A footprint chart opens each candle and shows, at every price level it crossed, what was sold at the bid on one side and bought at the ask on the other. It is the trace of what actually executed, where the DOM only shows waiting.
What actually executed on each side
Contents
An ordinary candle says four things: open, high, low, close. A footprint fills it in. At every price crossed, it records how many contracts traded on the buy side and how many on the sell side, turning a candle into a small table.
The distinction that gives the tool its meaning is aggression. An order executed at the ask comes from somebody who wanted to buy immediately and accepted paying the spread; an order executed at the bid comes from somebody who wanted to sell immediately. The footprint separates those two populations, which no total volume allows.
What that makes visible is the case where many executions do not move the price. If 74 contracts are bought at one price and price does not rise, somebody sold as much against them, calmly. That is called absorption, and it is the one thing a footprint shows that genuinely cannot be deduced elsewhere. Our lesson on order flow covers the reading.
Level delta = bought at the ask − sold at the bid — Candle delta = sum of the level deltas
Delta is positive when buyers were the most impatient, negative otherwise. It does not say who is right, it says who paid the spread.
A positive delta on a falling candle is the most quoted signal: buyers were aggressive and price still fell, so somebody absorbed.
A footprint requires trade-by-trade data, with the side of each execution. That is standard on futures, rare and often paid elsewhere, and sometimes only estimated.
| What the footprint shows | How to read it |
|---|---|
| Positive delta, price rising | Ordinary case. Impatient buyers get what they want, nothing particular to draw from it. |
| Positive delta, price falling | Absorption. Somebody calmly sold everything the impatient buyers took. |
| A very loaded level, price stuck | The clearest case of the same phenomenon, localised at one precise price. |
| Delta close to zero | Neither side was more impatient. The footprint says nothing here, and this is most candles. |
| Extreme delta at the end of a move | Often the latecomers. A frequent and fragile reading, not to be taken alone. |
The fourth row is the one to remember, and it never appears in presentations of the tool: on most candles, the footprint says nothing. Delta is close to zero, the two columns look alike, and there is no reading to make. The tool is useful at the rare moments when a clear imbalance is not followed by a move, and the rest of the time it takes up screen space.
The second point is that absorption is always interpreted after the fact. In the moment, a large positive delta that fails to lift price may be absorption, or simply a candle that has not finished. The reading only becomes certain at the close, which limits what can be done with it live and explains why it mostly serves to confirm a decision already taken.
At 1.0960, 74 contracts were bought aggressively and price did not rise: somebody sold 74 contracts against them without hurrying. That is absorption, and it explains why the candle closes lower despite a positive delta. No candlestick chart contains that information, and a total volume figure hides it completely.
This is the use that justifies the tool. A price refusing to rise while buyers are aggressive there is a price defended by real transactions, not by a pattern. That information exists nowhere else, neither on a candlestick chart nor in the order book.
It mostly changes what you do with a level spotted some other way. An order block or a fair value gap confirmed by absorption is no longer a hypothesis about the past, it is a place where somebody has just acted.
An extreme delta at the end of a move says the last entrants paid the spread to get in late. That is not a reversal signal, and reading it as one is expensive, but it is reason enough not to add to a position at the worst moment.
That is the footprint's defensive use, and as with the order book, it is the one that pays most for anyone who is not a professional scalper.
The first flaw is how rare readable cases are, and nobody mentions it. A whole session of footprint contains a handful of candles that say something and hundreds that say nothing. A tool that is dense with information on screen gives the opposite impression, and that impression pushes you to read patterns where there is only noise.
The second is data quality. The footprint requires knowing the side of each execution. On futures that is supplied; elsewhere, many platforms estimate it from the last known price, producing columns that are plausible and wrong. A fine read made on estimated data is not a fine read.
The third is that absorption narrates perfectly in hindsight. Once the candle has closed and the move is over, you always find the level that explains everything. Live, the same picture is ambiguous, and it is the same mechanism as for the inverse fair value gap: what can only be validated afterwards cannot be tested.
The classic mistake. Reading absorption after the close and believing you would have seen it before. Once the move is over, the level that explains everything jumps out; live, the same picture may just be an unfinished candle. Writing your read before knowing what follows is the only way to know whether you are really reading anything.
| Indicator | Formula | What it measures | When to use it |
|---|---|---|---|
| Footprint | Each candle opened into two columns | What ACTUALLY executed, level by level | Checking that a level is defended |
| DOM | The order book displayed vertically | RESTING orders, at a given instant | Checking availability before executing |
| Volume profile | Volume sorted by price over a period | Where the market traded most | Placing targets, spotting thin areas |
| Cumulative delta | The sum of deltas through the session | The aggression imbalance over time | Following a flow trend, not a level |
Look in your platform's documentation for whether the side of each execution is supplied by the exchange or inferred from the last price. On futures it is supplied. Elsewhere it is often inferred, and any fine read made on those columns is a fine read made on an estimate.
The footprint is bad at searching and good at confirming. Find your level with whatever you usually use, then open the footprint only there, at the moment price arrives. That removes at a stroke the hundreds of candles that say nothing.
It is the only way out of hindsight bias on absorption. Write your read at the moment you make it, not after the close, and compare it with the outcome thirty or so times. It is tedious, and it is the difference between a skill and an impression.
Footprint charts are charts where each candle is opened up and detailed by price level: at every price crossed, the number of contracts sold at the bid on one side and bought at the ask on the other. A candle becomes a small table instead of a plain shape.
Start with delta, the difference between the two columns. The case that matters is a clearly positive delta on a falling candle, or the reverse: impatient buyers got filled and price did not rise, so somebody sold against them without hurrying. That is absorption. On most candles delta is close to zero and there is nothing to read.
Classic volume gives a total per candle, without saying at what price or on which side. A footprint graph spreads that same total across price levels and separates what executed at the bid from what executed at the ask. It is the same data, detailed where the other aggregates it.
Often, yes. A footprint requires knowing the side of each execution, which means a trade-by-trade feed. On futures the exchange supplies it. Elsewhere many platforms estimate it from the last price, and a fine read on estimated data does not carry the reliability people assume.
Not on its own, and that is the most expensive use. It is good at confirming that a level spotted some other way is genuinely defended, and bad at finding a level, because the vast majority of candles contain no usable information. Spot first, open the footprint afterwards.
A journal does not replay a footprint: Tradoshi records your executions, not the whole market's, and its backtesting replays the market candle by candle rather than trade by trade. That is a limit worth knowing before hoping to test an order flow method in it.
What it brings to this reading lies elsewhere, and it makes the third piece of advice above practicable. Every trade carries a free review note and a plan followed field, filled in the Trade Review screen: write there what you read at the moment you read it. Thirty trades later, the Performance by tag block in the Journal screen compares the trades where you saw absorption with the others, and the impression becomes a number.
To go deeper on this: read the full guide. Every term is gathered in the glossary.