FootPrint Script by RoughTrader | Strategies and Methods

Foreword:

The Footprint is enjoying growing popularity, but is often misinterpreted and misrepresented. This
eBook is intended to change this and be the first eBook to provide a well-founded approach to the
Footprint, as well as the correct way of looking at and approaching it. I hope you enjoy reading this
book and I am always available for questions via my website www.footprint-trading.com .

Table of contents:

1) What is the Footprint and what does it show?

2) What conclusions can be drawn from it?

3) Context from both chapters

4) Delta and Delta Divergences

5) Stop Runs - High volume per second

6) Key Points / Points of Interest

7) Strategies

8) Conclusion

Chapter 1 - What is the Footprint?

The Footprint is an invention of the company MarketDelta™, the idea behind it was to "save" the so-
called "recent orders" and make them visible for the later session. The display can be different,
depending on the setting. The minute-based setting is very common in Germany, but in my opinion it
is not up to date. How do I come to this conclusion? Quite simply, the Footprint saves the recent
orders from the Orderbook (DOM, Price Ladder, Global Orderbook - all the same) and displays them.
The display of recent orders is therefore time-independent! Why then should Footprint Bars be set to
minutes? So it is completely illogical to do this! In the following I give two pictorial examples of the
origin and a comparison between minute representation and range.

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The upper picture shows the S&P500 Future Chart in a 5 minute display, so each candle has a
duration of 5 minutes until a new candle appears. It looks very confusing at first glance. The lower
picture shows the same market, but with a setting of "8 Range", i.e. after the 9th price a new bar is
formed. Please pay attention to the clearly visible differences! The structure of the market is
clearer!

As you can see on the picture, the upward movement is clearly visible. The market forms classically
higher highs and higher lows! So for now it is an unbroken trend for Long!

This example shows the advantage over the representation of a bar with minutes, the structure
and/or the candle size is always the same. The focus is therefore not on the size of the bar, but on
the traded contracts. The next example shows the development of the Footprint Bar compared to
the Orderbook:

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The columns to the left and right of the price show the recent orders for the entire day, which at first
glance are not easy to read. This type of trading requires enormous experience and is not easy to
learn. But it is important to understand that the order book is the origin of every price movement in
the chart, no candle is formed because a moving average says or indicates it. The orderbook is the
representation of the auction that happens and takes place daily in the market. The lower picture

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shows the section of the footprint and shows the comparison with the DOM
impressively:

Here it is quite possible to recognize patterns in the market, the high and low points of the market
are visible. The setting in this picture is also the 8 range chart, a new price is only formed when the
9th price of the range bar is finished. If you trade the footprint, it is always advisable to take a look at
the orderbook, especially in this example it is very advantageous, because you have seen how the
distribution - recognizable between 2873.75 - 2877.50 was rejected. So the price was no longer
accepted here and had to look for new buyers, this happened further down with lower prices. It is
important to understand that market participants never buy at the high for long, they are usually
already much lower at lower prices in position so that the maximum profit can be realized. But
"reading" these big market players is very difficult and you never understand exactly how they are
positioned - that's not our job either! It is an attempt to name a stranger so that the trader has a
safer feeling, but that is a deceptive illusion! No institutional market participant will send a postcard
when entering and/or exiting a position!

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Chapter 2 - What conclusions can be drawn from this?

The conclusions drawn from the graphically stored recent orders are manifold, but certainly of great
advantage. It is possible to create a very precise analysis, since it is possible for us to see where and
at what time how much was dealt with. The only thing that ultimately counts is, roughly speaking,
the following: "Who buys when and how much? The normal candle chart is not able to provide this
representation. We have no insight into the contracts per price or other internal market processes. It
is therefore a clear strategic disadvantage to rely on a candle chart! The experienced traders who
have been trading the "Price Action" for years have such a trained eye that they can see from the
candle where an absorption or an exhaustion took place, whereas the inexperienced trader is hardly
in a position to do so, because he always relies on indicators that ultimately only show the past. But
it is important not to fall into a "left to right syndrome"! I mean too long and too intensive research!
It is important to look at the past, because we will never know the future, but looking at candle
patterns or formations from recent years will not bring any advantage in the real market and in live
operation. Unfortunately, humans are very visually structured and thus seek security in the
unknown. Please believe me, it makes more sense to look at the Footprint and the Orderbook one
hour per day than to study 5 hours of candle formations in the dead chart!

