Building Commodity Futures Footprint Charts from Tick Data
Summary
The document describes a footprint chart that expands each futures candlestick into price levels with estimated active buying and selling volume. Its example processes tick updates, classifies trades as buyer or seller initiated using the latest price relative to bid and ask quotes, and accumulates volume by price within each bar. The resulting display combines candlestick prices with a volume breakdown at each traded level.
The article proposes reading imbalances between active buying and selling as clues to short-term order flow and possible price direction. It includes an implementation example, but supplies no performance evaluation or evidence that these signals predict returns. Its classification rules are approximations based on quote comparisons; some trades are marked as both sides, and the method depends on the quality and granularity of tick and quote data. The displayed volume reflects trading activity and participant willingness as inferred by the algorithm, not literal inflows or outflows of capital.
Key ideas
- A footprint chart displays traded volume and inferred active buying and selling at each price within a bar.
- The example assigns trade direction by comparing the latest trade price with current or preceding bid and ask quotes.
- Tick volume is accumulated by price and grouped into time-based candlesticks.
- Large buying or selling imbalances are presented as possible clues about short-term order flow.
- The inferred activity is not a direct measure of money entering or leaving the market.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.