Footprint Chart

The Footprint Chart indicator provides an approximation of order flow dynamics by estimating the distribution of volume between buyers and sellers for each candlestick. This tool aims to give traders a visual representation of market pressure and volume delta using heuristic modeling when tick-level data is unavailable.

Usage

The Usage section focuses on interpreting the visual cues provided by the script to assess market sentiment.

• Delta Labels: Each candle features a label displaying the calculated Delta (Buy Volume - Sell Volume). A green label indicates dominant buying pressure, while a red label signifies selling pressure.
• Volume Summary Table: A real-time dashboard appears in the corner of the chart, providing a breakdown of Buy Volume, Sell Volume, Total Volume, Average Volume, ATR, and suggested Stop Loss levels for both long and short positions.
• Volume Divergence: Traders can use the estimated delta to identify potential reversals. For example, if price makes a new high but the delta shows decreasing buying pressure, it may signal an exhausted trend.
• Risk Management: The integrated SL (Stop Loss) values based on ATR provide dynamic levels to assist in trade execution and risk control.

Details

This script utilizes a heuristic approach to volume analysis. Since standard charting data often lacks the bid/ask split found in a true order book, the indicator applies a percentage-based distribution:

• Bullish Candles: 60% of volume is attributed to buys, 40% to sells.
• Bearish Candles: 40% of volume is attributed to buys, 60% to sells.
• Neutral Candles: Volume is split evenly (50/50).

While this is an approximation, it provides a consistent framework for measuring relative pressure changes across different timeframes. The script also includes a volume alert system that triggers when the current volume exceeds a user-defined moving average.

Settings

Main Settings

• Number of Candles for Average Volume: Sets the lookback period for calculating the SMA of the volume.
• Value Text Color: Customizes the text color within the dashboard table.
• ATR Period: Determines the period used for the Average True Range calculation.
• SL Multiplier: Adjusts the distance of the suggested Stop Loss levels based on the ATR value.

Table Settings

• Table Position: Choose between the four corners of the chart for the summary table.
• Table Orientation: Switches the table layout between Horizontal and Vertical.
• Header Colors: Individual color pickers are available for each metric (Buy, Sell, Total, Avg, ATR, and SL) to customize the dashboard's visual hierarchy.

FAQ

How do I use the delta values for trading?

Positive delta values (green) suggest that buyers are more aggressive, while negative delta values (red) suggest seller dominance. Rapid changes in these values can indicate momentum shifts.

Is this data based on the real exchange order book?

No, this script uses a heuristic approximation based on candle closing prices and total volume. It is intended to simulate footprint behavior on platforms where tick-by-tick bid/ask data is limited.

How can I access Footprint Chart?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.