Footprint chart: how to read it and trade it in futures
A footprint chart opens each bar and shows who bought and who sold at each price. Here's how to read it, three ways to trade it with rules and what the data says.
A footprint chart opens each bar and shows you, price by price, how many contracts were sold hitting the bid and how many were bought lifting the ask. Where a normal candle sums up a minute in four prices, the footprint tells you where the volume was and who had the initiative at each level.
You read it through five things: the two columns at each price (bid x ask), the delta, the bar's POC, the imbalances and what happens at the extremes. With that you can see whether a breakout has buyers behind it, whether a high was made on thin volume or whether a zone is being defended.
What it doesn't do is predict. The footprint describes what already happened inside the bar; the edge, if there is one, comes from using it at levels you had already marked and with a risk plan.
Free tool: if you use NinjaTrader 8, you can download the footprint we built at El Trader Financiado for the community, with no Order Flow+. See the indicator and download it.
What a footprint chart is
Every futures trade has an aggressor: the side that crosses the spread. If someone buys at market, they pay the ask and that trade counts as an aggressive buy. If they sell at market, they hit the bid and it counts as an aggressive sell. The footprint adds up those trades by price inside each bar.
That's why every footprint row has two numbers: on the left what was sold at the bid, on the right what was bought at the ask. An NQ example: "230 x 410" at 29,502.25 means that at that price, during that bar, 230 contracts were sold aggressively and 410 were bought.
The other readings come from those columns:
- Delta: buys minus sells. Per price (410 − 230 = +180) or for the whole bar.
- Bar POC: the price with the most volume inside the bar.
- Imbalance: when one side far outweighs the other on the diagonal.
- Unfinished auction: when the bar's high or low has both buys and sells.
The footprint is one of the order flow tools, alongside the DOM, the tape and cumulative delta. While the volume profile tells you where the whole session traded, the footprint drills into each bar and adds who was pushing.
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How to read a footprint chart step by step
1. Bid x ask: who was aggressive at each price
Start with the two columns. In a healthy up move, the right column (buys at the ask) is usually bigger at most prices in the bar. If price rises but the rows are balanced or sell-heavy, the rally has less initiative behind it.
Focus on the big rows, not the small ones: a "12 x 9" says nothing; a "640 x 1,380" at a level you had already marked does.
2. Bar delta and session cumulative delta
Delta sums up the bar in one number. A bullish bar with negative delta (more aggressive selling than buying) is a bar that rises without buyers pushing it: it usually happens when sellers step back. The session cumulative delta gives you context: if price makes new highs and the cumulative doesn't, the push is fading.
3. The bar's POC
Each bar's POC marks where the most volume traded. In a breakout bar, a POC at the breakout end says a lot of volume accepted the new price. A POC on the opposite side says the volume stayed behind and the breakout happened on little.
4. Diagonal imbalances
An imbalance compares the buying at a price with the selling at the price below (the diagonal), because that's how the book moves: whoever buys at the ask does so one tick above whoever sells at the bid. The most common rule:
| Imbalance | Condition | NQ example |
|---|---|---|
| Buyer | buys at P ≥ 3 × sells at P − 1 tick | 420 at the ask at 29,500.25 vs. 120 at the bid at 29,500.00 |
| Seller | sells at P ≥ 3 × buys at P + 1 tick | 510 at the bid at 29,500.00 vs. 150 at the ask at 29,500.25 |
300% is the threshold on many platforms; others use 150%, with far more imbalances. It also pays to require a minimum contract difference, because 3 vs. 0 meets the ratio and means nothing. Three or more imbalances in a row on the same side form a stacked imbalance, the most used footprint reading.
5. The extremes: finished and unfinished auctions
Look at each bar's high and low. If the high shows "0 x 85" (nobody sold at the bid at that price), the auction was exhausted: buyers got there and found no one willing to keep going. If it shows "40 x 85", both sides were still active and the auction was left unfinished: price often comes back to that level later.
