1
Bid × Ask
A footprint displays classified sell volume and buy volume at each price level.
Lesson · Volume and Order Flow
Footprint Charts and Bid-Ask Delta
Compare executed volume at the bid and ask within each price level and candle.
Core concepts
What to understand
Keep the interpretation direct: participation, aggressive side, and actual price progress.
2
Delta
Ask-classified volume minus bid-classified volume.
3
Imbalance
One side’s volume exceeds the opposing comparison by a chosen ratio.
Interactive lab
Change the market conditions
Use the controls and read the “What the market is doing” explanation after each change.
Footprint Charts and Bid-Ask Delta Lab
Synthetic educational data · no live market connection
MARKET DATA
Reading process
Follow the reading steps
Do not jump from one number to a trade. Describe the evidence first.
Read candle result
Did price close higher, lower, or unchanged?
Read delta
Was aggression net positive or negative?
Find agreement or absorption
Did price progress with delta, or resist it?
Knowledge check
Check your interpretation
Select one answer for each question. Feedback appears immediately.
1. Ask volume is 900 and bid volume is 600. Delta is:
Delta = ask volume − bid volume = 300.
2. A candle has strongly positive delta but closes near its low. What may be happening?
Aggressive buying occurred, but price failed to hold higher, suggesting passive selling absorbed it.
3. Does a footprint show resting orders that never traded?
Executed footprint data is distinct from unexecuted order-book liquidity.
4. A candle traded at three prices with bid × ask of 200 × 500, 300 × 300 and 400 × 100. What are its delta and delta as a share of volume?
Ask volume 500 + 300 + 100 = 900; bid volume 200 + 300 + 400 = 900; delta 0 on 1,800 traded. Level by level the aggression was split: buyers at the top, sellers at the bottom.
Practical rules
- Delta is classification-dependent.
- Use price response to validate aggression.
- Thresholds for imbalance must be declared.
Common mistakes
- Calling positive delta automatically bullish.
- Ignoring the candle’s location in broader structure.
- Comparing raw delta across instruments without normalization.
References
Official reading
The lab is simplified; these sources provide the underlying market and execution definitions.
CME Group · Market Makers vs. Market Takers
Official overview of liquidity providers and traders seeking immediacy.
CME Group · What is Volume?
Official overview of how futures volume is counted and interpreted.