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Volume footprint

The volume that traded at every price inside every bar, split into selling and buying, with the levels where one side had to pay up marked.

GOLDM·MCX·5m live
READING IT

Left is selling, right is buying

Each price level is one row. The figure on the left is the volume that traded into the bid; the figure on the right traded into the offer.

READING IT

The shade is the size

Each half is shaded against the biggest single side anywhere in that bar, so the brightest cell in a column is the one that mattered most in it.

READING IT

A ring means an imbalance

A highlighted half with a coloured ring is a level where one side cleared the other by the ratio you set. The ring's colour is which of the three tiers.

The diagonal

An imbalance compares the pair that actually met.

The selling at a price is compared with the buying at the price above it, because those two traded with one another: to buy at 100 somebody had to be selling into 100 from above. Comparing the two sides of the same price compares two halves of one trade and always comes out even — which is why every platform that documents the rule does it on the diagonal, and why a footprint that does not is marking the wrong level with total confidence.

SettingWhat it doesDefault
Imbalance ratioHow far one side has to clear the other before the level is marked. Three tiers, three colours.1.5 / 3 / 6
Minimum quantityBoth sides have to be worth comparing. Three lots against one is 300% and means nothing.1
Minimum differenceThe gap itself has to be worth marking, not just the ratio.0
Stacked levelsHow many imbalanced rows in a row before the run is drawn as a zone.3
Row sizeBy hand, or taken from the instrument. Kept to the tick, so a 0.05 tick is not rounded into rupees.auto
Value areaThe share of the bar's volume the value area has to hold.70%
What we print that others do not

The side is inferred. We say so, on every bar.

No Indian retail feed carries the side of a trade. It has to be worked out from the order book — a trade at or above the offer is buying, at or below the bid is selling, and anything between the two is left out of both. Measured against real signed data, that rule is right about three quarters of the time, and worse when the market is fast.

There is a second problem nobody mentions. When several trades arrive inside one packet, only the last one carries a price. The rest is real volume with no level to put it at. Fexora counts it as unplaced rather than spreading it around, and prints the share — because volume smeared across a range is an invention, and an invention is what you would then be trading against.

Volume in the bar4,812
Placed at a price 71.4%
Given a side 88.2%
Delta+643
Sideinferred, not counted

An example of the readout. The figures on your chart are your own instrument's, bar by bar.

What this means in practice. The placed share is not a fixed property of an instrument — it moves with how hard that instrument is trading. A quiet minute sends one trade per packet and nearly all of it can be placed; a busy one collapses many trades into a packet and only the last price is sent. A bar that says 20% is telling you the truth about itself.

Open one and look at a real bar.

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