The MarketDelta Blog

NOTE: This material is straight from our guide “Learning to Read the MarketDelta Footprint®. It can be downloaded for free here.

If the meaning of the phrase “order flow” is not clear to you, it should be by the end of this document. Order flow analysis is the missing link for many traders. It refers to how the orders are coming into the market, how they are being filled; whether executing at the offer or on the bid. It is the dual auction at the most micro-level. Assessing order flow in real time can tell the trader how trade is being facilitated in any direction, a key concept in auction market theory. The order flow patterns, as revealed by the Footprint® chart, that we’ll be looking at are NOT traditional price patterns. Rather, these are T&S patterns that you’ve probably never even realized existed. The T&S data simply moves too fast to comprehend, and then in a flash the data has scrolled by, out of site. The Footprint® patterns can be classified into three general categories: intra-Bar patterns, end of Bar patterns, Multi-Bar patterns.

These patterns rarely, if ever, mean anything in and of themselves. This is where the MarketDelta Footprint® diverges radically from traditional price pattern and/or indicator based analysis. No attempt is made to oversimplify or under-simplify. Nor is the Footprint® a red light / green light type “system”. Instead, the insight gleaned from a deep and experienced comprehension of the Footprint®, allows the trader to integrate this data along with current market context and sound market logic. For example,
auction market theory or any other viable analytic philosophy which affords the trader the ability to assign structure and thus meaning to what he/she observes, combined with the Footprint®, will provide decision support of the highest possible quality. The Footprint® is not more or less important than either of the other two elements just mentioned; it is equal.

In general, Market Profile®, support and resistance analysis, trend lines, and other macro-type big picture analysis provides the where to trade. The Footprint excels in showing when to trade because of the way it represents order flow and volume.

After first gaining a basic understanding of what a Footprint® chart is (which presumably you’ve already achieved) the next step is to gain some level of observational awareness. Avoid making preconceived conclusions. Avoid deciding, in advance, what something is going to mean. Instead, begin the process with simply learning how to pick out key elements of Footprint® structure. That’s what this document is all about. Once you have gained some facility with what the various elements of Footprint® structure are, then you can begin coming to conclusions regarding the meaning of the elements in various contexts. Also, you can begin to assemble the elements into patterns. In this way, you’ll start making your own rules, based on what is real, not what some tradition, some book, or some trading guru has told you; which may or may not be valid information. The Footprint® lets you come to your own conclusions, if you learn to see the Footprint® in an unbiased fashion.

Continue reading here.

One of the powerful and popular techniques to using MarketDelta’s unique indicators is to compare the overall activity in the market to just the large lot traders. In this way, you can follow how the “big money” differs in its behavior from everyone else combined.

We’ve received a number of requests lately on how to setup a chart to show this information, specifically with regards to the Footprint Bar Statistics indicator, or FPBS. Before I begin, here is another useful article from last year on how to use the Volume Breakdown indicator to visualize this information also. Click here for the article.

The FPBS indicator analyzes each bar on a chart and reports any of many different desired fields of statistics on this bar, such as the total volume, the total delta, the volume just for the buy side or the sell side, and many other popular pieces of information. To learn more about this indicator, click here.

Unlike the Volume Breakdown indicator, which has its own setting to filter volume, the FPBS filters volume only if the charted instrument, such as the ES (E-mini futures contract), is filtering volume.

Thus, if you want two instances of the FPBS on your chart — one for the total volume, and another for just the large lot traders — you must have two instruments on the chart, even if both instruments are the same symbol. But one of these instruments will be filtered, while the other is not.

Follow these steps to make this happen:

• Right-click on the chart and choose the option to add a new instrument:

• Choose the same instrument you already have charted, with a style of “Footprint” and a Footprint Type of “Invisible”: (do not press OK yet)

Note: There is also a “Style” option for invisible, but that is not what you want for these purposes. Use the settings above, but before you press “OK” to exist this window:

• Switch to the Footprint Data tab and setup your desired Volume Filter. To track large lot trades, you may wish trades of contract size 100 or more, which is > 99: (do not press OK yet)

• Finally, change the setting in the lower left of this window so the new instrument is added to the same pane as the existing instrument. This is optional, but it keeps your chart less cluttered:

• Press “OK” to exit this window. To make sure you have added the new element correctly, double-click on any empty part of the chart’s background to see the element list:

This will show both elements, which should have the same ticker symbol, but one will show the volume filter. You can close this box, as we do not need to again enter the setup for any of these settings.

• Press the “Insert” button on your computer keyboard as a shortcut to add a technical indicator, and select the Footprint Bar Statistics indicator from the list. You will add the select fields you want for the indicator, but the important step is to assign it to the element you wish:

After you choose the fields for the FPBS indicator, choose the first instrument, and press Add, then choose the second instrument and press Add+Close (if you just press “Add” the second time, instead of “Add+Close,” just close the window after adding the second instance of the indicator).

The finished result will show the two different FPBS, with one showing the filtered volume. They appear on the chart in the order they were added. You can then resize the many different panes on your chart by right-clicking the chart and choosing the automatic Size option:

As the French say, “Et Voilà!” :