Footprint chartbook for Sierra Chart

What a footprint chart shows

A footprint chart opens each candle and prints the volume traded at every price inside it, split between the bid and the ask. Volume at the ask comes from buyers who lifted the offer with market orders; volume at the bid comes from sellers who hit the bid. Where a normal candle only shows open, high, low and close, the footprint shows who was aggressive at each level and how much traded there. The full method is in how to read a footprint chart.

Footprint chart software: why Sierra Chart

Most order flow platforms offer a footprint. Sierra Chart builds it from its own tick by tick data with the Numbers Bars study, which gives you control over every column, color and imbalance rule. The trade-off is setup time: Numbers Bars has dozens of inputs, and a readable layout takes hours of trial and error. This chartbook is that layout, already built, so you install it and start reading order flow instead of configuring it.

What is configured in this chartbook

• Visual imbalances at 400%. A price level is highlighted when one side traded at least four times the volume of the side it is compared with. A high ratio flags fewer cells, so the ones that remain stand out. The logic is explained in Sierra Chart diagonal imbalance settings.
• Delta and volume per candle. A table under the bars shows each bar's delta (ask volume minus bid volume) and total volume, so you compare bars without adding up cells.
• Daily VWAP with SD3 and SD4 bands, plus a monthly VWAP, to see where price trades relative to the average traded price.
• Pivot Points, plotted automatically.

Data you need

A footprint needs tick by tick data with bid and ask volume. In Sierra Chart, set Global Settings >> Data/Trade Service Settings >> Intraday Data Storage Time Unit to 1 tick before you load the chartbook: history stored at a coarser unit cannot show a correct bid ask split. Market depth data is not required for this chartbook. If cells come up empty, see footprint missing bid ask volume and footprint tick data requirements.

Who it is for

Day traders and scalpers on futures such as ES, NQ, CL or GC who want to see aggression at each price, spot imbalances and stacked imbalances, and compare delta from one bar to the next. If you also want to see resting liquidity, pair it with the DOM with heatmap chartbook, or get both in chartbook pack no.2.