Price-Level Footprints for Volume and Open Interest Delta

Summary

This indicator builds a price-binned footprint over the visible chart range using either traded volume or changes in open interest. Users choose the number of price rows and whether each row displays totals, an up/down split, or net delta. Positive delta levels can be highlighted, while node colors and placement are configurable. An optional aggregation mode combines volume from selected symbols, with a setting to convert quote-currency reported volume.

For traded volume, the script estimates buy and sell activity from candle direction and distributes wick volume between the two sides; this is an approximation rather than trade-level aggressor data. For open interest, it allocates changes across price areas and distinguishes increases from decreases. The script's OI source is constructed from a Binance perpetual ticker based on the chart symbol, so availability and representativeness can vary by market. It presents a visualization method, not evidence that highlighted levels predict price reactions.

Key ideas

• The footprint divides the visible price range into configurable rows and summarizes activity in each row.
• Users can view total activity, an up/down split, or net delta for volume or open-interest changes.
• Volume-side estimates rely on candle direction and distribute wick activity between sides.
• Optional aggregation combines volume from selected markets, with a conversion setting for quote-currency volume.
• Highlighted positive-delta levels are points for analysis, not demonstrated support or resistance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.