Orderflow footprint with delta and trade bubbles

Orderflow Footprint with Delta and Trade Bubbles is an order flow indicator for MetaTrader 5 (MT5). It turns every candle into a footprint chart, also called a cluster chart, that shows how much volume traded at each price level, split into buying volume (ask) and selling volume (bid). Each candle also shows its delta, volume profile and point of control. A bubbles window shows the trades as they arrive, so you can watch the order flow tick by tick.

The footprint is built from the tick data of your broker. On exchange symbols it uses real trade volume. On Forex and CFD symbols, which usually have no trade volume, it counts ticks. The section "How Buying and Selling Volume Is Measured" below explains this in detail.

Footprint Chart with Bid and Ask Volume

Every candle is divided into price rows. The cell content can be Bid x Ask volume, Delta or total Volume, and the cells can be coloured by a volume heatmap, by delta or by the dominant side. On each candle the indicator marks the diagonal imbalances for buyers and sellers, the Volume Point of Control (the price with the largest volume), the Time Point of Control, the row with the largest delta and the value area (70 percent by default, standard two-row method).

When you zoom in, more detail is added beside each candle: a volume profile column, a volume percentage column, a time percentage column and a delta column. A normal candle can be shown next to the footprint, so price action and order flow stay together. A detail card with all values of the candle appears when the mouse is over it.

Delta, Volume and Cumulative Volume Delta (CVD) Panel

Under the candles a statistics panel shows the ask volume and the bid volume in separate rows, the delta (ask minus bid) and the total volume of every candle on the screen. The cells are shaded by their size, so strong candles are easy to find. The Cumulative Volume Delta is drawn as a line graph with a zero line, and the last row shows the candle times.

Trade Bubbles Window

The bubbles window is a small panel inside the chart that shows the recent trades as bubbles moving from right to left. The size of a bubble follows its volume and its colour follows the dominant side. Large clusters are marked with a ring, and time lines with the clock time move with the bubbles. You can choose how many seconds are shown (15 to 300), move the window and resize it.

Order Flow Signals

Signals are calculated only after the candle has closed, so a mark does not appear and disappear while the candle is still forming. Each signal can also show a short message on the chart, with an optional sound.

• Stacked imbalances - three or more imbalances in a row create a zone that extends to the right until price trades back into it.
• Naked points of control - point of control levels that price has not revisited yet.
• Unfinished auctions - a candle high with selling volume, or a candle low with buying volume, at the extreme price.
• Absorption - large volume at the top or bottom of a candle that did not move price further.
• Exhaustion - a new swing high on negative delta, or a new swing low on positive delta.
• Big trades - trades above a volume you set, shown as bubbles on the footprint.
• Delta divergence and volume bursts - a rising candle with negative delta or a falling candle with positive delta, and candles with much more volume than the recent average.

Chart Controls

A header bar at the top of the chart shows the symbol, a menu with all MetaTrader 5 timeframes and live values: bid, ask, spread, time until the candle closes, delta, cumulative delta, daily change and daily volume. From the header you can change the cell content, the colour scheme, the imbalance ratio, the candle column, the bubbles window and the dark or light theme. A settings card changes the main inputs directly on the chart, without opening the indicator properties.

Zoom resizes the whole footprint, including fonts, columns and markers. Drag the chart with the mouse to move it in time and in price, or use the mouse wheel, the arrow keys, Page Up, Page Down, Home and End. The view follows the live candle, and the "Latest" button returns to it after you scroll back. The indicator has its own price scale with bid and ask labels and a crosshair. Your choices are saved per chart and restored the next time you open it.

How Buying and Selling Volume Is Measured

The result depends on the data your broker provides:

• On exchange symbols (futures and stocks) with real trade volume and buy or sell flags, the indicator uses those flags.
• When trades come with bid and ask quotes, a trade above the middle of the spread counts as buying and a trade below it as selling.
• On Forex and CFD symbols without trade volume, each tick counts as one unit, and its side follows the price direction (up tick is buying, down tick is selling). The footprint then shows tick activity, not exchange volume.

For candles without tick history in your terminal, the indicator shows an estimate and replaces it when the ticks have been downloaded.

How Traders Use It

Traders use a footprint chart to see where volume entered the market and which side was more active at each price. Typical uses are finding support and resistance from stacked imbalance zones and naked points of control, watching for absorption or exhaustion near important levels, and checking a breakout with delta and cumulative delta. The indicator is an analysis tool. It does not open trades and does not replace your own trading plan and risk management.

Input Parameters

Footprint: number of history candles (100 by default), starting cell content and colouring, price step, bar width and spacing, automatic price scale fitting.

Imbalances and signals: imbalance ratio, minimum volume, minimum rows for a stacked zone, absorption factor, swing lookback for exhaustion, minimum volume for a big trade.

Bubbles window: on or off, seconds shown, minimum volume for a full bubble.

Appearance and messages: theme, colours, fonts, panel height, cumulative delta row, notifications and sound.

Testing in the Strategy Tester

You can try the indicator in the MetaTrader 5 Strategy Tester. Use visual mode and the modelling "Every tick based on real ticks", because the footprint is built from tick data. Other modelling types do not contain the tick information the footprint needs.

Requirements

MetaTrader 5 only. The indicator works on all symbols and timeframes, and the result depends on the tick data your broker provides. Large tick histories on low timeframes take longer to load the first time.

If you have questions or suggestions, please write in the comments of this product or send me a private message on MQL5.com.