Understanding Footprint Charts / Number bars

March 1st, 2020, 05:12 PM

So I can see you had a busy weekend spent well @Grantx!

Thanks for the summary. Sums it up quite well I should think

March 1st, 2020, 05:23 PM

Grantx

Some notes so far. Sorry Im not in the mood to post pics. Just the one that cant be described in words. This is a very interesting topic and I cant believe I disregarded volume so easily. I mean I can understand why...I just wasnt digging in the right places but when I saw ft71 charts and listened to his analysis in which he constanly references volume and delta, I felt it was worth another look.

Delta divergence
A higher/lower price is not being supported by delta
Example: Signs that a bull trend is losing strength is when delta is decreasing but the market continues to move up.

Things you should look for on a footprint bar:
What delta means in each bar
What delta means in relation to price
What delta means between bars
What delta means at each price level
What absorption looks like.

Passive/aggressive action and responsive/initiative action:
Is price moving in a passive or aggressive fashion? Limit orders are passive. Market orders are aggressive.
Is price being responsive or initiative? Responsive means the market reaches a level on increasing volume, the market is starting to respond but not react just yet. Initiative means the buyers or sellers turn from passive orders to market orders.

In a ranging market with low volume between extremes
As price moves into support, sellers find passive buyers in the form of limit long orders. As soon as buyers turn responsive, ie buyers start lifting offers, sellers back off and start unwinding positions. Thats when you get a reversal. Now buyers initiate towards resistance (aggressively lifting offers) and when they find that passive selling (limit short orders) they back off buying and the market chops around a bit. Sellers go from from passive selling to initiative selling which cause a rotation downward as longs exit positions and take profits.

Consolidation trading
Is when the market rotates on low volume between two points. Absorption and auctioning is where the market is facilitating trade ie you have initiative off lows and initiative off highs which means it makes sense to be seeing higher relative volume at areas of interest. High positive delta coming into resistance and low negative delta coming into support. This makes sense now. It didnt before.

Responsive vs initiative
In a ranging market or one coming into t a level on responsive buying you should see delta increasing. Example: As buyers lift offers into a level you should start to see increased positive delta this is because buyers are coming into passive selling in the form of limit short orders and those limit orders are more than what the buyers can buy. In order to see a reversal you would want to see responsive selling in the form of decreasing delta which means sellers are actively hitting the bids. In a perfect world those buyers unwind their positions and the market rotates back down on low volume.

Delta strength:
A good question to ask is what is the closing delta value in relation to the the bars highest delta value? Ie. If the bar has a maximium positive delta during the formation of the bar as 10 and the closing delta of the bar is 9 then the bar has closed strong in line with delta. You want to be going with this kind of bar EXCEPT when price has not moved in the direction of delta in which case you might be seeing absorption. You can see this in the bar spread. If 10 contracts normally moves the market 5 points but the market gets to a level and 10 contracts only moves the market half a point then perhaps you are seeing absorption.

In an ideal world, price is supported by delta in other words price rises accompanied by strong buying and falls on strong selling pressure evident by strong negative delta.

You want to look within a bar to see where big traders step in. If they are successful then the market should continue higher and the price level they stepped in at should become support as they attempt to protect the level on the retest. If the level fails then it becomes resistance as those traders cover their losing positions. This helps to push the market down because all those buy orders become sell orders as they exit losing positions.

Unfinished business on a numbers bar means a low that has both bids and offers. Finished business means that buyers or sellers had no more left to clear a level.

good job on those notes

if I may add another topic that's also important. when dealing with footprint charts, I only use range charts. the reason is I want to compare delta with price and not necessarily with time or number of trades. I don't need several bars at the same price level just because time is up. the same goes for unfinished business. you might get a bar with unfinished business just because it was time for a new bar.

also these divergences are very helpful, one has to be careful. you can't take every signal blindly. especially in the environment we have right now. you still can get some useful information, but mostly outside of rth these days:

March 3rd, 2020, 03:48 PM

This is a great topic. The cumulative delta is on both FT71's chart and MBox Mike's using the MBox system. I'm gonna dig into this too because I don't understand it a lick either. Any recomendations on a good order flow indicator? I've seen the one on Ninjacators but have no idea if it's any good. Thanks, everyone.

March 3rd, 2020, 05:07 PM

Good ideas -- here are some thoughts on some of them:

Grantx

Delta strength:

A good question to ask is what is the closing delta value in relation to the the bars highest delta value? Ie. If the bar has a maximium positive delta during the formation of the bar as 10 and the closing delta of the bar is 9 then the bar has closed strong in line with delta. You want to be going with this kind of bar EXCEPT when price has not moved in the direction of delta in which case you might be seeing absorption. You can see this in the bar spread. If 10 contracts normally moves the market 5 points but the market gets to a level and 10 contracts only moves the market half a point then perhaps you are seeing absorption.

