Footprint Orderflow Indicator in NinjaTrader
The Footprint Orderflow indicator is one of the most advanced visual tools available on the NinjaTrader platform, providing tick-by-tick microstructure analysis of the market.
The Footprint Orderflow indicator is one of the most advanced visual tools available on the NinjaTrader platform, providing tick-by-tick microstructure analysis of the market.
Footprint Orderflow at a Glance
In the Footprint Orderflow indicator, each colored block represents a “Footprint candle” containing volume information for each price level within the candle.
This data includes:
- Bid Volume: Volume of Sell orders executed at the Bid price;
- Ask Volume: Volume of Buy orders executed at the Ask price;
- Delta: The difference between Aggressive Buy and Aggressive Sell volume at the same price level;
- Cumulative Delta: The accumulation of volume differences across the entire bar to evaluate order flow direction;
- Imbalance: Volume asymmetry between the two sides of the market at a specific price level, highlighted with distinct colors.
Note: At the bottom of the chart, the analytical panel includes Volume, ATS, Cumulative Delta, Delta, Max Delta, and Min Delta. These values allow traders to evaluate the intensity of order flow, average trade size, and momentum rotation points.
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