Replay Footprint

The Replay Footprint indicator provides advanced footprint (cluster) volume analysis with full historical support, specifically optimized for TradingView's Replay mode. By re-requesting granular tick or lower-timeframe data, the tool reconstructs historical footprints with high precision, ensuring that traders can conduct accurate backtesting and analysis without the distortions commonly found in pre-aggregated historical data.

Usage

The Usage section focuses on interpreting the volume clusters and configuring the data granularity for historical analysis. The indicator is primarily used to identify where aggressive buyers and sellers are active within a single candle.

• Order Flow Analysis: Use the side-by-side buy and sell volume displays to gauge market sentiment at specific price levels.
• Imbalance Detection: Monitor the imbalance markers (indicated by emoji icons) which highlight price levels where one side of the market significantly overwhelms the other based on the percentage threshold.
• Replay Mode: To use the tool in Replay mode, enter the Bar Replay tool and select a starting point. For the most accurate real-time updates during replay, it is recommended to run the replay at a lower resolution (e.g., tick or 1-minute) than the main chart timeframe.

Details

The script utilizes request.security to fetch lower-timeframe data, which is then processed into discrete price rows based on the "Ticks Per Row" setting.

• Point of Control (POC): The price level within the bar with the highest total volume.
• Value Area (VAH/VAL): The price range where a specified percentage (default 70%) of the total volume occurred.
• Calculation Logic: The script calculates "Buy" vs "Sell" volume based on price action relative to the bid/ask or the previous close, providing a delta-based footprint even on assets where raw bid/ask data might be limited.

Settings

Calculate

• Ticks Per Row: Defines the vertical height of each volume cluster.
• Auto: When enabled, the indicator automatically adjusts the row size based on the bar's price range.
• Count Rows Bar: Sets the number of rows per bar when in Auto mode.
• Footprint Tf: The lower timeframe used to source granular data (e.g., "1T" for 1-tick).
• Count detail bars: The historical lookback length for requesting detailed data.

Footprint params

• Imbalance: The percentage threshold required to trigger an imbalance highlight (e.g., 300% means buy volume is 3x the sell volume at the diagonal level).
• Value area: The percentage of total volume used to calculate the Value Area High and Low.

FAQ

How do I access Replay Footprint?

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

Why am I seeing a "memory limit" error?

Requesting detailed tick data is resource-intensive. If you encounter this error, try reducing the "Max count of rows" or the "Count detail bars" in the settings.

Does this work on all symbols?

The indicator requires volume data. If the data vendor for your specific symbol does not provide volume, the indicator will display a runtime error.