How to read a footprint chart in NinjaTrader 8: bid × ask, imbalances and stacked zones

What is a footprint chart?

A candle shows four prices: open, high, low and close. A footprint chart shows what traded at every price in between. Each row of a bar is one price, or a group of ticks, and carries two numbers written bid × ask:

• Bid (left): contracts sold at the bid by aggressive sellers, whose market orders hit resting buy orders.
• Ask (right): contracts bought at the ask by aggressive buyers, whose market orders lift resting sell orders.

A row reading 24 × 81 means 24 contracts sold at the bid and 81 bought at the ask at that price. NinjaTrader 8 provides this split as Order Flow+ volumetric data, the data behind its own Volumetric bars. TapeCrest Footprint, an indicator for NinjaTrader 8, draws it inside every bar of an ordinary chart and turns back into calm candles when you zoom out.

What do delta, cumulative delta and the POC tell you?

• Delta: ask volume minus bid volume, for one row or for a whole bar. Positive delta means buyers were the more aggressive side; negative delta means sellers were.
• Cumulative delta (CVD): delta added up from the start of the session. In the Footprint it resets at the session rollover, not at midnight.
• Bar POC: the point of control, the row that traded the most volume in the bar, boxed on the chart.

Delta tells you which side was aggressive. Where the bar closed tells you whether that aggression moved price.

How do you read imbalances?

An imbalance is a price where one side traded several times more than the other. Footprints usually compare diagonally, because in a liquid futures market the bid sits one tick under the ask: buyers lifting the offer at one price are compared with sellers hitting the bid one tick lower.

• Buy imbalance: the ask volume of a row is at least the ratio times the bid volume one row below.
• Sell imbalance: the bid volume of a row is at least the ratio times the ask volume one row above.

A ratio of 3 is the classic 300%, and a minimum volume keeps thin rows out however lopsided they are. The top row of a bar can only be a buy imbalance and the bottom row only a sell imbalance. Here is a simulated bar with one tick per row, a ratio of 3 and a minimum volume of 20:

The bar traded 407 contracts: 124 at the bid and 283 at the ask, a delta of +159. Its POC is 5012.25, where 115 contracts traded. Three consecutive rows, 5012.00 to 5012.50, are buy imbalances: buyers lifted the offer hard across them. Whether that matters shows in the bars that follow.

What are stacked imbalance zones?

A stack is a run of consecutive rows imbalanced the same way; three is the usual minimum. TapeCrest Footprint turns a stack into a light zone that runs to the right until a closed bar trades through it: below a buy zone, above a sell zone. A zone still on the chart marks a price where one side pushed hard and price has not come back through it.

What are big-trade bubbles?

A print is one reported trade. A bubble marks one large order: prints at the same price, on the same side and in the same bar, each within the cluster window (250 milliseconds by default) of the one before, are added together. A bigger bubble is a bigger order. A thicker ring appears once the bar closes on the other side of the order, for example a large buy in a bar that closes below its price: the order filled, but price did not follow. That ring is one way absorption shows on a footprint.

How do you set up a footprint chart in NinjaTrader 8?

1. Check that Order Flow+, an entitlement on your NinjaTrader account, is active. The Footprint reads its volumetric data and draws no estimated footprint without it.
2. Open a chart of the future you trade, for example NQ 5 Minute, on a Minute, Second, Tick, Volume or Range bar type, or open an Order Flow Volumetric chart.
3. Add TapeCrest Footprint (right-click the chart, Indicators..., Ctrl+I). Click Footprint in the chart toolbar, choose TapeCrest access, then Paste key & verify.
4. Widen the bar spacing. Narrow bars draw as candles with a POC line, a compact profile appears from about 16 pixels per bar and the full footprint with figures from about 30 pixels. View: Auto ▾ → Footprint keeps full detail at any zoom.
5. Tune the thresholds to your market with the table below, or load a market starting-point template for ES, NQ, GC, CL, 6E, FDAX or FESX on 1, 3 or 5 minutes.
6. Optional: turn on Tick Replay, a per-chart setting that replays historical trades one by one. In Tools → Settings → Market data tick Show Tick Replay, then right-click the chart, open Data Series... (Ctrl+F) and set Tick Replay to true. It is needed only for big-trade bubbles on bars already on the chart when the indicator loads.

The defaults are set for NQ. Starting points from the settings' own descriptions:

These are starting configurations, not optimised settings. After lowering Min size, reload NinjaScript: prints under the old threshold were never stored.

How do you put it together?

At a price you care about, the footprint helps you answer four questions. Which side was aggressive (delta and the figures)? Did that aggression move price (where the bar closed)? Were large orders absorbed (thick rings)? Did imbalances stack and hold (zones)? The Lens, opened from View: Auto ▾, lists the exact bid and ask volume at every price of one bar when you want the plain numbers. The footprint describes the activity; the decision stays with you.

Try it

TapeCrest Footprint comes with a 7-day free trial without a card, then a one-time lifetime licence (pricing). The Footprint page shows the zoom from candles to the full footprint. For what was waiting in the book before it traded, read liquidity heatmaps and Level II depth, and for time and volume across a whole session, volume profile vs TPO.