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MarketDelta Strategy Guide

1. Delta Footprint ZW V 0 P 622 25 0 0 0 06 14 11 42 24 42 ce ol l 3p 4p 10 Baal Dice vei ve Sym Moze se 5 10 55Y10 57 411 01Y11 01 11 01Y11 02 fai 05 11 05 411 08 X11 27411 27Y11 31 11 33W11 40 11 42 11 22 11 43 Y11 44 fa 45 11 46 11 48 112424 i 49 62 FOOTPRINT TYPE Delta E x E PERIODICITY 5 Reveral 7 Additional Info Developing Value Area gold bars B 2 619 gt bo loc 18 50 2 The buying was sustained and caused a M 618 00 probe outside of value this time to the 11 EA EAE upside again with no follow through Notice o i how the volume dried up on the highs Break below value triggers selling with little follow through Consequently the market traded quickly back into and through the entire value area Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 81 4 9 Bund Bund Summary The Bund is the European equivalent to the US 10yr Treasury It is one of the most liquid futures contracts in the world and offers good volatility and follow through One of the nice things for this fixed income contract is the way it ticks The tick increment is 0 01 not fractions like the US treasuries One of the benefits this offers MarketDelta and Footpr
2. Footprint ZS X7 V 441 881 75 269x0x172 x Sm 3p 4p se 10 Exa 1 1 1 ses Moze Vol 06 29 7 10 00 10 15 10 30 150 25 CNRC Sa 501 Volume Footprint showing how much was trading while the market was limit bid and then how much traded at each price during the sell off Figure 4 17 2 Complimentary Strategies amp Uses A popular way to trade the grains is using Market Profile amp It would be worthwhile to open a Footprint amp chart apply the value area and or developing value area to the chart Figure 4 18 shows the previous days value area in gold on the left price scale and the current days value area on the right price scale The gold bars on the actual chart are plotting the developing value area and help to keep this important reference point visible AND show whether or not value is trending higher or lower This can prove to be a very useful way to find support and resistance points when Copyright 2007 MarketDelta LLC All Rights Reserved MarketDelta Strategy Guide the market is trending When it is not trending the value area will be stable and not continually put in higher highs or lower lows In this case it would be more reasonable to fade the market at the value area extremes and look for price to pull back into the value area as seen in Figure 4 18
3. The sellers could not push price lower despite 65 00 having good volume and aggressive selling at 54233 the low This is a great example of aggressive selling but price not following through There 25 25 was enough demand present at the 64 90 level to soak up the aggessive selling and price was 64 21 consequently rejected from this level Figure 4 14 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 73 Footprint Volume Profile CLE V 488 66 84 232x0x256 06 14 09 49 22 41 B x 30m 3p 4 5 0 1 vo1 ses pA Syn Hore El Dita 06 14 108 56 08 56 08 56 08 57 08 57 08 57 08 58 09 06 09 06 09 20 09 31 os sz 09 33 os se 09 49 09 49 09 57 10 28 10 32 10 32 21 67 20 67 19 RI DADO FAI GR NNI 67 07 FOOTPRINT TYPE Footprint Profile PERIODICITY 250 Delta Stong consistent buying each price Aggressive buyers caught long at the highs These short bars represent a significant delta 250 in this case was achieved in just a few prices This means some large buy orders occurred here but there was adequate supply to meet the demand P E t Notice the shape of this bar in comparison to
4. eL rcr o ete pi e ree ce th tene ie rne E ru pues 49 3 Dow mini 52 25 2 2 53 PR EE orc 58 5 EuroStoxx 50 uu 63 6 0 E P 67 90 ec 74 cMECICID NN 77 B d Noc 81 Ultime 50111214 4466 228 86 Bender 90 42 StOCKS amp femel 94 Copyright 2007 MarketDelta LLC All Rights Reserved Contents 5 13 Market Profile 5 Advanced Market Profile Strategies 14 Miscellarieous Strategies DDR QERMIBEIDEE M ecu Part V Conclusion Index 127 Copyright 2007 MarketDelta LLC All Rights Reserved Testimonials 7 1 Testimonials had wanted to let you know since first discovered Market Delta and apologize for not doing so but as a former open outcry trader can honestly say that your system
