What Is a Footprint Chart in Futures Trading?

A footprint chart takes an ordinary price bar and opens it up: instead of one candle covering a five-minute window, you get a stack of rows, one for every price the contract traded at inside that window, with the traded quantity printed beside each row. In all three of the platforms whose documentation this post works from, that quantity can be split in two — volume that traded against the resting bid on one side, volume that traded against the resting offer on the other.

The name is not universal. Sierra Chart ships the tool as a study called Numbers Bars and its documentation notes that other charting programs call the same thing a footprint. Quantower calls its version a Cluster chart and says the same. ATAS uses "footprint" directly. All three are describing volume attached to individual price levels inside a bar, which is the thing worth understanding.

What is a footprint chart in futures trading?

A footprint chart replaces each price bar with a column of numbers: one figure, or a pair of them, for every price level the bar traded through. Sierra Chart's documentation describes its version as up to three such columns per bar, each configurable to show a different calculation, so a single bar can carry three readings of the same price levels side by side.

What goes in those cells is a choice, not a fixed format. Sierra Chart's text options include ask volume less bid volume, total volume, a count of trades, and the two sides printed as a pair. Quantower's cluster chart offers a longer menu: trades and volume, each split into buy and sell, delta and delta as a percentage, average trade size on each side, the largest single trade at a level, and a filtered figure that only counts volume above a size you set. ATAS groups its own into four families — volume, trades, bid by ask, and delta — and claims more than 400 display variations built on them.

The common thread is that all of it is executed volume, broken down by price. A conventional candle tells you the high, the low, where the bar opened and where it closed. A footprint tells you how much changed hands at every price in between.

Where does the bid and ask volume on a footprint chart come from?

The split between bid volume and ask volume comes from trade data, not from the order book. Every executed trade gets labelled with the side it was filled against, and the chart totals the contracts — not the trade count — on each side at each price. Sierra Chart's definitions are explicit that bid volume counts traded contracts, and that how many trades printed at a price and the quantity behind them are two different figures, because one trade can carry a quantity greater than one.

How the label gets applied depends on the feed. Sierra Chart's documentation runs a sequence of tests and stops at the first that holds. The first asks whether the exchange or the feed states the side outright, which the page calls the most accurate determination available; it names CME Group among the sources that supply it through Sierra Chart's own Denali feed, and puts the accuracy at 100% where that applies. The same page also names a data service where that method is not used. Otherwise the fallbacks infer the side: a trade at or below the bid counts as a bid trade, and a trade between the quotes is assigned by which quote it sits nearer and by the direction of the last tick — an up-tick being a trade above the preceding one, and a down-tick one below, in the CFTC glossary's Tick entry.

That distinction matters more than it looks. Sierra Chart's 100% statement, carried in the 9 June 2026 revision of the page read for this post on 25 September 2026, is scoped to those exchanges on that one feed rather than to every route CME data can take to a chart. Where the side is not reported, the bid and ask columns are an inference, and are worth reading as one.

Do you need Level 2 data for a footprint chart?

No. Sierra Chart's documentation states plainly that Numbers Bars requires no depth feed at all: the best bid and the best ask are enough, and the page extends that to every study in the platform built on bid or ask volume. Depth data — described there as the resting limit order quantities at levels near the market, usually five to twenty of them — is a different product feeding a different tool.

That is why a footprint and a depth of market ladder answer different questions, and why one needs a data product the other does not.

Our own platform pages say the same thing from the account side: footprint and cluster charts are built from time and sales rather than depth of market, and the Level 1 data included with an account is the best bid and best ask on CME, CBOT, COMEX and NYMEX. What a footprint does need is tick-level history. Sierra Chart's setup instructions require the intraday records to be stored at 1 tick — anything coarser makes the displayed figures less accurate — and the study is documented as working on intraday charts only, not on historical daily bars.

What is delta on a footprint chart?

Delta on a footprint chart is ask volume minus bid volume: the contracts that traded against resting offers, less the contracts that traded against resting bids, at one price level or across a whole bar. Quantower defines its version as the traded volume difference between the buy side and the sell side, and also prints it as a percentage, dividing delta by total volume and multiplying by a hundred.

Sierra Chart is careful about the word. Its documentation says the platform avoids the term as too general, while acknowledging that delta is the usual name for what separates those two figures.

Care is worth taking, because the CFTC glossary's own Delta entry attaches the word to something else entirely: how far an option's price is expected to move for a one-unit move in the underlying, illustrated there with a 0.5 reading and a fifty-cent response to a one-dollar move. The two senses share nothing but a name. One is a sensitivity of one price to another; the other is a signed count of contracts.

A footprint delta of zero does not mean nothing happened, and a large one does not mean more people bought than sold. Every executed contract has a buyer and a seller. What delta counts is which of the two crossed the spread to get filled.

What is an imbalance on a footprint chart?

An imbalance is a comparison between the bid figure and the ask figure, and the two versions these platforms document compare different cells. Sierra Chart's documentation calls the straightforward one the dominant side: at a single price level, whichever of bid volume and ask volume is larger is dominant there.

