Delta Footprint Chart

Overview

Delta Footprint Chart is a Canvas-based footprint chart indicator for MetaTrader 5. It renders self-drawn candles, numeric Buy×Sell footprint ladders, cumulative volume delta (CVD), and a selected-bar inspector — all on a single bitmap overlay. No chart objects, no buffer plots, no layered windows.

Data Source & Honest Limits

Order-flow style views are built from your broker ticks ( CopyTicks / range APIs). Aggressor side uses AggressorRule_v1. A tick takes the Trade path only when it simultaneously carries Last, volume, and TICK_FLAG_BUY or TICK_FLAG_SELL . Otherwise the quote path synthesizes direction from bid/ask/last movement. The data source chip (amber = Synthetic, green = Trade, blue = Mix) on the toolbar tells you which path produced the numbers.

• Not exchange Level 2
• Not a full-market tape
• Not institutional order flow

This is an honest synthetic footprint for FX/CFD traders — never marketed as exchange depth.

Main Features

• Footprint ladders — Inside each candle, every price row displays Bid volume (left) and Ask volume (right). Cell heat maps relative volume intensity. When the cell is wide enough, full Ask×Bid digits appear; when narrower, a signed Delta; when too small, a colored glyph.
• Imbalance & Stacked levels — Rows where one side dominates by a configurable ratio (default 3:1) are highlighted. Consecutive imbalanced rows in the same direction get a stack marker — a visual cue for absorption or exhaustion.
• POC (Point of Control) — The price row with the highest total volume in each bar is marked with an amber bar.
• CVD strip — A resizable cumulative volume delta curve below the chart, scaled to the visible window. Optional delta histogram and a three-row data table (Volume / Delta / Cumulative) aligned under each bar.
• CVD Divergence — Optional yellow circles marking bars where close and CVD moved in opposite directions — a neutral observation, not a trade signal.
• Inspector panel — Right-side table showing the selected bar's OHLC, total Ask/Bid/Delta, POC price, tick breakdown (trade vs. quote vs. neutral vs. ignored), and a scrollable price-level ladder.
• Delta table — Per-bar Volume, Delta, and Cumulative Delta values in a compact strip beneath the CVD curve.
• Independent viewport — Wheel zoom, Shift+Left pan (time + price), price-axis drag to scale. Bars can widen up to 280px each.
• Instrument presets — One-tick switch between Gold / FX / Index profiles (row size, spread cap, CVD height, colors).
• Performance presets — Balanced / Gold / Lite / Manual — tune CPU vs. history depth.
• Bilingual UI — English / Chinese toolbar, inspector, and labels.

How to Install & Use

1. In MetaTrader 5 → Navigator → Indicators → open DeltaFootprintChart (or drag it onto a chart).
2. Start with XAUUSD M5 (or your liquid symbol) during market hours so tick ladders fill.
3. On first attach, leave most defaults. Set Language to English or Chinese, and pick an InstrumentPreset if you want a one-click Gold/FX/Index start.
4. Click OK. Wait for the first tick rebuild (history depth = HistoryBarsTarget).
5. Use the mouse wheel to zoom until Bid×Ask digits are readable. If digits stay hidden, raise MaxPxPerBar or zoom further.
6. Click a candle to pin the inspector. Use toolbar chips for CVD / Inspector / Imbalance / instrument switching.
7. Empty ladders when the market is closed (no ticks) are normal — wait for live ticks.

Chart Controls (After Attach)

• Wheel — Zoom bars (px/bar). Digits appear only when bar width and cell height pass the thresholds.
• Shift + Left-drag — Pan time and price together; any pan clears Follow-last-bar.
• Left-drag on price axis — Scale the price span (native MT5 feel). Row height and digit font follow.
• Plain left-drag on chart — Free for MT5 objects (rectangle, etc.); pan is Shift+Left.
• Double-click price axis or plot, F, or toolbar Fit — Fit visible high/low.
• Home — Follow latest bar and fit price.
• [ / ] — Move inspector to older / newer bar. Click plot to pin selection.
• E — Export selected bar to Common/Files as CSV (honesty header + price,bid,ask,delta rows).
• I / Esc — Toggle About panel (rule summary, cache key, tick count, self-test status).
• Ctrl+wheel / Shift+wheel / wheel on price axis — Zoom price span.
• Drag CVD top edge — Adjust CVD strip height (96–520px before UiScale).
• Toolbar — instrument preset, layout, volume mode, CVD, inspector, language, About.

Instrument Presets

Presets change row size, spread cap, CVD height, and colors. They do not drop ticks already in memory. A row or spread change rebuilds ladders only.

Recommended Starter Settings

• Gold (XAUUSD): InstrumentPreset = Gold, or PerformancePreset = Gold, RowSizeMode = Manual with RowSizePoints suited to your broker digits.
• FX majors: InstrumentPreset = FX, PerformancePreset = Balanced, RowSizeMode = Auto.
• Indices: InstrumentPreset = Index, PerformancePreset = Lite if the CPU is busy.
• Readable UI: UiScale 1.40–1.80, FontSizeUi 14–16, FontSizeDigits 11–13, ShowDeltaTable = true.
• Clean look: ShowSessionShade = false, HideNativeCandles = true, FollowLastBar = true, RightPaddingBars = 3.

Parameters — How to Configure

Data

• HistoryBarsTarget — how many bars keep footprint ladders (default 400). Higher = more history, more RAM/CPU.
• TickChunkSize — soft cap per CopyTicksRange chunk (default 80000).
• SyntheticTickWeight — weight when tick volume is 0 (default 1.0).
• MaxSpreadPoints — filter wide spreads: -1 auto (200 metals / 80 FX), 0 off, else points.
• PreferTradeTicks — use real BUY/SELL flags when the feed provides them (default true).
• AggressorRuleVersion — keep AggressorRule_v1 for production.
• EnableSynthesisAudit — debug only; replay/compare synthesis (leave false).