5. 108 MarketDelta Strategy Guide This is an example of the 12 9 splitter in the Segmented Period Market Profile amp View X MarketDelta Fi Ed Setur control Open Window IQFEED Help X MarketProfile 24hr ZGQ7 30 Market Profile Last 7 Days 1260 0 12 30 min periods Price trades higher than range Iiis of previous 9 30 min periods V H 672 3 and splits profiles 678 0 V L 669 3 9 30 minute periods 677 7 669 9 DR i 0 i i VLT 4 80 12 30 min periods 675 B RNG 4 6 15 1 676 5 669 9 1 676 2 VOL 4356 482 ijk AO 675 9 i 675 6 ij 675 3 ijH 0 0 iji Q 674 7 i H 674 4 i 674 1 f hi 673 8 fghi 673 5 00 Gara Oghi 672 9 hi 672 6 Gees 672 0 512252 671 4 671 1 670 8 x 670 5 Price trades lower than range 670 2 of previous 9 30 min periods and splits profiles i 669 6 9 30 minute periods 669 3 Ref AAD Color BG 4 The profile split when f bracket 0630 0700 with my settings broke the range of the previous 9 30 minute periods Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 109 Here are the Market Profile amp preferences used here Xl MarketProfile 24hr Preferences Profiles Letters Price Levels Reference Lines Options Show 7 Days Ending Now Special Profile
6. MarketDelta See Inside the Chart MarketDelta Strategy Guide Copyright 2007 MarketDelta LLC All Rights Reserved MarketDelta Strategy Guide Enabling you to See INSIDE the CHART by MarketDelta LLC MarketDeltall offers unique tools and analytics to empower the trader to see more do more and make more Use this quide to learn more about the various ways to use the Footprintll chart Market Profilen and other tools included in MarketDeltalsl MarketDelta Strategy Guide Copyright 2007 MarketDelta LLC All Rights Reserved The MarketDelta software and User Manual are copyrighted with all rights reserved No parts of this work may be reproduced in any form or by any means graphic electronic or mechanical including photocopying recording taping or information storage and retrieval systems in whole or part without the written permission of MarketDelta LLC The information contained in this manual is subject to change without notice No intellectual property rights or title to ownership in and to the software and or documentation or any copy compilation translation or other derivative work are transferred to the end user or any third party hereunder Products that are referred to in this document may be either trademarks and or registered trademarks of the respective owners No claim is made as to these trademarks The documentation and software are provided as is a
7. c c TIITIITIO T1 e Opened below n previous days VA 71 Narrow IB with VA 70 taking out both the 70 high and low of IB Resulted in atrend 70 day and traded all 70 the way through the 20 545 previous days 0 lt TUTTO AAA QOOOILA IOI CCCCC ARO FTWTTTTTTTUTETIGOG2G2020626060 TELLE TET mommm 203 0303030303 QMO OOOOOOOOO 000022222222222 Figure 4 28 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 101 b Crude Profile CL Q7 30 Market Profile Last 7 Days Jog FL 92007 A11 Rights Reserved CL 07 Each profile was split by bracket Breakout to show the range and prices for each 30 minute bracket TOTIILIII si asec en a a a ae Sar AGOAGAA NOOOOMOMOOOD Ce c LE e ce C ecce e cce cs TmnOmmTmm B B B B B B B 2 00721070722 03030303 90303030303 Figure 4 29 Copyright 2007 MarketDelta LLC All Rights Reserved 102 MarketDelta Strategy Guide DO nt gt uit x gt vez vez vex ses Sym More bita 07 02 3 09 15 09 45 10 15 10 4
8. 1 575 07 06 106 06 ABCDFGHIJLMNPO 106 05 ABCDGHIJMN 106 04 106 03 106 02 E Fi G GI GI Hi MI N N Figure 4 31 Copyright 2007 MarketDelta LLC All Rights Reserved 104 MarketDelta Strategy Guide M MarketProfile ZB F 30 P 107 15 V 10273 on 07 10 96 35 39 TFF 113 78 0 92 59 10710 Woe 2007 CROT All Rights Reserved ZB EF EO C ERE BCDEF H JK Shown using splits on all profiles Relate this to the Footprint Profile to spot key areas and track BCOOFGHTIO how a market is trading at value area extremes 107 10 35 39 107 04 107 03 107 02 107 01 107 35733 107 106 31 106 30 106 29 106 28 106 27 106 26 106 25 n aroe FGHIJKL 106 23 GHO KLM 106 22 GO LOO 106 21 GH LMN OR 106 20 H MN QOO 106119 MNPORS 106 18 41 1 amp 17 17 051106 17 BCDO GOIOKLONOO 106 16 LMN 106 15 106 14 106 13 106 12 106 11 L 106 10 KO 106 09 JKL QO 106 08 JOLO PORO 106 07 106786 077061 106 06 AOCO FGHIJ LMNOO 106 05 ABCD GOIJ 106 04 AB N 10 02 dE un 105131 Figure 4 32 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 105 M Footprint ZB F V 0 P 106