Ok, except that if the bars are aggregated based on time or volume, then the close is purely random, and you shouldn't base anything on it. If it's range-based (range, renko, point&figure), then at least you have some kind of guarantee that the price either reversed or continued a certain amount, which gives a bit more weight as to how it closed. That is, the close may be arbitrary, but at least it is based on the price range and meaningful in relation to the open. See my uber controversial (not really) "Close of a Bar or Candle is Meaningless" thread.

In general I agree and recommend that you look into the Wyckoffian concept of effort vs result and VSA principles, if you have not already, as these methodologies capture this nicely.

Grantx

You want to look within a bar to see where big traders step in. If they are successful then the market should continue higher and the price level they stepped in at should become support as they attempt to protect the level on the retest. If the level fails then it becomes resistance as those traders cover their losing positions. This helps to push the market down because all those buy orders become sell orders as they exit losing positions.

Maybe. This really depends on the nature of the consolidation and the way it goes down and back up, but perhaps this is simply a false breakout. Imagine a case where the market consolidates on heavy volume, and breaks down. Buyers bail, new longs take the other side. It trades back up and is back at the high volume price of the consolidation. The original longs have largely puked, so who's there to sell? Only the new buyers. Maybe some will, maybe others will have even more confidence that this was a false breakdown and will now feel confident to enter long here.

So, yes, sometimes it works the way you described, but I wouldn't generalize it that way.

Grantx

Unfinished business on a numbers bar means a low that has both bids and offers. Finished business means that buyers or sellers had no more left to clear a level.

What you're describing is basically a "ledge" -- heavy volume at the extreme of a range. For example, the market has spent some time near the high of the day, has rotated, seen sellers take control, and now rotates down. In this case, if you don't have a good taper in the profile at the high, you would call this a "poor high" and expect the market to prod beyond it to test whether buyers will continue.

I would be cautious about doing this on a per-bar basis though, again, due to variations in the way bars are formed. You seem to be saying "if the low price of a bar goes offer, there's unfinished business" ... well, this depends on the instrument in part (Nikkei futures, due to its 5-point tick increment, notoriously will often have a low tick that went offered as the cash index in fact ticked below the low but the futures did not).

You are absolutely right about the principle though, and just don't look too much at this level of detail at a single tick on a single bar. Rather, understand this principle (excess -- maybe the most important MP concept to understand IMO) and adjust to your time frame.

March 3rd, 2020, 09:04 PM

An example of a trade based on the above idea of a ledge. The trade is a scalp.
I got home just in time to see 3019 being bought repeatedly over the course of a half hour. This may be my favorite trade setup, because it's as close to guaranteed to work as anything you will ever see. See the attached DOM picture for the real "ledge" view.

I don't have any quantitative data on this, because it doesn't happen this cleanly too often, but when I see this, I take it every time, no matter what, no questions asked. The market just does not let someone buy like that and never tick down. In this environment it's good for a few points.

March 12th, 2020, 08:00 AM

The only edge in orderflow is at the edge of the bars . In the middle , you will soon find out that its useless to see. See the bars at the areas of interest .

March 12th, 2020, 08:36 AM

Practice in Sim the entries. Observe only the delta volume at support and resistances. In that levels if delta is possitive Buy if negative Sell.
The rest is complicate the trading.Anyway its not magic, it could fail, or fake volume. Its a tool like others

March 12th, 2020, 08:48 AM

Thank you Bernard, where i can find indicator you mentioned? for ninja 8

March 12th, 2020, 08:54 AM

Download: Footprint Chart for NT8

A clean and simple Footprint Chart. How to enable Tick Replay (https://ninjatrader.com/support/helpGuides/nt8/en-us/?tick_replay.htm). Version 1.6 | May 2017 (Latest) - multi-threading optimization - performance optimization Version: 1.5 …

mk77ch

Downloads section. FootPrint chart for NT8. I used it. Simple , free, enought, good

March 12th, 2020, 09:02 AM

Yes Axia has a footprint course that talks about all of your questions.

Grantx

I need some help understanding footprint charts (number bars in Sierra). I hear FT71 talks a lot about it and @trepidation briefly described it in his YOLO journal here

It appears to be an excellent way to guage what is truly going on in terms of volume and positioning. In the screenshot at number 1, there is a delta of -1433 showing and that bar appears to have had stronger selling pressure than buying pressure.

At point 2, the delta is 3306 and the market appears to be moving up off those lows. This makes sense in my world, positive delta = more buyers hitting into the offers than there are sellers hitting into the bids, and therefore the market moves up.

At point 3 however, there is heavy negative delta showing, yet the market still moved up. A cursory look through the individual volume at each level appears to show more selling pressure than buying. How does this happen?

My sierra numbers bar configuration is set to show: 'Bid Vol X Ask Vol'
The calculated values at the bottom are set to show:

'Delta - Ask volume Bid volume difference'
'Negative delta sum'
'Positive delta sum'

Can anyone recommend a good resource for learning how to read footprints?

Understanding Footprint Charts / Number bars

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Understanding Footprint Charts / Number bars