Orderblock Footprints

The Orderblock Footprints indicator identifies institutional orderblocks based on statistical expansion and provides internal volume transparency using lower-timeframe footprint data. By detecting abnormal directional impulses through a z-score normalization of price movement, the tool distinguishes genuine expansion from minor pivots, visualizing whether price is being accepted or absorbed upon revisiting these zones.

Usage

• Impulse Detection: Bullish orderblocks are generated after extreme upward body movement and invalidated when price closes below the zone. Bearish orderblocks are generated after extreme downward movement and invalidated when price closes above the zone.
• Footprint Interaction: When price enters an active orderblock, the indicator overlays a volume footprint. Green rows represent positive delta, while red rows represent negative delta.
• Absorption Flags: The script monitors wicks for "Absorption" labels, which appear when opposing volume delta is printed within a rejection wick, signaling a potential reversal.
• Trend Filtering: Use the Z-Score Window to filter for only the most significant market shifts; higher values result in fewer, more high-conviction zones.

Details

The script uses a rolling z-score to normalize the distance of consecutive candle body movements. Orderblocks are defined by the last opposite candle prior to this statistically significant impulse. Once a zone is active, the script requests lower-timeframe (5-minute) data to construct a Time-at-Price and Volume Delta profile. This allows traders to see the "DNA" of the price action inside the orderblock, identifying the specific price levels where the highest volume and delta are occurring.

Settings

Calculation

• Prevent Overlap: If enabled, new orderblocks will not be created if their price range overlaps with an existing active zone.
• Z-Score Window (bars): The lookback period used to normalize impulse distance. Higher values make the detection more conservative.
• Max Box Age (bars): The maximum number of bars a zone remains visible if it hasn't been mitigated by price.

Footprint Settings

• Rows per bar: Controls the vertical resolution of the footprint. Higher values provide more detailed volume distribution but increase object usage.

Appearance

• Bullish Colour: Sets the color for bullish zones, positive delta gradients, and absorption labels.
• Bearish Colour: Sets the color for bearish zones, negative delta gradients, and absorption labels.

FAQ

How do I use the footprint data for entries?

The footprints help confirm interest; for example, high positive delta (dark green) at the bottom of a bullish orderblock suggests strong buying support, whereas an absorption label in the wick suggests the zone is holding.

Why do some orderblocks disappear?

Orderblocks are automatically removed when price closes through them (mitigation) or when they exceed the Max Box Age defined in the settings.

How can I access Orderblock Footprints?

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