Rows

• RowSizeMode — Auto (adapts) or Manual.
• RowSizePoints — bucket height in points when Manual (e.g. gold often needs a larger step).
• PriceMapMode — SideAware (default), Last, or Mid — how ticks map into price rows.

Footprint

• LadderLayout — Beside (ladder next to candle) or Inside (inside the body).
• VolumeDisplay — AskBid (default), Delta, or TotalDelta.
• ShowImbalance / ImbalanceRatio / MinImbalanceVolume / StackedLevels — imbalance highlight rules (default ratio 3.0, stack 3).
• MinPxPerBarForDigits / MinCellHeightForDigits — minimum zoom before Bid×Ask numbers paint.

Candles

• ShowCandles, BodyOpacity, BullColor, BearColor — candle look on the Canvas.

CVD

• ShowCVD — show the CVD strip (also forced on when the delta table is on).
• CVDReset — None / Daily / Session / ManualAnchor.
• SessionTemplate — FX London overlap or Custom; Custom uses SessionStartHour / SessionEndHour.
• CVDManualAnchorTime — reset anchor when CVDReset = ManualAnchor.
• ShowSessionShade — soft session wash (default off for a clean solid chart).
• CvdStripHeight / ShowCvdCurve — strip height and whether the CVD curve draws.

Divergence

• ShowCvdDivergence — yellow neutral circles on CVD (default true). Not trade arrows.
• CvdDivMarkSize / CvdDivMarkColor — mark size and color.

Viewport

• MinPxPerBar / MaxPxPerBar — zoom range (raise Max to keep digits readable; max 280).
• DefaultBarsVisible — first-load bar count (default 32).
• FollowLastBar — stick to the live candle until you pan.
• RightPaddingBars — empty bars to the right of the live candle (default 3).
• HideNativeCandles — hide MT5 candles so only Canvas candles show (default true).
• CanvasBehindObjects — keep Bubble/objects paintable above the Canvas.

UI

• UiScale — global UI scale (default 1.60). Toolbar + inspector scale together.
• FontSizeUi / FontSizeDigits — UI labels vs footprint digits.
• ShowDeltaTable / DeltaTableHeight / ShowDeltaHistogram — bottom Volume|Delta|Cum block.

Inspector

• ShowInspector / InspectorWidth — right-side selected-bar panel.

Performance

• PerformancePreset — Balanced (default), Gold (heavier / denser), Lite (lighter), Manual (you own TimerMs / caps).
• TimerMs — refresh timer when Manual (default 75).
• MaxTicksInStore — tick store cap (default 3,000,000).

Preset

• InstrumentPreset — Off (keep inputs), Gold, FX, Index. Toolbar can switch live. Off keeps your typed inputs.

Honesty / Language / Colors / Alerts / Debug

• ShowHonestyBadge — set-file only; not drawn on chart by default.
• Language — Lang_zh or Lang_en.
• Ask/Bid/Delta/Imbalance/POC/Background colors — visual theme.
• Session shade colors / second session — optional shade only; does not reset CVD unless CVDReset = Session.
• EnableAlerts + cooldown / popup / push / email — optional alerts (default off).
• VerboseLog — Experts log noise for debugging (leave false).

Honesty Contract

The honesty statement — "Synthetic order flow, not exchange Level 2 / not a full-market tape" — appears in:

• The #property description (visible in the indicator dialog)
• The Experts log on init
• The About panel (toolbar i or press I)
• Every exported CSV header

The on-chart badge is off by default. The data source chip (Synth / Trade / Mix) in the toolbar always reflects the active classification path.

Architecture

• One bitmap — All pixels (candles, ladders, axes, CVD, inspector, toolbar) are drawn on a single CCanvas. No OBJ_LABEL, OBJ_TEXT, OBJ_RECTANGLE, or ObjectCreate calls.
• Tick window is authoritative — Ticks are stored in absolute millisecond time. Bar ladders are a replay cache. A timeframe switch increments the generation, drops all ladders, and discards any in-flight tick copy whose generation no longer matches.
• Generation guard — m_ctxGen protects against stale CopyTicksRange results during symbol/period switches.
• Incremental update — The latest bar is updated incrementally as new ticks arrive; completed bars are committed and not re-replayed unless their row size or spread filter changes.
• Empty-tick handling — When CopyTicksRange returns 0 with no error, the range is retried twice then accepted as empty. Bars with no ticks are marked offline and drawn as candles without ladders — never as fake zero-delta rows.
• Self-test — RunSelfTest() runs on every OnInit. 45 test cases verify the classification rule, row accumulation, provisional vs. replayed bar, imbalance/stack, cell mode, cache key, and series lookup. A failure shows a red chip on the toolbar.

Performance Presets

Balanced auto-selects Gold caps on XAU/GOLD/XAG/SILVER symbols. Timer downloads ticks and replays them; OnCalculate only refreshes rates when the bar count changes. Frame time is shown on the toolbar and turns amber above 16ms.

Expected Behavior

Closed market / no ticks results in empty footprint is normal. Same symbol on different brokers can produce different ladders. Synthesis is honest Path A for FX/CFD when trade flags are absent — never marketed as exchange L2.

Complements

Works alongside bubble-style delta tools and session volume profile workflows. This product is a footprint + CVD chart — not a bubble clone and not a session VP replacement.

Disclaimer

For analysis only. No profit claims. Always manage your own risk.