Chapter 3 - Context from both chapters

The context from chapters 1 and 2 is very simple and does not take long. I formulate it very clearly
and unambiguously without long excesses. Please learn to understand the price and the reaction,
otherwise you will have enormous problems executing even a single positive trade! Do not rely on
indicators or software that promises you a system that professionals use! A chart that looks like a
"blinking Christmas tree" is a nice PR gag, but will only bring two groups of money: the software
developer and the one who sells you this great system! The only thing that will lead you to lasting
success is Screentime and study the movement of the price. The other "great tools" just distract you
and you will give up at some point, unnerved, although you could probably have had a lasting success
with simple means. Please don't misunderstand me, trading is not easy! But the biggest hurdle is you
yourself and not the market itself. You have to understand the reaction of the price and this is best
done by reading this eBook several times and using it daily. I can't promise you to become a
successful trader, nobody can do that beforehand. But this eBook will help you, because it comes
from the practice and from many thousands of hours of observation and experience, furthermore
from many hours of private mentoring with my students, which ALL have gone this way, until the
success has adjusted.

Footprint Script by RoughTrader www.footprint-trading.com All rights reserved 2019©

I am currently trying to acquire the rights to the image to use it permanently for the script,
until then please go to the website and view the image. The caricature can also be found
under the keyword "buy sell caricatur" in every search engine, published among others in
the Economist. The artist is called Kali Cartoons, it should be very easy to find.

The upper caricature illustrates the daily problem of trading: When the herd instinct begins and the
trend has formed, it is usually too late. It's an illusion to believe that a breakout is permanent, long or
short. Please have a look at this picture and think about your own trading for a moment.

Chapter 4 - Delta and Delta Divergences

The Delta is unfortunately very often misinterpreted, just like the Footprint itself. The general
opinion of the delta is based on "market orders", which would be shown here as a number or candle.
However, it is exactly the same as with the Footprint that all orders that are executed on the Bid or
the Ask are included in the calculation! In plain language this means that the limit orders executed on
the bid or ask are also included in the calculation, but they do not move the price up or down a single
tick as described above! The delta is a very simple and not really difficult calculation, everybody with
normal education can calculate it in his head. The calculation is very simple: ALL contracts on the ask
minus ALL contracts on the bid per price. The negative delta on the bid is therefore, if you look only
at the limit side, a passive buy and the positive delta on the ask is, if you look only at the limit side, a
sell. The following picture makes this circumstance very clear:

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In the upper picture you see a chart of the S&P500 futures, clearly visible are the high negative delta
bars of the profile. The market has seen these imbalance zones as support, as a large number of
contracts were apparently executed with an overhang on the bid. It is unlikely that these are market
sell orders, as otherwise the price would have gone lower. As can be seen here, the limit on the bid
side was passively served and thus bought. If you see these zones in a profile that is set to Delta,
please always note the reaction of the price. These imbalances are a natural zone of the market
formed by large participants, who often do not intend the price to go significantly lower. These zones
are often used as re-purchase zones so that the average price is lower and the profit is higher at the
end.

The same example, based on the Ask with a passive sale, shows the following graph:

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In this example you see the same as in the previous picture, only on the Ask page. The big imbalances
on the Ask page are near or very often near the day high or an old high. The same is true for the bid
on the bottom. In this context, please remember a very good saying: "A buyer needs a seller to go
long and a seller needs a buyer to go short!

This simple saying reflects the fulfilment of the actual limit and should NEVER be underestimated.

Delta Divergences

The delta can form a divergence, resulting in an unequal distribution between bid and ask. To the
best of my knowledge, it is very little known in Germany and is generally referred to as a "warning
signal", which in very simple terms merely reflects the trader's ignorance. Delta divergence occurs
when buying or selling against a limit stops and the auction is over. I would like to try to list in order
how the delta divergence occurs.

