Footprint charts: reading volume at each price inside a candle

What a footprint chart shows

A footprint chart takes a single candle and breaks it into a stack of price rows, one row for each price level the candle traded through. Each row carries two numbers side by side: the volume that traded on the ask — aggressive, market-order buys lifting the offer — and the volume that traded on the bid — aggressive, market-order sells hitting the bid. Instead of one opaque candle body, you see exactly how much size changed hands at every price and which side was the aggressor.

The same chart goes by several names. Cluster chart, bid/ask footprint, and numbers bars all refer to the same idea: a bar whose interior is filled with the traded volume broken out by price and by aggressor side. The layout varies — some platforms stack bid and ask in two columns, others show a single delta number per row — but the underlying data is identical.

A conventional candlestick collapses all of that internal structure into four values plus two wicks: open, high, low and close. It tells you the range and the net direction, but nothing about where inside that range the volume actually traded or who was lifting versus hitting. A footprint keeps the full distribution of traded volume by price, which is exactly the information a candle throws away.

Delta, imbalance and absorption

Delta is the core footprint statistic. At each price row, delta is the aggressive buy volume minus the aggressive sell volume — positive when buyers were lifting the offer harder, negative when sellers were hitting the bid harder. The bar's total delta is simply the sum of its per-price rows, and it tells you whether the candle was net bought or net sold by aggressors, regardless of where price actually closed.

Diagonal imbalance compares the ask volume at one price against the bid volume at the price directly below it — the two sides a market order actually chooses between. When one side is roughly three times the other or more, the row is flagged as imbalanced: a sign of one-sided aggression stacking up. Runs of imbalances in the same direction mark where aggressive flow was persistently pushing.

Absorption is the pattern that makes footprints worth reading. A large amount of aggressive volume hits a price, but price does not move away from it — resting limit orders are soaking up every market order without giving ground. That signals a passive participant defending the level, and it often precedes a stall or a reversal once the aggressors exhaust themselves. MarketTrace's classifier detects these absorbed and pulled trajectories directly on the chart.

Built from the trade tape

A footprint is not a separate data feed — it is reconstructed trade by trade from time-and-sales, the raw trade tape. Every executed trade the exchange prints carries three things a footprint needs: the price it filled at, the size, and an aggressor side that says whether the trade executed against the resting bid or the resting ask.

That aggressor side comes from the exchange's maker/taker flag. A taker buy lifting the ask counts as ask-side (aggressive buy) volume; a taker sell hitting the bid counts as bid-side (aggressive sell) volume. Aggregating every trade into a grid of (price × side) cells over the candle's time window is exactly what produces the footprint you see.

MarketTrace builds these cells from the live per-venue trade tape, one grid per candle, so the volume and delta you read reflect the actual prints from the exchange rather than an inferred or modelled approximation.

Footprint vs candlesticks and volume profile

It helps to place the footprint against the two charts it is most often confused with. A candlestick shows only open, high, low and close — the range and net move of each period, with no internal volume structure at all. It is the most compressed of the three.

A volume profile also plots volume by price, which makes it look related, but it aggregates that volume over a whole window — a session or a full day — into one horizontal histogram, and it usually does not split buying from selling. It answers 'where did volume concentrate over this window,' not 'who was aggressive at this price in this candle.'

A footprint is both per-candle and split by aggressor side, which makes it the most granular of the three. A candlestick gives you direction, a volume profile gives you where volume rests over a window, and the footprint gives you the buy-versus-sell breakdown at every price inside each individual bar.

Related

• Order flow
• Cumulative volume delta (CVD)
• Order book imbalance
• Volume profile