Volume Footprint Levels

The Volume Footprint Levels indicator identifies support and resistance zones by analyzing aggressive volume defense and absorption at specific price points using footprint data. It filters market noise to highlight areas where significant buy or sell imbalances occurred, providing key structural references for retests and trend continuation.

Usage

The Usage section describes how the script identifies and manages footprint-based levels.

Defense Detection

The script scans each bar's footprint rows to detect "one-sided imbalances" concentrated in the wicks.

• Support (Buy Defense): Aggressive buying at the bottom X% of a bar’s range where buy volume significantly exceeds sell volume, followed by price moving away from the lows.
• Resistance (Sell Defense): Aggressive selling at the top X% of a bar’s range where sell volume exceeds buy volume, followed by price moving away from the highs.

Level Interpretation

Once a defense zone is detected, the script aggregates qualifying rows into a volume-weighted average price (VWAP) level. These levels remain active until specific invalidation criteria are met.

• Touch Tracking: Labels display the number of bullish (▲) or bearish (▼) touches. A touch is counted when a bar’s wick enters the user-defined tolerance zone.
• Break Confirmation: To prevent "fakeouts" from removing valid levels, the script requires price to close beyond the level for a consecutive number of bars before the level is deleted.
• Merge/Replace: If a new level is detected near an existing one, the script will either suppress it or replace the old level if the new one contains higher defending volume.

Details

The indicator utilizes the request.footprint() function to access granular volume-at-price data. It focuses on the "aggression" of market participants by calculating the imbalance ratio between buyers and sellers within the wick zones of a bar.

To ensure performance and data accuracy, the script includes a lookback limit, as footprint data resolution typically degrades over deep historical data. It is most effective on liquid instruments like major futures contracts, large-cap equities, and major FX pairs where footprint data is dense.

Settings

Detection

• Imbalance Ratio: Sets the multiplier required for one side of the volume to be considered "aggressive" (e.g., 2.5x).
• Min Row Delta: The minimum net difference between buy and sell volume required for an individual price row to qualify.
• Min Aggregated Volume: The total volume across all qualifying rows in a defense zone required to spawn a level.
• Wick Zone %: The percentage of the bar's range (from the high/low) where the script searches for defense.
• Min Close Distance %: How far the price must close away from the defense zone to confirm the level.

Levels

• Max Active Levels: The maximum number of lines maintained on the chart.
• Merge Distance: The proximity (in points) at which two levels will be considered for merging or replacement.
• Break Buffer: The distance beyond a level price must travel to begin the break confirmation count.
• Break Confirm Bars: The number of consecutive closes required beyond the buffer to remove a level.

Visuals & Alerts

• Ticks per Row: Adjusts price aggregation; lower values provide finer detail while higher values cluster rows.
• Touch Tolerance: The distance from the level within which a wick must reach to be counted as a touch.
• Enable JSON Alerts: When enabled, the script exports structured data for use in external webhook pipelines, including the nearest four support and resistance levels.

FAQ

How do I identify the strongest levels? The strongest levels are typically those with higher defending volume (shown in the label) and multiple touches that have not yet resulted in a confirmed break.

Why are some levels disappearing? Levels are removed when price closes beyond them for the set number of "Break Confirm Bars" or when the "Max Active Levels" limit is reached, causing the oldest levels to be pruned.

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