9. 11 Delta agressive selling confirmation AQ ene LI Downward Auction POC becomes 663 5 Things to observe Where is the value area What is the Delta How much volume is present How successful are the sellers The buyers Copyright 2007 MarketDelta LLC All Rights Reserved 116 MarketDelta Strategy Guide The picture below is the final result File Edit Setup Control Open Window IQFEEO Help x 4p 10 1 vex FP ses Nore 40x25 15 65 0 28 Rey 31 6 25 37 0 1 25 10 13 3 23 0 19 3 18 71 53 89 0 2 80 66 14 146 0 48 124 104 20 228 a 39x70 81 109 0 3 91 96 5 187 0 581 80 99 249 1 93 53 40 146 0 4 197x106 91 303 728184 Ez 256 170x65 105 235 86x157 71 243 94 47 547141 0 49 138 57 22 81 195 0 64 46x108 62 154 0 4 56 19 37 75 0 28 31 10 21 41 0 1 29 0 29 29 0 1 13 40 E 53 0 1 29 111 77782 140 04 70x104 34 174 0 44 50 25 Ly 261x106 7 155 253x234 719 176 178 2 250x98 EI 162x211 74x35 1139 209 Lu 78 35 43 113 0 3 54 80 26 134 0 3 101x72 29 173 0 494 98 17 74722170 1 82 61 21 143 0 4 150x111 39 261 1288161 33 El 22345132 91 109x175 7 66 7284 a 149x128 724 274 a HH 872110 23 197 194x212 18 181 156 25 174 308 Jay 256x47 209 303 zzi 1 9 172x118 57 B 57 46 11 103 0
10. Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 111 On the Footprint amp Chart we highlighted the breakout price that corresponds with the split example from above This shows the Delta action when the proiio EL X MarketDetta Setup Ce X Footprint Bid Ask 22607 V 120 P 676 9 46x0x74 mE gt ii x 30m 9p 4 se 100 Vo1 o1 FP tax ses More eee ee 06706 06 35 06 40 06 45 06 50 06 55 07 00 07 05 07 10 07 15 07 20 07 25 07 30 07 35 07 40 07 45 07 50 07 55 08 00 I ENED as ils Hi uoles 12 150 3 8 166 207140 38 088 27110 561 7165 mmm Ios us 166 22256 201 Eee fer 150 282 220 40 ENS 2 85 22150 ary 9 2131 Profile Split when it broke the range 90 minute time period after variable split ofthe previous 9 30 minute dun Value catches up with price Downward auction stopped 1 70 range with mixed Delta 43 sas zis 337 sss zse 253 250 1s 1e 13 7 a1 s 14 ss 22 Things to observe Where is the value area What is the Delta How much volume is present How successful are the sellers The buyers After the split lower and 1 5 hr pause the Gold Market rallie
11. lower than the previous bar Because the Delta periodicity is a function of order flow it does a very nice job of identify the underlying strength in the market and then the turning points Figure 4 13 The ES is certainly one of the most popular instruments traded using the MarketDelta amp and the Footprint amp chart For more examples visit our Strategies page Timely market examples at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 67 4 6 Crude Oil Crude Oil Summary Electronically traded crude oil and the energy markets in general have become popular contracts since going electronic With energy prices firm and looking to stay that way many users of MarketDelta and the Footprint amp chart have discovered key insights to trading these markets Sometimes there is confusion as to which crude oil contract we are actually talking about so the examples below will be the Nymex WTI contract It trades in 0 01 There is also a mini crude contract that is popular but it trades every 0 025 The energy markets are such a great candidate for the Footprint amp chart because of the volatility and the prices swings they experience The Footprint amp provides key insight into the underlying market dynamics and communicates this through color and shape It puts a face on supply and demand and allows you to trade with more