We take a fictitious price of 3000, buyers a tick below this price at 2999.75 try to lift the limit on the
Ask side at 3000 with aggressive market orders (buy market). There are 800 contracts executed in the
footprint at 3000 at this time, but the limit on the Ask side at 3000 still has 2100 contracts. Buyers at
2999.75 now have no more contracts to buy and stop spontaneously. So the price at 3000 cannot be
overcome and the buyers immediately switch to sell (short): The price falls like a stone. The bar
closes negative at this moment but with the increased contracts on the Ask at 3000 the delta is
indicated as positive. This results in a so-called "delta price divergence" for a short, since the buyers
are trapped and no longer have enough strength to buy the price up. The whole thing is called
"trapped buyers". The same situation also happens on the bid side and it would then be "trapped
sellers". But the principle is also the same. Below you can see an example of a delta price divergence
and the further price development:

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The red background is a delta divergence for trapped buyers and the blue background for trapped
sellers. It is a further aid but also unfortunately no "Holy Grail", especially in collection zones it
happens very often that every bar has a delta divergence and thus the meaningfulness goes towards
zero. The divergences, on the other hand, usually work very well at striking points such as VWAP,
daily high, daily low and the previous day's highs and lows. I use as software SierraChart™, here you
can make Delta divergences visible with a simple Excel formula and show them graphically as a
highlight. If the software you use does not have this function, you should definitely train your eye to
recognize these divergences at the mentioned points! The divergences are not seldom the end of a
movement and you would be annoyed if you overlook this fact and the profit thereby is smaller!

Chapter 5 - Stop Runs - High volume per second

A stop run occurs several times a day and offers the trader a very good reversal opportunity if he
recognizes it correctly. It is almost impossible to trade the stop run in motion, as the order is either
executed with a slippage or the limit you place is simply not served. These stop runs all have one
thing in common: they occur violently and quickly, very often at old highs and lows in the market!

The volume per second will increase by leaps and bounds and the footprint will provide the following
picture as in the following example:

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Please pay attention to the lower box and take a close look at the volume per second, it continues to
rise like a wave and then decreases again at the low point. The arrows in the current movement
show price points that did not have a traded Ask price! This does not mean that there was no Ask
Limit in the orderbook - technically this is not possible, as every price is quoted with a minimum
quote and this quote is always "1" in the USA markets! This means that 1 contract per price MUST be
in the book; market makers are responsible for this. There are unprofessional explanations which say
that there was no limit there - but this contradicts the rules of the stock exchange. If one imagines
the example from chapter 4 with the delta divergence, something similar happened here, but in the
direction of the stop run - there was simply an enormous selling with large numbers, so that the price
could not simply be traded on the Ask! The participant probably got a slippage, but the overriding
interest for a lower price prevailed. As you could see later, the complete stop run was countered and
the price is again at the exit of the movement. The reason for this is easy to explain, but remains
hidden from most people, because they simply do not look closely or do not deal with the subject as
it should be - namely as a profession and not as a hobby! The rules of the CME say indirectly that
every participant must have the possibility to get an execution. Since no contract was executed on
the Ask, the price returns to the Ask to execute the remaining contracts. It is nothing more than a
"rebalance" because the market was no longer in balance before. The increased volume per second
can also occur at News (please do not trade) and at Swing Highs and Lows. The intention is no other
than to get the stops of the retail traders, who unfortunately often put the stops according to market
technique or chart technique and are therefore an easy victim for professionals. Please familiarize
yourself with the charting software and check if the software offers the function to display "high
volume per second". It would be a waste of points if the software did not provide this simple
function. In the course of the day there are several nested high and low points, which often have no
great significance with regard to the stop runs, the so-called "OTF traders" (other time frame) usually

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only pay attention to the swing high and low of the higher levels, usually from 30 minutes upwards.
In SierraChart and many other chart programs there is a simple but effective solution to display these
automatically: The so-called "ZigZag indicator". This indicator does nothing other than display the
high and low points in the market according to a predefined formula. The software SierraChart offers
many possibilities and I would like to show an example in the 30 minutes chart (for the
overview):

Please turn your attention to the 15.8. and look at the low that was broken on the 14.8. The lines are
automatically generated and will remain until the price has traded them. The following picture shows
the beginning of the stop run in the footprint in the 8R display - please look at the volume per second
in the box!

