Looking inside the candle
A normal candlestick summarizes open, high, low and close. A footprint adds information about executed volume at individual price levels within that bar.
Bid × ask footprint
A common footprint format displays volume associated with aggressive selling at bids and aggressive buying at asks for each price level.
Delta inside a footprint
Platforms may calculate Delta for each price level and for the entire candle, making local imbalances in aggressive execution easier to inspect.
Imbalances and absorption
Traders may study unusually one-sided execution, repeated imbalances or heavy aggressive flow that fails to move price.
These observations require context and exact platform definitions.
Footprint limitations
Footprint quality depends on granular trade data. Different venues, aggregation rules and aggressor classifications can produce different charts.
What data a footprint requires
A footprint chart needs granular executed-trade data that can be grouped by price and classified according to the platform's methodology. Common displays separate volume associated with trades at the bid and ask or show resulting delta.
Because the visualization depends on the feed and aggregation rules, footprints from different platforms may not be numerically identical.
What traders mean by absorption
In order-flow analysis, absorption generally describes substantial aggressive trading meeting enough opposing liquidity that price makes comparatively limited progress.
The chart can show the observed relationship between executions and price movement, but assigning intent to a specific participant from that pattern alone goes beyond what the trade data directly proves.
Price and time granularity matter
Tick size, price grouping, candle interval and minimum imbalance thresholds can materially change what appears on a footprint.
For systematic research, those settings need to remain fixed and the signal must be defined precisely enough to reproduce without hindsight.
Large delta, imbalance or apparent absorption can occur without the subsequent price move a trader expects.
Key takeaways
- Footprints expose executed-volume detail inside candles.
- Bid/ask footprints commonly separate aggressive selling and buying.
- They can visualize Delta and execution imbalances.
- Interpretation depends heavily on data quality and venue.
Sources & further reading
This lesson is educational material. Market structure, exchange rules, fees, margin requirements and derivatives mechanics can differ by venue and can change over time. Verify current rules with the venue you use.