Estimating Intrabar Volume Footprints from Tick Updates
Summary
This indicator estimates an intrabar volume footprint by dividing each candle’s price range into evenly spaced intervals. The interval width can be based on an ATR setting or a manually chosen value, which changes how many price bands are drawn. As tick updates arrive, the script assigns changes in reported volume to the price at each update, then totals those changes in the corresponding interval when the bar is confirmed.
Users can display interval totals as values or as percentages of the candle’s total volume. Three visual styles are available: candle-direction coloring, a single box color, or a gradient where stronger interval totals appear darker. The resulting map can help identify where activity clustered within a candle. The author cautions that footprints are drawn on bar confirmation, making the version most applicable to lower timeframes. These are estimates derived from available tick updates, not a full exchange-level record of contracts traded at every price; the display alone does not establish directional intent or a trading edge.
Key ideas
- The candle range is split into equal price intervals using an ATR-based or manually set width.
- Volume changes observed at successive updates are assigned to the update’s closing price and accumulated by interval.
- Footprint values can be shown as raw totals or as a share of candle volume.
- Color styles distinguish candle direction or emphasize intervals with larger estimated volume.
- Footprints are created when bars confirm, so the author suggests lower timeframes for use.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.