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The Stop Run starts here due to the above mentioned OTF traders. They wanted lower prices for
reasons that only they themselves know. The following picture shows the further course with a
balancing of the stop run with the following counter of the complete movement:

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In the upper picture you see the prices with the already mentioned print, with the 0 on the Ask; here
you clearly see that enormous pressure has occurred for the short direction. Please also note the
delta in the box and see how it slowly decreases with further falling prices! This is an indication that
a) the stop run is about to end and b) the sellers who are serving the bid market in this case are
slowly losing "power". I really hope that you have been able to pull something out of this chapter for
your own trading - it is extremely important that you understand the market as it is. There is no
added value in the long run if you fall into old patterns and draw fictitious trend lines that have no
meaning at the end. I recommend that you rely on information provided by the market and not on
some technique that worked super 20 years ago.

The last picture of this chapter shows the further price development after the Stop Run. It should be
clear that this type of trading is not only suitable for short-term traders, but also for intraday swing
traders. It only takes some time to adapt this method and perspective! If you review the time you
have invested in trading so far, you will surely be able to spend this time, because here you have
something that works
sustainably!

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Chapter 6 - Key Points / Points of Interest

The key points or key points of the market are seen very differently by traders, but they often have
no well-founded market opinion. I personally only trade the US index markets S&P500 and
NASDAQ100. These markets have two advantages:

1) They correlate through the existing stocks

2) You have almost the same Key Points

So what is a key point of the market now? It's easier than you think! The key points are yesterday's
high and yesterday's low, and for the US index markets the overnight high (ONH) and overnight low
(ONL), as well as the prior settlement. You will probably not know the terms ONH and ONL as well as
p-settle, so I will explain these points in detail:

The ONH is the high point of the session before 15:30, calculated from the start of the electronic
session. The ONH is important, because there are often stops and this is the first possibility and
chance after opening to place a reverse trade. The same applies to the ONL. It makes sense to either
have these points automatically drawn into the chart or to insert them manually into the chart. If the
ONL or ONH was not taken out in the main session at 15:30 (09:30 New York Time), the day either
had a large range in the pre-session, or the traders have no intention today for higher or lower
prices, but this occurs extremely rarely and is just before and on US holidays the case.

The prior settlement or simply "p-settle" is one of the most important points. The settlement price is
quasi the conclusion of the day of the US - session and is formed between 22:14:30-22:15:00. The
settlement price is formed during this time from the VWAP, so you take in these 30 seconds the
VWAP and the resulting price is the closing price of the day. It is often the case that the price in the
pre-session trades above or below the settlement price and returns there after the US opening at
15:30:00 to symbolically close the gap. The settlement price is of great importance for institutions
that are oriented towards this price in the long term. The small rule for settlement is the following:
Rising settlement prices = long and falling settlement prices = short . It serves as orientation for
intraday trading and should not be lost sight of, because orientation is one of the most important
things, otherwise you will lose yourself in the chart very quickly. If the charting software you are
using does not automatically display the settlement price, you can also go to the CME Group website
and view the settlement price in the "Contract Specifications" under "Volume".

You will already notice that trading does not have to consist of 100 lines, because it is sufficient to
simply orient yourself to those traders who move the price with the derivatives and options. No
indicator will be able to display these movements and intentions, no matter how much you want
them to! It's just good advice, learn to read the market and listen to it!

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Chapter 7 - Strategies

If, as I hope, you have read this book from the beginning to this chapter, then one thing will surely
have become clear to you: there is really no strategy according to the principle "if this then that" -
unfortunately this is also the case in practice! You have to be aware that a strategy is always based
on patterns of the past, that can be sound or not. I would like to give you some food for thought here
and leave this in the air just like that. It is up to you how you deal with it.

Who would have ever thought that only a single tweet of the acting US President Donald Trump
could have more weight than the "holy" fundamental news or the assessments of the analysts?

If you read the press and media carefully, you will quickly understand what I mean. The markets are
changing their dress "faster than the bird in the moult". I have heard very often that the S&P500 is no
longer tradable because it is simply too fast. That's because the trader hasn't learned to reflexively
adjust to the market. The internal market events are not taken into account because they are simply
not known, whether out of ignorance or ignorance - the former probably affecting the majority. I
strongly warn against following a guru or a "great" system. There are no gurus in this business, the
only difference is that there are people who understand how the market moves and people who do
not. The retail market is flooded with so-called trainings and everyone is "outdoing" each other, but
in the end all participants are very dissatisfied, because they don't work in the long run. It's hard to
admit your own mistakes, but please don't lie to yourself!

