Volume / Open Interest "Footprint" - By Leviathan

The Volume / Open Interest Footprint indicator generates a dynamic footprint-style profile based on aggregated volume or open interest data within the chart's visible range. It provides traders with a granular view of market activity, allowing for the identification of buy/sell pressure and significant price levels through high-resolution heatmap visualizations.

Usage

The Usage section describes how the script can be used to analyze market sentiment and liquidity distribution. To use the tool, add it to a chart and adjust the visible range; the script automatically recalculates the profile based on the data currently displayed on your screen.

The indicator offers three primary visualization modes:

• Total: Displays the cumulative Volume or Open Interest increase for each price node.
• Up/Down: Compares Buy vs. Sell Volume or Open Interest Increase vs. Decrease side-by-side within the footprint.
• Delta: Displays the net difference between buying and selling pressure (Buy Volume - Sell Volume).

A key feature is the Positive Delta Levels toggle. When enabled, the script draws horizontal boxes at price zones where the Delta is positive. These levels often act as support, resistance, or targets, as they represent areas where aggressive buying or position opening occurred.

Details

The script executes by scanning the visible bars on the chart and binning the volume data into a user-defined number of price rows (resolution). It employs a sophisticated calculation method to distribute volume across the price action of a bar, accounting for wicks and bodies to ensure the footprint accurately reflects where trading occurred.

When "Open Interest" is selected as the source, the script tracks the net change in OI. For volume analysis, users can utilize the Volume Aggregation feature. This allows the script to pull and sum volume data from up to eight different external tickers (e.g., aggregating BTC volume across Binance, Bybit, and OKX) to provide a more comprehensive view of "Real Volume" across the market.

Settings

General Settings

• Source: Determines the primary data for analysis (Volume or Open Interest).
• Resolution: Sets the number of rows in the footprint bar. Higher values provide more detail, while lower values are better for wider price ranges.
• Type: Controls the visualization style (Total, Up/Down, or Delta).
• Positioning: Places the footprint on the "Left" or "Right" of the visible range.
• Offset: Shifts the bar horizontally to prevent overlap with price action.
• Width: Defines the horizontal thickness of the footprint bar.
• Positive Delta Levels: Enables the plotting of support/resistance zones based on positive delta clusters.

Volume Aggregation

• Aggregate Volume: Enables the summation of volume from multiple symbols.
• Symbol Inputs: Allows users to define specific exchange tickers for aggregation.
• RQC (Reported in Quote Currency): Should be enabled if the volume for a specific ticker is reported in the quote currency (e.g., USD) rather than the base asset (e.g., BTC).

Additional Settings

• Node Text Size/Position: Customizes the appearance of the numerical data within the footprint cells.
• Coloring Options: Allows for full customization of the heatmap gradients for positive, negative, and total volume nodes.
• Total Based Coloring: Adjusts the heatmap intensity based on the total volume relative to the entire profile.

FAQ

How do I adjust the granularity of the footprint?
You can change the "Resolution" setting. Increasing the number will create more price rows, showing exactly where volume was transacted at a finer price level.

What does the RQC checkbox do in the aggregation settings?
RQC stands for Reported in Quote Currency. If an exchange reports volume in USD (Quote) instead of BTC (Base), checking this box ensures the script converts the data correctly so it can be summed with other sources.

How do I access the Volume / Open Interest Footprint?
You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.