12. 00 11 15 11 30 11 45 12 00 12 15 12 30 FOOTPRINT TYPE Footprint Profile PERIODICITY 15 Minute 2 Aa 1 This Footprint is showing the delta shading E for at each price Red represents more aggressive selling Blue represents more aggressive buying Figure 4 22 Copyright 2007 MarketDelta LLC All Rights Reserved 88 MarketDelta Strategy Guide V 0 P 104 gt i x 10 Dita Vo1 Vo1 FP Sym 06 07 105 30 06 00 186 30 07 00 07 30 08 00 08 30 09 00 09 30 10 00 10 30 11 00 11 30 12 00 12 30 13 00 13 30 This Footprint Profile has the bid and ask volume colored the same color This works well if you just want to see the volume distribution shape and not see the delta color shading FOOTPRINT TYPE Footprint Profile PERIODICITY 30 Minute ir TERI Figure 4 23 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 89 5m 30m sp 4p Sp 10p Bxa p1ca vei vea 2 ses More 09 02 pais Te 11 07 30 07 30 07 32 07 40 07 45 07 50 20 13 06 01 105 290 105 285 105 280 105
13. 10 09 12 os is 09 15 09 18 09 24 os zs os zs 09 32 Test new highs closes on its low and 843 0 4 the very next bar shows signs of selling 842 8 FOOTPRINT TYPE Delta Percent PERIODICITY 10 Price Market sells back down to the high volume area from earlier before finding support Buying enters at low andis followed by very strong buyers The bottom row of data is the delta for each bar Provides an additional way to monitor each bar for buying and selling Figure 4 4 Copyright 2007 MarketDelta LLC All Rights Reserved MarketDelta Strategy Guide Footprint V 1700 841 5 918x0x782 06 11 09 18 45 41 1 Img x 1m su 3p 10 Pxea vea vez Moze 06 11 08 47 08 48 08 49 os si 08 52 08 55 os s7 08 58 09 00 09 01 os oz os os os oe os os 0 10 09 12 0 12 09 14 09 15 09 15 09 16 os i7 09 18 8 E 13462 FOOTPRINT Footprint Profile is 4 Looks like a good breakout attempt but sellers are 134429 PERIODICITY 377 Tick certainly showing supply Notice the P shape to the breakout The very next bar is unable to trade higher and the sellers began to show their strength Value Area High Value
14. 50 mix It creates a striped pattern in the bar striping is often present non trending and rotational type markets and very often when they are trading WITHIN the value area This pattern should be viewed as confirmation of a market that currently lacks the ability to move directionally To go a step further it s critical you have an idea of what to expect from the trades you place When present this pattern will give clues to what type of market is developing and makes you more aware of what to possibly expect more of the Copyright 2007 MarketDelta LLC All Rights Reserved 122 MarketDelta Strategy Guide same rotations breakout or trend If candy striping appears within a market that is trending it could be showing signs of a change in momentum or a pause in the trend Is does not signal a reversal but rather a pause in momentum Price could consolidate and continue in its original direction after digesting volume and bringing in other participants striping is a pattern that often results in price returning to the point from which it started the previous candy striped bar i e Price run lacks conviction This can happen within the actual candy striped column or in a following column We have noticed that sometimes price might not return to the starting point of the candy striped column but rather return to a volume cluster within that column itself Figure 4 36 is a good example of
15. 58 3 658 2 FOOTPRINT TYPE Footprint Profile lt Aggressive selling enters at high 658 2 En PERIODICITY 200 Delta L En 657 9 657 9 657 8 0 inn inu 555 ioo ny ry 141 657 0 Outside Bar many times 656 7 a breakout in the L 656 6 656 5 direction of the delta that ER the ouside bar had offers 1 E a good opportunity In i 886 0 this case a blue delta showed buying so we H would be looking for H trades to the upside It is important that if taking this trade the delta for each bar be monitored The market consolidated near the highs after retracing but each bar was showing a negative delta This would signal more shorts gt T are entering the market at these levels FEE E i Figure 4 16 Copyright 2007 MarketDelta LLC All Rights Reserved MarketDelta Strategy Guide M Delta Footprint GCQ7 V 0 P 657 2 0x0x0 06 13 12 29 01 96 gt i1 2m Sm som 3p 4p Sp 20 psa vez vez ses 10 57 10 59 11 06 11 16 11 25 11 51 51 11 52 11 52 11 56 11 59 12 08 112 14 12 17 12 17 12 19 12 23 12 23 12 28 12 29 12 29 13 13 657 1 657 1 221 FOOTPRINT TYPE Delta eae PERIODICITY 100 Delta E 656 6 Delta Divergence outside of value indicates a 656 6 high probability of a reversal It was immediately med confirmed by the next