After this important prologue I would like to come to the strategies I trade every day, but first the
procedure for my start into the day:

1) The overview on a higher time unit - starting from M30 (I use M30 )

2) Orientation in Footprint 8R according to striking imbalances (delta or stop runs)

3) Drawing of these points

4) Wait for these points to be started and then show the following reactions

Strategy 1 - Trend Continuation

The idea behind this strategy is that a trend continues. This is not always easy, because often in the
pre-session points for orientation are missing. I recommend that you only trade this setup if you have
prominent points in front of you and therefore a clear goal. If this is not the case, please keep your
hands off it and do not trade it as "tempting" as a supposed trend might be!

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This picture shows an unaccepted price on the first arrow, recognizable by the 5|0. The auction is
over here for the short, because nobody wanted to sell into the bid anymore and therefore no
interaction took place. The VWAP was the orientation here. The price leaves the VWAP and the bar
with the unaccepted price, this bar is our reference bar, on which we orientate ourselves. The second
arrow on the top and bottom of the candle shows an unfinished auction, recognizable by the fact
that orders were traded on both numbers. The third arrow shows a finished auction at the low of the
candle, but the VPOC of the blue candle is lower than the one in the candle with the second arrow!
Please do not act! The VPOCs of the candle are an important indication. Rising VPOCs signal that the
buyers are in control, falling VPOCs signal that the sellers have the upper hand. The last arrow shows
a bar with a closed auction at the low and a higher VPOC - so the range has been left. The entry
should take place in the next bar when the candle touches or takes out the VPOC. It makes sense to
go "market long" here, since a limit in the current movement is often not filtered and you therefore
only "watch". The stop in this example is very difficult to set, a recommendation from me would be
below the bar with the fourth arrow. The Take Profit, as described before, if there is a prominent
spot in front of you - otherwise not!

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Strategy 2 - Reversal

Personally, I mainly deal in reversals because I know two factors here, namely the stop and the profit.
Reverse trading is not easy on trend days and you will probably have the biggest problems with it.
Give yourself time and wait for the opportunity. If you didn't have a trade or weren't sure, you
haven't lost anything, which is
positive.

In this picture you see a reversal, which is very valid and occurs several times a day. The first arrow
shows an unfinished auction at the top of the bar, recognizable by Bid and Ask at the top. The retest
shows a completed auction in the second arrow! This is recognizable by the 0|148 and also the
VWAP is lower, which means that the sellers are in control! The entry should take place as early as
possible, preferably after the cluster on the bid with a market order. The stop is to be set above the
completed auction, it makes no sense to take a larger stop here. The take profit is set here on the
blue line, the VWAP of the day. Please familiarize yourself with the VWAP, it is not a pointless thing,
it serves the executing trader as an average of the day. In my opinion it is disgraceful not to focus on
the VWAP or to ignore it!

I hope you are not disappointed that you did not get a fund of 10 strategies, but I assure you this: The
more strategies you have, the harder it will be to decide to place a trade! It doesn't make sense to
have multiple strategies or setups intraday because the market is constantly changing. I can only
mention again that you have to listen to the market! Determine the possible trend based on the large

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chart (higher timeframe - M30) or pay attention to the swing high and low points and wait for the
chance - it will come! Never fall into actionism, the price is simply too high! You must learn to trade
the market as it is. Note the DOM and look at the speed of interaction. Learn to judge whether the
market is fast or slow. The Footprint is one of the best aids, but ultimately someone else decides if
the course does what you imagined it would do. If you're not sure if the trade is right or wrong, leave
it! Watch the live market and not the dead chart (candlestick, OHLC bar, etc.)!

Chapter 8 - Conclusion

I would like to keep this conclusion very short, because I think I have already said enough about my
views in this book. It is very important to me that this book will hopefully give you a different view of
the markets. Don't let it unsettle you, go this way with all ups and downs! Trading is not a profession
that you learn in 6 months, it is rather a process that sometimes takes years. It will not help you any
indicator of the world, no system and no 5-fold mentoring.

My only thanks go to my wife, who always stood by my side and still stands today, and to two
traders, whom I greatly appreciate and who have accompanied me on my path. Another big thank
you goes to the participants of my mentoring, who showed me new perspectives and enabled me to
take a different look at certain things. I am happy that so many of them have already made it and
that many will still make it.

Thank you

Peter Becker

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