Intrabar Footprint Charts with Volume Delta, Imbalance, and Value Areas
Summary
This indicator builds a footprint view by dividing price into levels and estimating buying volume, selling volume, total volume, and delta at each level. It can request lower timeframe data at minute, second, or tick granularity. For minute and second data, volume is signed using whether the lower timeframe candle rose or fell, then allocated across the price levels spanned by that candle. In tick mode, bid and ask information and price changes inform the sign of volume.
The display options include delta percentages, volume per level, positive and negative delta lines, value-area calculations, stacked imbalances, and an advanced row view. Users can choose ATR-based or fixed tick spacing and optionally reset cumulative delta on a selected timeframe. These are estimates shaped by available lower-timeframe data and the allocation rules, rather than a direct exchange order book reconstruction. The source notes that the smallest chart timeframe and data access requirements matter; on a one-minute chart, finer granularity is needed for the footprint display to work as intended.
Key ideas
- The indicator aggregates lower-timeframe volume into price levels to display buy volume, sell volume, total volume, and delta.
- Minute and second modes infer trade direction from lower-timeframe candle direction, while tick mode also uses bid and ask data.
- Price-level spacing can be based on ATR or a user-selected tick distance.
- Delta, volume, value area, and stacked imbalance views provide different summaries of activity within the bar.
- The calculated footprint depends on lower-timeframe data and allocation assumptions, so it is an estimate rather than a full order book record.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.