16. All Rights Reserved Footprint Strategies 93 M cle gt fu x 4p 10 p1sa vez vez FP 06 08 03 48 04 05 o4 23 04 24 04 31 04 35 04 36 04 40 04 41 05 05 05 06 05 11 os is 05 15 05 15 05 16 05 31 05 48 05 49 1 3401 1 3400 m 1 33 d 1 FOOTPRINT TYPE Footprint Profile 1 333 E PERIODICITY 300 Delta a a 1 3394 1 3393 1 3392 1 3391 1 3390 1 3389 1 3388 1 3387 1 3386 1 3385 1 3384 24 RS 1 22 Hg The beauty of the delta periodicity is shown ln here Even though volume increased and 1 3373 1 3378 price traded higher than the previous TWO bars it still maintained a NEGATIVE delta and LE would have provided reason to stay short TH 1 OOO nod CELEI i MN Delta remained negative the 1 3327 whole way down and turned 1 3325 positive near the low to Qo o o o NN OOO DOORN gu Figure 4 26 The ES is certainly one of the most popular instruments traded using the MarketDelta amp and the Footprint amp chart For more examples visit our Strategies page Timely market examples at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights
17. Area Low Using the color at the bottom can be a good way to monitor a trend as it is developing 00 m Figure 4 5 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 53 4 3 Dow mini Dow YM Summary The YM is a great instrument to use all the Footprint amp strategies throughout this guide It offers good liquidity volatility and momentum all key components to making the most of the Footprint Core Principles Reversals can offer high return low risk entry points Identifying them can be difficult but using the delta can help spot good opportunities and provide a way of following volume and the direction of order flow as the market reverses and begins moving the opposite direction Delta is the net buying or selling that took place for a given price or bar It is calculated by monitoring all the tick data and determining who initiated the trade buyer or seller If more buyers initiated trades then there is a positive delta If more sellers initiated trades then the delta is negative Bar delta is the sum of all the Footprint amp delta s for a particular bar There are many ways this can be used One strategy is to confirm price direction As price is trending up you would like to see a positive delta for each bar to confirm that aggress
18. Inc and have been licensed for use by the Chicago Mercantile Exchange Nasdaq amp E Mini Nasdaq 100 are registered trademarks of the Nasdag Stock Market Inc and are licensed for use by the Chicago Mercanitle Exchange Dow is a trademark of Dow Jones amp Company and licensed for use by the Chicago Board of Trade Market Profile is a registered trademark of the Chicago Board of Trade Other brand and product names are registered trademarks or trademarks of their respective owners 4 MarketDelta Strategy Guide Table of Contents Foreword 0 Part Testimonials 7 Part Il Strategy Guide Overview 10 Part Ill Anatomy of a Footprint 15 1 Bid Ask Footprint e tects aaan a 17 2 Footprint Profile 5 2 c 2 19 3 Delta Footprint Tete a 21 4 0 Lem Lec 24 S Volume Footprint ELI D 27 6 Understanding 29 Part IV Footprint Strategies 38 1 S amp P 500 6 01 25 552252 542 eoe 42 2 Russell 2000 e mini