The other version compares diagonally. Sierra Chart's diagonal dominant side pits bid volume at one level against ask volume at the next level up, and ask volume against bid volume at the next level down. Two consequences follow from the geometry, and the documentation states both: under a diagonal comparison the same price level can have both sides dominant, since each is being judged against a different neighbour, and the bid volume at the bar's highest price and the ask volume at its lowest can never be dominant at all, because the page notes there is nothing above or below them to compare against.

Quantower's imbalance view sets the layout by default — sell volume on the left, buy volume on the right — and no other data type can be selected while that mode is on. Its documentation describes a diagonal version of its own, in terms of aggressive buying taking the offer and aggressive selling taking the bid. ATAS describes the same two sides in terms of what produced them: the left column is market sells filled against resting limit buys, the right is market buys filled against resting limit sells.

None of these definitions says an imbalance predicts anything. They are arithmetic comparisons between two cells, documented as colouring rules: Sierra Chart even exposes a minimum-volume threshold you set, below which the comparison is skipped and the cell is left uncoloured, so that a three-against-one at a quiet level does not light up as a 300% reading.

Why does a footprint chart become unreadable, and what fixes it?

A footprint chart becomes unreadable when a bar spans more price levels than the display has room to print, and Sierra Chart's documentation offers two kinds of fix: stretch the view, or put fewer rows in it. The first is scaling — wider bar spacing, an expanded value scale, a smaller font. The second is raising a Volume at Price Multiplier so several ticks are grouped into one printed level, with example magnitudes of four, ten, even a hundred times; the page gives increasing the chart's tick size as an alternative to that. Quantower's equivalent of the multiplier is its custom step, which defaults to one tick — a row per price — and sums as many levels together as you set.

A second control cuts by size rather than by price. Quantower's filtered volume displays only figures above a size you set and prints everything below it as zero. Its documentation puts that in terms of heavily traded instruments, where a session's volume is large enough that a floor is what makes the significant levels stand out.

Load is the other cost. The study reads tick-by-tick history carrying the bid and ask volume figures, and Sierra Chart's own setup steps suggest loading only a few days of intraday data — its example is seven — because of the extra processing. Our ATAS setup notes describe the same symptom from the user's side: months of tick history at the finest cluster setting is the usual reason the platform turns sluggish, and cutting the history loaded, widening the cluster and closing unused charts is what clears it.

What does a footprint chart mean on a funded account?

On a funded account the practical point is that a footprint chart runs on data you already have, while the software around it may not be. The included feed is Level 1, and footprint tools do not need more, so the chart itself is not a data upgrade decision. The licence is a separate question: our platform pages note that ATAS needs a Pro or Ultra plan bought from ATAS, and Sierra Chart needs one of its Integrated service packages at level 10 or higher, neither of which is included in what you pay us. Sierra Chart's own setup instructions add that the account has to carry the Numbers Bars feature at all, which means a Usage Time Service Package at level 5, the one it labels Advanced, before the study is there to add to a chart.

The larger caution is what the chart is for. The CFTC glossary's entry on technical analysis describes forecasting from price change, rate of change, volume and open interest with fundamentals left out, and adds the condition that this approach can only work consistently if prices are not a random walk — a condition the glossary states rather than settles. A footprint chart is a more detailed input to that kind of analysis, not an escape from the question.

Whatever you read from it, the account rules do not move. Your position size is still bounded by the drawdown line and the contract limits, and a confident read of a single bar is not a reason to carry more contracts than that arithmetic allows. If you want a volume-weighted reference for the same session rather than a bar-by-bar breakdown, VWAP is computed from the same trade data and answers a different question.

FAQ

Do footprint charts work on Level 1 data?

Yes. Sierra Chart's documentation states that Numbers Bars needs no depth feed, only the best bid and ask, and applies that to every study in the platform built on bid or ask volume. The constraint is history rather than depth: the intraday records need to be stored tick by tick, and the study is documented as working on intraday charts only. Our own platform pages describe footprint and cluster charts as running on the included Level 1 feed for the same reason.

What is the difference between a footprint chart and a volume profile?

They aggregate over different windows, and Quantower documents them as separate tools on one volume analysis toolbar. Its cluster chart reports volume at every price a bar traded through, bar by bar. Its volume profiles page describes a profile as trading activity at price levels over a period you choose: a step profile is built on a repeating interval set in minutes, hours, days, weeks or months, and a custom profile covers any range you place it over. Same underlying volume-at-price data, different unit of aggregation.

Is delta on a footprint chart the same as delta on an option?

No, and the collision of names causes real confusion. On a footprint, delta is ask volume minus bid volume — a count of contracts with a sign. In the CFTC glossary's Delta entry the word measures how far an option's price is expected to respond to a one-unit move in the underlying, illustrated with a 0.5 reading and a fifty-cent response to a one-dollar move. That is a sensitivity of one price to another, not a contract count, and nothing about one sense carries over to the other.

How accurate is the bid and ask split on a footprint chart?

It depends on whether the feed reports the side. Sierra Chart's documentation ranks an explicit indication from the exchange or data feed as the most accurate determination and puts it at 100% accuracy where that is available, naming CME Group among the sources supplying it through Sierra Chart's own Denali feed — a statement in the page's 9 June 2026 revision, read on 25 September 2026, and scoped to those exchanges on that feed. Without it, the platform infers the side from where the trade printed against the quotes and from the direction of the last tick, which is an estimate.