Volume / Open Interest Footprint

The Volume / Open Interest Footprint indicator provides a high-resolution visualization of market activity by aggregating and displaying volume or open interest data directly on the chart. It identifies specific price levels where significant buying or selling activity occurred, helping traders pinpoint "unfinished business" and potential areas for mean reversion.

Usage

The Usage section focuses on interpreting the footprint bars and the various data types available. Traders can use this tool to identify volume gaps (unfilled or low-activity zones) and significant delta levels.

• Volume/OI Analysis: Users can toggle between analyzing standard Volume or Open Interest changes to see where capital is flowing.
• Data Types:
  • Total: Displays the sum of all activity in each price row.
  • Up/Down: Splits the activity into buying and selling volume (or OI increases/decreases).
  • Delta: Shows the net difference between buying and selling activity.
• Price Levels: When enabled, the indicator marks "Positive Delta Levels," which represent significant points of interest where buyers were historically aggressive.
• Gaps: Gaps in the volume profile (often highlighted or represented by low activity) act as targets for mean reversion as price often returns to "fill" these unfinished zones.

Details

The indicator operates by partitioning the visible price range into a user-defined number of rows (Resolution). For each bar within the analyzed period, it calculates the distribution of volume based on price action (body vs. wicks). It also supports volume aggregation, allowing users to combine volume data from multiple exchanges or related instruments (e.g., Spot and Futures data) to get a more comprehensive view of market liquidity and delta.

Settings

Main Settings

• Source: Selects between Volume or Open Interest data.
• Resolution: Determines the number of rows displayed in a footprint bar; higher values provide more granularity.
• Type: Choose how the data is displayed (Total, Up/Down, or net Delta).
• Positioning: Places the footprint bar on either the left or right side of the visible range.
• Offset: Adjusts the horizontal spacing of the footprint from the price action.
• Width: Defines the visual width of the footprint bar in terms of chart bars.
• Positive Delta Levels: Toggles the drawing of horizontal price levels where positive delta was recorded.

Volume Aggregation

• Aggregate Volume: Enables the combination of multiple data sources.
• Chart Pair: Includes the current chart's volume in the aggregation.
• Symbol Inputs (A1-A8): Allows users to specify additional symbols and exchanges to aggregate volume from.
• RQC: When enabled, converts volume reported in quote currency (e.g., USD) to base currency.

Additional Settings

• Node Text Size/Position: Customizes the appearance and alignment of the data labels within the footprint.
• Coloring: Allows for customization of positive, negative, and total volume colors, including "cold" and "hot" gradients based on intensity.

FAQ

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

What is the difference between Volume and Open Interest mode? Volume measures the total amount of an asset traded, while Open Interest tracks the total number of active contracts in the market. Using both helps distinguish between new capital entering the market and simple trading activity.

Why does the resolution need to be adjusted? When viewing very large price ranges, a high resolution may make the rows too small to read. Decreasing the resolution aggregates the data into larger price brackets for better visibility.