A footprint chart breaks a bar into price rows. On each row it displays executed volume that the software classified on the two sides, often bid on the left and ask on the right. It is also called a cluster chart or, on some platforms, Numbers Bars.
In plain terms — A candle shows its open, high, low, and close. A footprint opens the candle and shows where trades were recorded inside it.
Anatomy of a row
Under the most common convention, bid volume represents trades classified as seller-initiated; ask volume represents trades classified as buyer-initiated. Column placement and colors are not universal: read the software's legend.
How to read the figure — Each row is a price level and each pair is bid × ask. The hotspots explain the bid column, price level, and ask column; bar totals and delta appear below. Resting orders in the book are not part of the matrix.
An orderly way to read it
First check the instrument, session, tick size, and price-level aggregation. Then verify whether historical data contain feed-supplied tick-level bid/ask volume or a reconstruction. Only after those checks should you read row delta, bar totals, and volume concentrations.
An imbalance is a comparison that exceeds a configured threshold. Some platforms compare bid and ask on the same row; others use a diagonal comparison between adjacent prices. The threshold, denominator, handling of zero, and required number of consecutive levels can all change the result. Terms such as “stacked imbalance” and “unfinished auction” therefore do not describe universal events apart from the parameters that define them.
What it does not show
A footprint represents aggregated executions, not the full depth of the order book. It does not reveal counterparties' identities or intentions, and it does not necessarily include trades on other venues. Side classification may also be direct, when supplied by the feed, or estimated.
A large cell or imbalance describes activity in that sample; by itself it is not a trading instruction. Price context can be added, but it does not turn a historical visualization into a guaranteed forecast.
Sources
- Sierra Chart, Numbers Bars — documents price rows, bid/ask pairs, delta, same-price and diagonal comparisons, and tick-by-tick requirements.
- TradingView, Volume Footprint charts: a complete guide — describes its implementation, volume cells, delta, bar POC, and configurable imbalance thresholds.
- Sierra Chart, Tick by Tick Data Configuration — distinguishes traded volume from market-depth quantity and explains why aggregated records reduce price-level accuracy.
- CME Group, MDP 3.0 — Trade Summary — documents execution fields that a feed can provide directly.