NinjaTrader FootPrint OrderFlow Indicator

Up Down Tick

Volume is classified by tick direction: a trade at a higher price than the previous trade counts as buying, a trade at a lower price counts as selling. When the price is unchanged, volume is assigned to the same side as the previous trade. The indicator loads its own 1-tick data series, so Tick Replay is not required, but historical tick data must be available for the instrument.

Bid Ask

Volume traded at the ask or above counts as buying; volume traded at the bid or below counts as selling. Trades between the bid and the ask are assigned to the same side as the previous trade. This is the only mode based on actual bid and ask data.

Note: Bid Ask mode requires Tick Replay to be enabled in the chart’s Data Series settings. Without Tick Replay, the indicator shows a message and does not calculate.

Minute Bar Based

Volume is classified by 1-minute bars: an up bar counts as buying, a down bar counts as selling. If a 1-minute bar closes at the same price as the previous one, volume is assigned to the same side as the previous bar. The indicator loads its own 1-minute data series.

In Up Down Tick and Minute Bar Based modes, buy and sell volume is a classification by price direction rather than recorded bid and ask volume. If the required tick or minute history is not available, the indicator shows a message asking to check the data for the instrument.

Cell colors reflect which side dominated at the level, and imbalanced levels are highlighted within the grid.

The Point of Control (POC) marks the price level with the highest traded volume in the bar, and the Value Area marks the range that contains the set share of the bar’s volume (68% by default). Together with imbalance highlighting, the profile shows both where volume concentrated and where one side dominated within that range.

Horizontal imbalance

Diagonal imbalance

Stacked imbalance

• Horizontal compares ask volume and bid volume at the same price level.
• Diagonal compares ask volume at a price level with bid volume one level lower, the standard way footprint charts compare aggressive buyers and sellers across adjacent prices.

A level is marked as an imbalance when two conditions are met: the larger side is at least Imbalance Ratio times the smaller side (3:1 by default), and the absolute difference between the two sides is at least Imbalance Min. Absolute Difference (30 by default). The second condition filters out thin levels where a high ratio comes from very small volumes. Alerts can be enabled separately for bullish and bearish imbalances.

When their number reaches Stacked Imbalances Threshold (3 by default), a zone is created around them:

• a bullish zone is created from stacked buying imbalances when the bar closes above the zone;
• a bearish zone is created from stacked selling imbalances when the bar closes below the zone.

A zone stays on the chart until a bar closes beyond its opposite boundary: below the lower boundary for a bullish zone, above the upper boundary for a bearish zone.

Stacked Imbalance Strategy selects which price interaction with the zone is marked on the chart:

• Retest: a marker is plotted when price returns to the zone, that is, when the bar’s low reaches the upper boundary of a bullish zone or the bar’s high reaches the lower boundary of a bearish zone. A zone can produce several retest markers until it is broken.
• Breakout: a marker is plotted when price closes beyond the opposite boundary of the zone. A bullish zone broken to the downside produces a bearish marker; a bearish zone broken to the upside produces a bullish marker. The zone ends at that point.

Retest and breakout markers, the zone plots, zone alerts and the MFE/MAE Tracker work only when Draw Stacked Imbalances Zone is enabled.

With Calculate set to On Each Tick (the default), markers on the forming bar are evaluated as price updates and can appear or disappear before the bar closes.

When both bid and ask volume are present at the extreme, the auction is treated as unfinished: price turned at that level while two-sided trading was still taking place there.

With Track Unfinished Auctions enabled, the indicator checks the high and low of every completed bar. An unfinished auction is registered when both bid and ask volume are present at the extreme and each is at least Minimum Volume (1 by default). If either side is zero, the auction is treated as finished and no level is created.

Each unfinished auction is drawn as a dashed horizontal line from the extreme: red from a high, green from a low. The line extends to the right until price touches the level for the first time. On the first touch:

• the line stops extending and a dot is drawn at its end;
• the Upper or Lower Unfinished Auction Close plot receives the level price on that bar;
• a text message and an alert are generated.

Two more plots report the nearest levels that have not been touched yet: Nearest Unfinished Auction Above (above the current bar’s high) and Nearest Unfinished Auction Below (below the current bar’s low).

Recommended settings: Calculation Type = Bid Ask and Ticks Per Level = 1.

With Ticks Per Level above 1, the volume check covers the aggregated row that contains the extreme rather than the exact price. In Up Down Tick and Minute Bar Based modes, the two sides of volume are a direction-based classification rather than recorded bid and ask, so unfinished auctions are approximate. When Track Unfinished Auctions is enabled with other settings, the indicator shows a warning that names the parameter to change; if both differ, both are listed in one warning.

• Total volume;
• Buy and sell volume;
• Delta (buy volume minus sell volume);
• Delta % (delta as a share of total volume);
• Cumulative delta;
• Minimum and maximum delta reached within the bar.

Each row can be shown or hidden individually.

This reduces the number of rows on the chart; volume, delta and imbalance calculations then run on the combined rows. Set Ticks Per Level to 1 to display every price separately.

Tick aggregation on the chart

Tick aggregation settings

For every marker, it records the maximum favorable excursion (MFE) and the maximum adverse excursion (MAE) over up to four time windows set in seconds, minutes or days, plus an optional window that lasts until the next marker in the opposite direction.

Results are shown in an on-chart table as the median MFE/MAE ratio for long and short markers, and the table can be exported to CSV. The tracker describes how markers behaved on the loaded history; it does not forecast future price movement. It uses the markers from Stacked Imbalance Zone Tracking, so Track Stacked Imbalances and Draw Stacked Imbalances Zone must be enabled.

See how the MFE/MAE Tracker is calculated and how to read the dashboard →

• individual bullish and bearish imbalances;
• formation of a stacked imbalance zone;
• zone retests or breakouts, depending on Stacked Imbalance Strategy;
• the first touch of an unfinished auction level.

Alerts can be delivered as a pop-up window, a sound (a custom .wav file can be selected) or an email; email alerts require the NinjaTrader email share service to be configured. Alerts are generated in real time only; historical bars do not trigger them.