Execution Algo Footprints

Execution Algo Footprints compresses the tape-level signature of a parent order being worked, execution algo footprints, into one signed score. Intrabar slices stand in for child-order prints; the build scores their uniformity, one-sidedness, persistence through pullbacks and volume scaling, averaging the four components into a 0-100 score signed by the dominant side. Beyond the threshold a tentative program is tracked; surviving the confirmation time across a sufficient span upgrades it to confirmed.

How to Trade the Execution Algo Footprints?

• Tentative detection: the score crossing the dashed threshold starts a footprint and lightly tints the pane, a hypothesis about persistent flow.
• Confirmed program: persistence plus span is the schedule signature; the dashboard's Schedule read labels the mix VWAP/POV-like, TWAP-like or Mixed.
• Fade / completion: the score falling below 75% of the threshold, or the side flipping, releases the footprint. The persistent support or pressure it supplied is gone.

Execution Algo Footprints Settings

• Analysis Window (bars) (default 30): window over which the four components are measured.
• Detection Threshold (default 50): composite score required to flag a working program.
• Confirmation Time (minutes) (default 60): how long a detection must persist to count as confirmed.
• Min Price Span (ATR) (default 1.0) with ATR Length (default 14): a confirmed program must have worked across price levels, unlike an iceberg defending one.
• Auto Intrabar Timeframe (default on) and Custom Intrabar Timeframe (default 1): the slice source, roughly a dozen slices per chart bar when automatic.
• VWAP Proximity (ATR) (default 0.25): band around the session VWAP where benchmark-hugging pressure is checked.
• Display: Show Dashboard and Highlight Active Program (both on).

Frequently Asked Questions

How is this different from Absorption?

What do the slices actually measure?

Does a fade mean the move reverses?