Delta Footprint®

The Delta Footprints® job is to keep track and display the net difference between buyer initiated volume and seller initiated volume at each price. It does this monitoring the volume traded at the bid and ask.

To understand the use of the Delta Footprint®, a trader first needs to understand that a traded price will have a mix of aggressive buyers and aggressive sellers. An aggressive buyer is one who is willing to aggressively get in the market by buying the ask (offer), unlike the non-aggressor whose interest is in placing an order at best bid or below (no guarantee of a fill). An aggressive seller is one who is willing to aggressively get in the market by selling (hitting) the bid. The non-aggressive seller would place their order at the best offer or above and wait to see if the order gets filled (no guarantees!).

Secondly, markets rarely have price go in one direction without contention. Aggressive buyers challenging the aggressive seller (and vice versa) will cause contention at each individual price. Delta Footprint® will show the (net traded volume difference) between the aggressive buyer and the aggressive seller at each individual price. Totaling up this information provides a delta for each bar.

The idea behind Delta Footprint® is to confirm a price trend AND alert you of reversals. Just as it is important to understand if volume is increasing or decreasing, it can also be argued the directional momentum of that volume is crucial to understanding when price may come into balance.

Rule of Thumb - In many markets you should expect to see more of volume occur in the direction of the trend, be it a short term swing or a longer term move away from value. Positive delta (green or blue Footprints®) indicate more aggressive buying and "up" or "positive" volume. Negative delta (red Footprints®) indicate more aggressive selling and "down" or "negative" volume. One of the simplest ways to keep track of this is the bar delta down at the bottom of each bar.

Learning Opportunity! - To learn more about the Footprints® click below. It is a short 6 minute high resolution recording to teach you more and assure you get the most out of MarketDelta®.