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Order Flow Snapshot

A Footprint chart provides good organization and visualization of traded volume information within a chart bar however it is raw data. To act on it requires analysis and understanding of the data.

emoji trading order flow snapshot indicator

Order Flow Snapshot provides visual summaries of Absorption, Aggression, Exhaustion and Delta and access to the underlying summary data for alerts and automated trading.

  1. Order Flow Bar Ratios – summarising Absorption & Exhaustion

    Each chart bar represents an auction process as buyers and sellers trade until price is too high or too low. The Order Flow Bar Ratio calculates the relationship between volumes at bar extremes to highlight absorption or exhaustion conditions.
    These ratios can be presented numerically or as text explanations highlighting absorption and exhaustion conditions.

    emoji trading order flow bar ratio text display

  2. Multiple Imbalances – summarising Aggression & Delta

    A summary of the number of aggressive buying and selling imbalances can be presented for each bar. This summary can be colored and positioned to highlight bar delta, dominant imbalance aggression or price action. Coloring and/or positioning by Delta can be an effective way to save screen space eliminating the need for a graphical or numeric display of Delta below the price chart.

    emoji trading multiple imbalances order flow snapshot

  3. Delta Strength – summarising Aggression through Delta

    Delta Strength highlights when a bar closes above a user-defined threshold to indicate bars that close near the peak of supply or demand. A bar closing with a delta value of 450, i.e. 450 more contracts were bought than sold may sound like there is strong demand, but it depends upon the relationship of the closing delta to the highest delta. Highest delta of 460 tells us that at bar close, we were near the peak of buying. Highest delta of 3,000 tells us that the buying reduced significantly from its peak by the time the bar closed. This mode can be used to highlight significant strength revealed by Delta without needing to track a numeric or candlestick view of Delta underneath each bar.

    emoji trading delta strength order flow snapshot

Indicator Settings & Outputs Reference

Imbalance Settings

The imbalance settings are used to define how Multiple Imbalances are counted. Read this section: Imbalance Settings for a full explanation of each setting:

• Minimum Diagonal Bid/Ask Imbalance %
• Compare Zero Diagonal Bid/Ask Imbalances?
• Miniumum Volume
• Minimum Bid/As Delta

Delta Strength Threshold %

Enter the percentage for the closing value of bar Delta relative to its high or low that is required to signify a Delta Strength condition. For example, if this value is set to 95%:

• a bar whose lowest value of Delta was -100 and closed at -97 (97%) will signify Delta Strength
• a bar whose highest value of Delta was +200 and closed at +150 (75%) will not signify Delta Strength

Exhaustion Ratio

The ratio between the two highest Ask volumes or two lowest Bid volumes that is used to highlight Exhaustion using an Order Flow Bar Ratio. If the ratio of the volumes is greater than or equal to this setting, Bar Ratio identifies Exhaustion.

Absorption Ratio

The ratio between the two highest Ask volumes or two lowest Bid volumes that is used to highlight Absorption using an Order Flow Bar Ratio. If the ratio of the volumes is less than or equal to this setting, Bar Ratio identifies Absorption.

Font Size

Enter the desired font size for Order Flow Bar Ratios and Multiple Imbalance displays.

Bar Ratio Labels

Enter the desired text labels used to signify:

• Bid Exhaustion
• Bid Absorption
• Ask Exhaustion
• Ask Absorption

when using Order Flow Bar Ratios with a Conditional Text Ratio Display Mode (see below).

Colors

Enter the desired colors signifying:

• Demand
• Supply
• Neutral

Neutral color is used by:

• Bar Ratio when the calculated value falls between the Exhaustion and Absorption Ratios
• Multiple Imbalances when there are no imbalances

Otherwise the appropriate colors are used based upon the Coloring Basis settings detailed below.

Imbalance Coloring Basis

Select whether the Multiple Imbalance display is colored based upon:

• Bar Delta, or
• Dominant Imbalance Count

The Demand color is used when Bar Delta is positive or Buy Imbalances exceed Sell Imbalances. The Supply color is used when Bar Delta is negative or Sell Imbalances exceed Buy Imbalances. The Neutral color is used for zero delta or no imbalances.

Imbalance Display Basis

Select whether the Multiple Imbalance display is located based upon:

• Bar Direction (below up bars; above down bars)
• Bar Delta (below bars with positive delta; above bars with negative delta)
• Delta Change From Previous Bar (below bars with positive change; above bars with negative change)
• at the Bar High
• at the Bar Low

Imbalance Display Offset (Ticks)

The number of ticks away from the bar high/low that the Multiple Imbalance sisplay appears.

Entering 0 for this setting will disable the Multiple Imbalance display.

Delta Strength Display Offset (Ticks)

The number of ticks away from the bar high/low that the Delta Strength display appears.

Entering 0 for this setting will disable the Delta Strength display.

Ratio Display Offset (Ticks)

The number of ticks away from the bar high/low that the Order Flow Bar Ratio display appears.

Entering 0 for this setting will disable the Order Flow Bar Ratio display.

Ratio Display Mode

Select whether Order Flow Bar Ratios are displayed as:

• Numeric:
…all Bar Ratio calculations are displayed
• Conditional Numeric:
…only Bar Ratios that indicate Exhaustion or Absorption, i.e. breach the relevant ratios, are displayed
• Conditional Text:
…Bar Ratios that indicate Exhaustion or Absorption are displayed with their matching text labels
• Compact:
…Bar Ratios that indicate Exhaustion or Absorption are drawn using the relevant Bar Ratio Supply and Demand Symbols (see below)

Ratio Display Position

Select whether Bar Ratios are displayed based upon:

• Bar Direction: ratios are displayed and calculated using values at the end of the bar that opposes the bar’s direction
• Both Ends: ratios are displayed and calculated using values at both bar ends

Outputs

• Delta: the delta for each bar
• Minimum Delta: the minimum delta for each bar
• Maximum Delta; the maximum delta for each bar
• Delta Change %: the percentage change in closing delta between this bar and the previous bar
• Buy Imbalance Quantity
• Sell Imbalance Quantity
• Bid Ratio At Low
• Ask Ratio At Low
• Bid Ratio At High
• Ask Ratio At High
• Bar Ratio Demand Condition: evaluates to 1 when there is a Bar Ratio Demand condition; 0 at all other times
• Bar Ratio Supply Condition: evaluates to 1 when there is a Bar Ratio Supply condition; 0 at all other times
• Bar Ratio Demand Symbol: the graphic symbol displayed to visualize Bar Ratio Demand in Compact mode
• Bar Ratio Supply Symbol: the graphic symbol displayed to visualize Bar Ratio Symbol in Compact mode
• Delta Strength Supply Symbol: the graphic symbol displayed to visualize Bar Ratio Symbol in Compact mode
• Delta Strength Demand Symbol: the graphic symbol displayed to visualize Bar Ratio Demand in Compact mode
• Delta Strength Supply Condition: evaluates to 1 when there is a Delta Strength Supply condition; 0 at all other times
• Delta Strength Demand Condition: evaluates to 1 when there is a Delta Strength Demand condition; 0 at all other times

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