The footprint chart: reading the volume inside each bar

What a footprint shows

A footprint chart (also called a cluster chart, and Volumetric Bars on NinjaTrader 8) splits each bar into its price levels. At every price it shows two numbers: the volume traded at the bid, where sellers hit resting buy orders, and the volume traded at the ask, where buyers lifted resting sell orders.

The bar itself can be time-based (one minute, five minutes), tick-based, volume-based or range-based. The footprint does not change the bar type; it only opens it up. Levels can be shown tick by tick or grouped (for example two or four ticks per row) to stay readable on fast instruments.

Because every number depends on identifying the aggressor of each trade, a footprint is only as good as its data: it needs tick data with bid/ask information, in real time and, for past bars, from historical tick data.

Common display modes

Most footprint tools offer several ways to show the same data:

• Bid × Ask. Two columns per bar: volume at the bid on the left, volume at the ask on the right. This is the mode you need to spot diagonal imbalances.
• Delta. One number per price: ask volume minus bid volume. Positive means aggressive buyers dominated at that price; negative means aggressive sellers did.
• Volume. Total volume per price, often shaded like a small volume profile inside the bar.

Many traders add a summary below each bar: total volume, bar delta and sometimes the minimum and maximum delta reached while the bar was forming. Colours and shading are settings; learn what yours mean before drawing conclusions from them.

An illustrative footprint bar

The table below is an illustrative example, with invented numbers on a fictional contract that moves in steps of 0.25. It is not market data; it only serves to show the calculations.

Reading it: the bar traded 325 contracts, 203 at the ask and 122 at the bid, so the bar delta is +81. The POC of the bar, the price with the most volume, is 100.50. At the very top, only 3 contracts traded at the ask at 101.00: buyers did not insist at that price during this bar. The next sections explain how to read the diagonal between the 95 contracts at the ask at 100.50 and the 30 at the bid at 100.25.

Bar delta and the POC of each bar

Bar delta adds up the delta of every price in the bar. A clearly positive delta on a down bar, or a clearly negative delta on an up bar, shows that aggression and price did not go the same way during that bar, often because passive orders absorbed the aggressive side. The cumulative delta guide explains how these deltas add up over a session.

The POC of each bar shows where its volume was concentrated. Its position is telling: a POC near the high of an up bar means a lot of business was done right at the top; a POC near the low of an up bar means most of the volume traded before price moved away from it. Some traders watch whether later bars come back to these prices. None of this has a fixed meaning; it depends on where the bar forms and what happens next.

Diagonal imbalances and stacked imbalances

The obvious comparison would be bid and ask at the same price, but it is misleading. When the best bid is 100.25 and the best ask is 100.50, aggressive sellers trade at 100.25 and aggressive buyers at 100.50 at the same moment. Footprint tools therefore compare prices diagonally:

• Buy imbalance: volume at the ask at one price, compared with volume at the bid one tick lower.
• Sell imbalance: volume at the bid at one price, compared with volume at the ask one tick higher.

An imbalance is flagged when one side exceeds the other by a ratio you choose, for example 300% (three times as much). That threshold is a setting, not a rule: the values people use vary, and a lower ratio flags more levels. Many tools also let you ignore comparisons where volume is too small to matter. In the example bar, 95 at the ask at 100.50 against 30 at the bid at 100.25 gives a ratio of about 3.2, so it is a buy imbalance at a 300% threshold. The 40 at the bid at 100.75 against 3 at the ask at 101.00 also exceeds 300%, but with such a small number a minimum volume filter would probably discard the comparison.

Stacked imbalances are several consecutive prices, often three or more (again a setting), with imbalances on the same side. They mark a zone where one side was repeatedly aggressive as price moved through it. Many traders treat such zones as areas to watch if price returns: if they hold, the aggressive side may still be there; if price trades straight through them, the reading was wrong.

Absorption, exhaustion and thin prints

Absorption appears when heavy aggressive volume runs into a passive wall. On a footprint, it may look like large bid volume at the low of a bar while that low holds, or large ask volume at the high while price fails to go higher. The aggressive side is making the effort; someone with limit orders is taking the other side. Absorption becomes interesting when it happens at a level you had already identified, and it is only confirmed if price then moves away from it.

Exhaustion is the opposite picture: at the extreme of a move, aggressive volume dries up. A high printed with very little volume at the ask (like the 3 contracts at 101.00 in the example) suggests buyers stopped lifting offers at that price. Some traders also check whether the extreme has volume on both sides, which they call an unfinished auction likely to be revisited; that is a heuristic, not a law.

Thin prints are prices inside a bar where almost nothing traded because price moved through them very quickly. They show where the market did not spend time and, like the low-volume areas of a volume profile, they can be crossed quickly again if price comes back, with no guarantee that it will.

Reading the footprint in context

Read in isolation, a footprint invites overtrading: every bar contains an imbalance or a big number somewhere. The readings above matter mostly at prices that already matter in your plan: prior day high or low, session range, value area edges, or a level from your ICT analysis such as a fair value gap marked by the ICT 2022 Mentorship Model indicator.

A practical sequence: mark your levels before the session, wait for price to reach one, read the footprint for absorption, exhaustion or fresh imbalances in the direction you expect, and define your invalidation before entering. The footprint helps you judge behaviour at a location; it is not a reason to be in the market. The order flow guide shows how this fits into a complete plan.

Limitations

• Settings change the picture. Bar type, tick grouping, imbalance ratio and volume filters all change what gets highlighted. Two traders can look at the same session and see different footprints.
• Data dependence. Bid/ask classification and historical tick data vary between feeds. A historical footprint built without complete tick data may not match what was shown in real time.
• Hidden liquidity. Icebergs and cancellations do not appear in executed volume, and the footprint only shows trades in the contract you are watching.
• No predictive value on its own. Imbalances, absorption and exhaustion describe the past. They can fail, and trading them without a stop and a size defined in advance is a fast way to lose money.

The free tools for NinjaTrader 8

Available

TEVO Footprint

TEVO Footprint, a free footprint indicator for NinjaTrader 8: bid × ask volume per price, diagonal and stacked imbalances, bar POC and a delta table.

Documentation →

Available

TEVO Big Trades

TEVO Big Trades, a free NinjaTrader 8 indicator: large executed trades as bubbles sized by volume, at the bid or at the ask, at their price and time.

Documentation →

Frequently asked questions

Related concepts and tools

• Order flow guideThe mechanics of order flow and the full toolbox, from the DOM to the volume profile.
• Cumulative deltaHow bar deltas add up over a session and why price and delta can disagree.
• Volume profilePOC, value area and volume nodes over one session or several days.
• ICT 2022 Mentorship Model indicatorFree NinjaTrader 8 indicator: sweep, MSS and fair value gap, levels where a footprint read is worth doing.

More Order Flow guides

• Order Flow
• Cumulative delta
• Volume profile

Related articles

• How to Use Footprint Charts in NinjaTrader 8Two ways to get a footprint chart in NinjaTrader 8, what each one needs, how to prepare the chart so the numbers are readable, and a step-by-step routine for using it at your levels.
• Absorption in Order Flow: How to Identify It on Futures ChartsAbsorption in order flow is heavy aggressive volume that fails to move price because passive orders keep taking the other side. Here is how it appears on each tool, and why it is only confirmed after the fact.