator only shows data for the most recent bars, right click on your chart and select "Reload All Historical Data.


2.0 Top-Bar



The indicator adds a menu to the Top-Bar of the chart with the following Buttons:

• Trades - Toggle Trades
• Map - Toggle Map
• Footprint - Toggle Footprint
• Settings - FootPrint Settings (only visible when FootPrint is active)

3.0 Modules:

The indicator consists of different modules which can be enabled or disabled.


3.1 Profile (Previous Session)

Draws a profile of the previous session.
This profile can be useful for trading because it shows the:

• High and Low of the previous session.
• Value area (POC, VAH, VAL) of the previous session.
• High Volume Nodes (HVN) and Low Volume Nodes (LVN) of the previous session.
• Traded Volume and Cumulative Delta of the previous session.

3.2 Profile (Current Session)

Draws a profile of the current session.
This profile can be useful for trading because it shows the:

• High and Low of the current session.
• Developing Value area (POC, VAH, VAL) of the current session.
• High Volume Nodes (HVN) and Low Volume Nodes (LVN) of the current session.
• Traded Volume and Cumulative Delta of the current session.

3.3 Profile (Custom)

Draws a custom profile with a configurable size.
The options for the profile size are the following:

• Percent - Percent value of the current sessions volume
• Bars - Number of bars
• Volume - Volume traded
• Range - Tick-Range

These options can be combined, so you could for example define that the custom profile size consists of at least 10 Bars and a Volume of 10'000 contracts.
If both criteria are met, we have our size. Please note that the values are checked per bar, so the actual values may vary a little.

The custom profile comes with two special features:

• Map - Draws a Heat-Map of the traded volume per price.
• Imbalances - Draws Bid-Ask Imbalances to the right side of the profile.

3.4 FootPrint

The FootPrint Chart can be toggled from the TopBar of the chart.
So you are now able to switch between your Regular Chart and the FootPrint Chart with a click.
As soon as the FootPrint Chart is active, you can change the settings from the Top-Bar menu "Settings".

The FootPrint Chart has now two display types:

• Profile - Display FootPrint Chart rows as profile
• Numbers - Display FootPrint Chart rows with numbers

3.5 Bottom Area

There are three options to choose from for the Bottom Area of the chart, Volume, Delta and Cumulative Delta.
The size of the Bottom Area can be adjusted by changing the lower margin of the chart.


3.6 Tape Strip

The Tape Strip prints the actual orders at the ask and at the bid to your chart.
By default these orders are filtered, so you only see the bigger orders.
This tool gives you a feeling where the traders who trade with bigger size are aggressively entering the market or in unfiltered mode to let you see the actual orders hitting the tape.


4.0 Context and Draw Objects.

In NinjaTrader 8, we have the possibility to draw Global Objects.
This is specially useful when you want for example your Supply and Demand Zones to be visible on a chart where you only load a few day of data.
So i always have two other charts of the same instruments on my Workspace for Context and Drawings.
This prevents me from trading into support and resistance and also gives me an overview of where the price is trading.



5.0 How do i use this?

There are a lot of free resources and videos explaining how to trade FootPrint charts and volume profiles.
I would recommend to just take your time to study and watch the charts with all its default features enabled.

Later on, you could decide if you want to trade it "naked" or together with one or two selected indicators.
Don't clutter your charts with indicators.
It's hard enough to process these information on a slow moving chart, but when the price really moves, you need to focus on two or three things which let you make quick and reliable trading decisions.

I personally use this indicator together with the standard ninjatrader orderflow vwap (without deviations) and the Half-Trend indicator.

In terms of setups there are a lot of information you could use to define your own personal setups. Either for continuation or for reversals.

Another way of using it, is to just trade from a regular chart and only switch to the FootPrint for Entries and Exits.

I hope that some of you find this indicator as helpful as i do and that it will improve your overall trading results.

The indicator can be downloaded here: FootPrintV2 Chart for NT8

All the best and happy Trading,
Mike

You knocked this one out of the park. This is great stuff

Great work @mk77ch!

Unless I missed the option, is there any way you could add a "ticks per level" setting, similar to the stock Volumetric Profile? I primarily trade NQ, which, of course, has quite a large range.

Hello,

there is currently no option to group a tickrange into a level.
This would be a major change in the data-architecture of the indicator.
I'll have to think about this in more detail. If i come up with a good idea how to implement this feature, i'm considering to add it.

An alternative would be to use a fixed scale.
The indicator will automatically scroll the y-axis of the chart when price reaches the bottom or top of the visible range.

All the best,
Mike

tradrdude 

Great work @mk77ch! Unless I missed the option, is there any way you could add a "ticks per level" setting, similar to the stock Volumetric Profile? I primarily trade NQ, which, of course, has quite a large range.

mk77ch 

I am sharing this indicator for free, because i believe that trading is hard enough and because there is so much rubbish being sold for thousands of dollars, which would be better invested in education and actual training. Trading is not about the indicators you use. There is a bunch of very profitable traders out there using a scruffy 10 period moving average. Invest in your mindset, the indicators are minor.

This.

tradrdude 

Great work @mk77ch! Unless I missed the option, is there any way you could add a "ticks per level" setting, similar to the stock Volumetric Profile? I primarily trade NQ, which, of course, has quite a large range.

What you can do and i personally use is to load this free indicator named "Tracking NT8" on your chart:

It will prevent the bars to get squeezed too much vertically. As the numbers can become unreadable i use the vertical ruler to get the size i want manually and then the indicator will keep your fixed scale and just center the bars on the screen.

Visit this page and scroll to the bottom of the page to see a bunch of free indicators. You'll find it there.
https://www.discotrading.com/en/Category3

I did this small video to show it in action using a 30sec. chart (NQ):

I recorded 2 vids of your indicator and how I'm using. It's over on my Trading the Treasuries journal.

Thanks again for creating and sharing this. It fits my trading style perfectly.

Hello,

thank you for your great work! Question: as you have "Tape Strip prints the actual orders at the ask and at the bid to your chart.".... it seems you use also level2 data and so I want to ask or give an idea about showing stacking and pulling orders (adding and pulling to/from orders). This is eg in Sierrachart showing nicely green and red colored the change of orders and its not in NT for now. Showing the change of bid and ask we use in a room and it makes more sense than showing the "normal" orders as in NT8-level2.

All the best!
Tony

Great to see that that this is a valuable tool for your trading :-)

All the best,
Mike

brettji 

I recorded 2 vids of your indicator and how I'm using. It's over on my Trading the Treasuries journal. Thanks again for creating and sharing this. It fits my trading style perfectly.

Hey Tony,

well the indicator works without a Level 2 subscription because the current ask and current bid is also included in the Level 1 data subscription.
The problem with Level 2 data is the actual refresh rate of the chart. The NT8 chart only gets a refresh on a change of price (min 250ms).
There are some "hacks" to force a refresh but those aren't working very reliable and to visualize the change in Level 2 data, you would have an insane refresh-rate.
So i guess there are much better tools out there to get this done like the Jigsaw Tools which are built in an own application-window.

All the best,
Mike

tony2604 

Hello, thank you for your great work! Question: as you have "Tape Strip prints the actual orders at the ask and at the bid to your chart.".... it seems you use also level2 data and so I want to ask or give an idea about showing stacking and pulling orders (adding and pulling to/from orders). This is eg in Sierrachart showing nicely green and red colored the change of orders and its not in NT for now. Showing the change of bid and ask we use in a room and it makes more sense than showing the "normal" orders as in NT8-level2. All the best! Tony