12/18/23, 4:12 PM [015] FP Handbook I

[015] FP Handbook I
The Footprint is a versatile tool for
viewing Orderflow Displays : Time /
Volume / Price / Orderflow Receipts of
what actually happened Can be used in
all markets Can be used at any
timeframe Orderflow is the Heart of the
Market.

By Set

Dec 17, 2023 06:35 PM · 4 min. read ·

View original

The Footprint is a versatile tool for viewing

Orderflow

1. Displays : Time / Volume / Price /

Orderflow

2. Receipts of what actually happened

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3. Can be used in all markets

4. Can be used at any timeframe

Orderflow is the Heart of the Market. It is the

purest form of trade.

When a candle ticks up and down, it is because

of an interaction that happened between buyers
and sellers. These interactions are printed on a
Footprint Chart. When a market order is made,
the receipts are displayed here.

**Fundamental : Difference between Limit

Order vs Market Order

I’ve designed this Chart to represent :

NQ : Tick Compression : 1.00

Time Based Chart : 5 Minutes

Bar Close : Candlestick Outline

Additional Columns : None

Calculated Values : Volume / Cumulative

Delta

Colouring Method : Horizontal Difference

Colouring Method : Darker when [%]

threshold met

Charting Software : Sierra Charts

Reference 01

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To read a Footprint

1. Define Column : In this example, it is

defined by 5 minutes of time.

1. Common Definitions : Time, # of

Trades, Reversal

1. When 5 minutes of time have

passed, a new column will be
formed

2. The exchange occurs diagonally.

1. Four (4) contracts were sold into the

low 16780,

2. Four (4) contracts were bot into 16781.

3. Thirteen (13) contracts were sold into

16781,

4. Twenty Seven (27) contracts were bot

into 16782
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Referencing how an extreme is formed is key to

understanding an auction.

This low of the day is a [Finished Auction]. In

the realm of FP, this is defined by the taper in
volume. Traditionally the high/low of a column is
finished with 0x## to the upside, and ##x0 to
the downside.

Based on the activity at the low, the Market is

telling us that an active bid had entered;
Preventing the Market from doing business
lower.

Reference 02

My system begins by referencing the first Five

(5) Minutes of trade. The first True Market

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Generated Information (imo) comes from the

Theory of Opening Range.

**Personally I haven’t looked into it. However,

my own understandings of Markets have
enough similarities that I would say that’s my
best guess at what is closest and existing.
There is no magic. Simply putting together
clues Participants leave behind.

5M High // 5M Low : How does the Market

interact from Here.

Common Sense == Market Sense

1. The Highs had more activity than the Low

2. Active seller is able to push price back to

the Open, but fails to revisit the Low

3. Failing to do business into the taper further

supports the idea of a [Finished Auction]

Conclusion : Sellers have entered the market

They reverse Good Bid and revisit the Open.

They must now successfully initiate below NQ
16780 : Low of Day (also pivot btw), else all
initiated shorts are now offside NQ 16818 : High
of Day. Activity into the Highs and beyond will
force a reaction from short term participants,
possibly squeezing the market Higher if no
response from larger Seller.

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16780 vs 16815 : Edge to Buyers

1. Existing Pivot

2. Buy Tail

3. Activity Higher

Reading the Footprint Diagonally, let us review

what happened in the next Column.

The caveat, is now we have references by

(looking left) at what recently happened.

**Fundamental : The exercise of [LL] can cross

all timeframes.

1. Opens at the low, sellers get ran over by

the initiative buyer

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2. Note the double prints of darker shades in

column one, when revisits in column two
[5x25]

1. The bid from the column earlier is still

active

2. This continues all the way to the Highs

as more aggressive buy orders hit the
High

3. Extends the High of Day

Reference 03

To read a Footprint

3. Understand the Calculated Values

1. Total Volume / Delta / Cum Delta /

Speed

This table summarizes the activity that occurred

in the column above

Volume : Total number of contracts traded in the

5 minute column
Delta : AskVol - BidVol : Difference of selling
and buying in the 5 minute column
Cumulative Delta : AskVol - BidVol : Rolling
amount over the entire session

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Speed : How quickly the Market is trading in the

5 minute column

One of my favourite exercises is to look at the

Calculated Values and see if there’s a
relationship between Price and what is actually
being printed.

Notice the sea of buying in this image. I would

expect from 9:30 → 11:30, Price should be
going up (it was).

This has been Chapter One of a Multi-Chapter

release.

The goal of these should be to equip future

orderflow traders with the ability to read a
Footprint. This release covers the basics for
anyone looking to take their first step into FP
Orderflow

You should understand :

1. How a column is made

2. What the prints within a column mean

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3. How calculated values play a part into

intraday thoughts

4. What the different shades of red / blue

mean

From here, the difficulty only goes up.

Leave comments below if you have some

direction.
Basic → Basic+ → Intermediate I/II/III is my
expected pace.

Reference 04 : Extra Material

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This is a snippet from the same session,

second half.

The market attempted to initiate below our

Pivot 16780.
What do you see happening?

For educational purposes only (as always) : I am

journaling the following :

Ended up getting a Long against this handle,

which resulted in acquiring levered long as we
thicken the structure here up. 16780 // 16830
adds → 16860 EOD

Reference 05 : Where these tools can go

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