Three ways to trade the footprint with rules
These are methods order flow traders use, not systems with a proven result. Test them in simulation on your instrument and your hours before using them with money.
| Method | Entry | Stop | Target | Filter |
|---|---|---|---|---|
| Stacked imbalance retest | price returns to a zone of 3+ buyer (or seller) imbalances and a bar with delta in your favor prints | 2-4 ticks beyond the zone | the last high (or low) or 2R | only zones born on a breakout of one of your levels (VWAP, yesterday's high, Initial Balance) |
| Exhaustion at the extreme | bar that makes a high with a finished auction ("0 x N"), delta turning against it and no buyer imbalances above | 2 ticks above the high | the bar's POC or the VWAP | only at a level marked in advance and away from news |
| Unfinished auction as a magnet | not an entry: the unfinished auction price is a likely target for a trade you already have | — | the unfinished auction price | if it's a reasonable distance from price (less than 1-2 times the average bar range) |
How much you risk per contract
With a 2-3 point zone plus the buffer, the stacked imbalance retest stop can land between 8 and 15 points on NQ in the regular session, depending on the zone and the day's volatility:
| Contract | Point value | 10-point stop | 15-point stop |
|---|---|---|---|
| NQ | $20 | $200 | $300 |
| MNQ | $2 | $20 | $30 |
| ES (3-4 point stop) | $50 | $150-200 | — |
| MES (3-4 point stop) | $5 | $15-20 | — |
Common footprint mistakes
- Trading every imbalance. An NQ session prints hundreds. Without a level and context, an imbalance is just a row with more volume on one side.
- Reading the footprint without a profile or levels. The footprint is the detail; the map is the volume profile, the VWAP and the session highs and lows.
- Using the same threshold for everything. A 10-contract minimum difference is a lot on NQ (where the typical volume per price and side is around 4 contracts on 1-minute bars) and nothing on ES (about 47). Adjust the filter to your product and timeframe.
- Reading it on bars that are too small. On 1-minute bars in the Asian session there's so little volume that almost any row looks like an imbalance.
- Believing "absorption" is an exact reading. Lots of aggressive volume without price moving can be absorption, or just a level with a lot of liquidity. There's no standard formula.
What to combine it with
- Volume profile: marks the levels (POC, VAH, VAL) where to watch the footprint.
- VWAP trading: the VWAP and its bands give the day's value reference.
- ICT killzones: at the New York open the footprint has more volume and reads better.
- Supply and demand zones: a zone with stacked imbalances at its origin has more to tell.
- In NinjaTrader, the footprint fits with the big trades and the cumulative delta of the same collection.
What the evidence says
Studies on order imbalance, such as Cont, Kukanov and Stoikov (2014), show that imbalance explains very well how price moves in the same interval. That it anticipates the next one, after trading costs, is not proven.
We know of no public studies showing that trading stacked imbalances or unfinished auctions gives an edge on its own. The rules above are widely used readings among order flow traders; treat them as hypotheses you have to test.
How the footprint fits a prop firm
- Daily loss. With a daily loss limit of $1,000-2,000 on a $50,000 account, a 15-point NQ stop ($300) leaves you few chances. On MNQ the same stop is $30 and you can size more precisely.
- Consistency. The footprint invites overtrading. If your firm has a consistency rule, limit your trades to your levels and your hours.
- News. Around CPI, NFP or the Fed the footprint fills with imbalances in seconds. Many prop firms restrict trading around high-impact news; check yours.
- Platform. The footprint needs every trade with its bid and ask. With NinjaTrader and a provider like Rithmic or CQG you have them; check with your firm.
Free NinjaTrader footprint
In NinjaTrader the footprint (Volumetric Bars) is paid, part of Order Flow+. We built a free one at El Trader Financiado for the community: bid x ask by price, imbalances with the minimum difference set automatically for each product, stacked imbalances, unfinished auctions, each bar's POC and a volume and delta summary. It works with the free license, in English and Spanish. See the footprint and download it.
Frequently asked questions
What is a footprint chart in trading?
A chart that shows, inside each bar, how many contracts were sold at the bid and how many were bought at the ask at each price. It's one of the order flow tools.
What is an imbalance on a footprint chart?
A row where one side far outweighs the other on the diagonal: for example, the buys at a price are three times the sells at the price below. Three or more in a row form a stacked imbalance.
What does an unfinished auction mean?
That the bar's high (or low) had both buys and sells: the auction wasn't exhausted at that extreme. Price often comes back to that level later.
Footprint or volume profile?
They complement each other. The volume profile shows where the whole session traded; the footprint shows who was aggressive at each price of each bar. The profile gives the levels; the footprint, what happens when price gets there.
What timeframe is it used on?
On NQ and ES the most common is 1 to 5 minutes, or range or volume bars. On smaller timeframes there's so little volume per price that any row looks like an imbalance.
Do I need Level 2 to see the footprint?
No. The footprint uses trades with their bid and ask (Level 1). Level 2 (the order book) is something else: it's what the DOM shows.
