The Footprint shows the volume of contracts traded through market orders. Aggressive buy market orders lifting the offer and aggressive sell market orders hitting the bid.

We can identify when there is an imbalance between buying (demand) and selling (supply) by comparing the bid and ask volumes diagonally at each price level within the Footprint.

To look for buying imbalances, we divide the ask volume at each price level by the bid volume at the price level below it:

• 15 ÷ 1 = 1500%
• 30 ÷ 13 = 230%
• 84 ÷ 20 = 420%
• etc.

To look for selling imbalances, we divide the bid volume at each price level by the ask volume at the price level above it:

• 108 ÷ 102 = 106%
• 105 ÷ 127 = 83%
• 243 ÷ 51 = 476%
• etc.

It is typical in order flow analysis to regard any imbalance above 300% as aggressive, i.e. 3x more contracts were bought than sold or 3x more contracts were sold than bought. Of course, the higher the percentage used, the more extreme the aggression being identified.