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How to read a footprint chart

By Author of ORDER FLOW — Market Mechanics

A candle tells you what price did. A footprint tells you what happened inside that candle to make price do it.

If you are not yet sure what order flow records, or how it differs from an indicator, that page is the place to start. This one assumes it and goes down to the level of a single candle.

What a footprint shows that a candle does not

A candle gives you five numbers: open, high, low, close and total volume. It does not tell you where that volume traded or how.

A footprint shows the volume executed at each price level, split into two columns. The left one is the bid: sells that executed against resting bids, which is selling aggression. The right one is the ask: buys that executed against resting offers, which is buying aggression.

What the candle says What the footprint adds High 21,302.00 Close 21,301.75 Open and low 21,301.25 Volume 381 Four prices and one total. Bid Ask 21,302.00 12 48 21,301.75 25 71 21,301.50 80 35 21,301.25 92 18 Bid 209 · Ask 172 · Delta −37 The volume at each level, split by side. Five numbers in the candle. Two per level in the footprint.
Schematic of one NQ candle read first as a candle and then as a footprint. Values are illustrative.

The candle on the left says it opened at 21,301.25, traded up to 21,302.00 and closed at 21,301.75, on 381 contracts. The footprint adds what the candle cannot hold. At 21,302.00 there were 48 contracts bought at the ask against 12 sold at the bid, and price still could not continue higher. Across the whole candle more traded at the bid than at the ask, a delta of −37, in a candle that closed up. Neither fact appears anywhere on the price chart.

Volume in both columns at the high, instead of a zero on the bid, has a name of its own: it is what is known as an unfinished auction, and reading it comes with conditions of its own.

Everything else on a footprint is built from those two columns. The candle's delta is one minus the other. Absorption is a column full of contracts next to a price that will not move. Imbalances compare cells at neighbouring levels, and exhaustion is aggression fading at the end of a move.

Two candles that look identical can have risen for opposite reasons, one because buyers swept the offers and the other because sellers stopped offering. The candle records the same outcome in both cases and the footprint tells them apart.

How the record is built

When the chart works from real bid and ask data, the footprint is a record of transactions that took place, with nothing calculated from price. Whether a given chart does is the question behind bid/ask footprints vs tick-direction data.

A concrete example. NQ is at 21,301.25. At the 21,301.50 ask there are 185 contracts waiting: passive sellers ready to sell to anyone who wants to buy at that price.

An aggressive buyer arrives needing 300 contracts now and takes the 185 at 21,301.50. That is not enough, so the buyer moves up to 21,301.75 and takes the remaining 115. The order is filled and price settles there.

1 · Resting at the ask 21,301.75 21,301.50 185 21,301.25 185 contracts waiting at 21,301.50. 2 · Sweep 21,301.75 21,301.50 185 21,301.25 The aggressor takes all 185. 115 still needed. 3 · Up one tick 21,301.75 115 21,301.50 185 21,301.25 115 taken at 21,301.75. Price settles there. resting liquidity liquidity consumed price
Schematic of a liquidity sweep on NQ in three stages: resting, consumed, one tick higher.

The record is immediate: 185 contracts at the ask at 21,301.50 and 115 at the ask at 21,301.75, both in the right-hand column. Meanwhile, at other levels, aggressive sellers are executing against passive buyers, and that fills the left-hand column.

When the candle closes, the footprint holds the full record of what happened inside it: which levels saw buying, which saw selling pressure, where price resisted despite the volume and where it moved without friction. All of it is transactions that crossed, with no interpretation in between.

The diagonal comparison and the horizontal one

The most widespread misreading mixes two comparisons that look alike and answer different questions.

To find out who dominated a level, the intuitive move is to compare the two numbers on its row. That comparison gives the level's delta. It does not tell you who won the cross, and the reason lies in how the spread works.

The bid and the ask of the same level never trade at the same moment. The bid at 21,301.50 can only execute once the ask has already moved to 21,301.75, which means price has already risen a tick. The two numbers on one row belong to different scenes.

Scene 1 spread 21,301.25 × 21,301.50 21,301.75 21,301.50 180 bought 21,301.25 310 sold Scene 2 spread 21,301.50 × 21,301.75 21,301.75 210 bought 21,301.50 40 sold 21,301.25 The candle once it closes Bid Ask 21,301.75 — 210 scene 2 21,301.50 40 scene 2 180 scene 1 21,301.25 310 scene 1 — Row 21,301.50: delta +140 (180 against 40) Scene 1 cross: sellers 1.7:1 · scene 2 cross: buyers 5.25:1 The two numbers in one row come from different scenes. The two from one scene sit on a diagonal in the footprint.
Schematic of two successive scenes at the NQ spread and the footprint row that brings them together. Values are illustrative.

In the schematic, the 21,301.50 row shows 180 at the ask and 40 at the bid. The 180 were bought in the first scene, with the spread at 21,301.25 × 21,301.50. The 40 were sold in the second, one tick higher. Read across the row, that is 4.5:1 and a delta of +140. As the level's delta the figure is right, and read as a verdict on the cross it would suggest clear buying control.

Who won the cross is a diagonal comparison: the ask at one level set against the bid at the level directly beneath it. Those are the two aggressors acting at the same moment, on either side of the spread. In the first scene that means the 180 bought at 21,301.50 against the 310 sold at 21,301.25: 1.7:1 to the sellers. The buyers lost that cross even though the level's delta was positive.

That 1.7:1 falls short of the 3:1 used as a common reference, which is also the book's, so neither side stands out. The buyers were still outmatched. One level up, in the second scene, there is something: 210 bought at 21,301.75 against 40 sold at 21,301.50 gives 5.25:1 to the buyers. That is an imbalance. Buyers lifted offers with urgency and aggressive sellers barely showed up.

This is what a footprint adds to a price chart, provided you know what you are comparing. Why the 3:1 threshold is a setting rather than a feature of the market is covered on the page about footprint imbalances.

What a footprint does not tell you

Three limits need to be clear before you rely on the tool.

It shows executions only. A footprint records trades that crossed. It does not show limit orders still waiting in the book, and all the passive liquidity that never executed is invisible in it. The limit is structural and applies to every chart; the page on what a footprint chart cannot show covers it in full.

It records the immediate past. Every candle that closes is history. A footprint can confirm precisely that there was real absorption at a level two minutes ago. It cannot tell you what will happen in the next twenty.

The context is outside the candle. In the middle of a high-volume zone, with the market rotating for two hours, a 6:1 imbalance is the ordinary noise of a market in balance. At the edge of a value area, after a pullback on falling volume, the same 6:1 may matter, and nothing inside the candle says which case you are in.