19. Reserved 94 MarketDelta Strategy Guide 4 12 Stocks amp ETF s Stock amp ETF Summary A majority of the traders using MarketDelta amp and the Footprint amp chart up to now primarily trade futures Until July 6 2007 stocks could not be shorted on the down tick An was uptick is required in order to short stocks This rule has been repealed and should be good new for those interested in trading stocks using MarketDelta More information on this topic can be found here If you trade stocks in countries outside the U S you should understand whether an uptick rule exists The uptick rule does not effect the total volume at each price so viewing the Footprint amp Profile or volume Footprint amp can be a very good choice for markets that contain an uptick rule ETF s do not have an uptick rule Core Principles MarketDelta can be used by traders who like to time entries exits follow reversals and take advantage of breakouts The Footprint amp provides an innovative view for market timers using color shading to express buying and selling Shades of blue represent more buying and shades of red represent more selling at each respective price Market timers are looking for clues as to what the market will do next in order to take advantage of their knowledge The goal is to get in on the move early The Footprint amp gives a unique perspective because it allows market timers to see HOW the price is trading not ju
20. apparent accumulation is taking place Buying clusters will be sequential blue usually the darkest blue Footprints amp back to back Other times it can be assumed to be a general area of the chart Selling clusters These are areas within a bar or series of bars where there is apparent distribution taking place Selling clusters will be sequential red usually the darkest red Footprints back to back Sometimes it can be assumed to be a Copyright 2007 MarketDelta LLC All Rights Reserved 118 MarketDelta Strategy Guide general area of the chart where the Footprints amp are not back to back Footprint AX U7 DT V 513 P 8105 5 265x0x248 07 06 11 15 19 45 gt u x 1 8 30 3 4 5 10 1 01 ses 2 Moze M 07 06 03 30 09 32 09 34 09 41 09 48 09 57 10 05 10 09 10 22 10 26 10 31 10 31 10 37 10 49 11 12 11 15 11 20 11 20 Selling Cluster near high of 8119 5 day as seen by all the dark red 21 2 5 Footprints 8118 0 Lg4 7 f EE gp Figure 4 34 Cluster Strategies A popular cluster strategy is to first recognize what stage of development the market is in rotational consolidation or trend Ask what has the market been doing up until now Trending or rotating back and forth Look to see if cl
21. bar trading back within 656 3 value on increased volume and a negative delta j 656 3 656 2 656 1 656 0 Value Area High Value Area Low Example of aggessive selling below the value area but the bar is short only consists of 4 prices meaning there was demand at that level to soak up the selling Figure 4 17 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 77 4 8 Grains Grains Summary Grains have just started trading electronic during the day session in the last few years and have already attracted many market participants They provide great opportunities for traders and investors looking for alternative investments With respect to MarketDelta amp and the Footprint amp chart we will only consider the electronic contracts since those are the only ones we have tick by tick volume for in real time The grains have more of a seasonal volatility component compared to other markets so keep that in mind when considering the overall probability of large moves The summer months offer ample volatility to find some great opportunities Unique to These Examples The agricultural markets are prone to locking limit sometimes after reports show imbalances in supply or demand While there is nothing that can be done leading into reports like this except to be fl
22. direction of the trend These represent areas where aggressive buying or selling entered the market and could be an area of support resistance on a pull back especially if viewing longer term intraday Footprint amp charts But more importantly they are showing conviction at consecutive prices This is often a sign of dominant supply or demand and can provide a great way to monitor the trend or lack of trend CONFIDENCE CONFIRMATION Many traders have found the Footprint useful in following the trend and has given them something to lean on and not get shaken out at the slightest sign of price contention Seeing the flow of volume and painting it to the screen in the manner the Footprint amp does has been a breakthrough Copyright 2007 MarketDelta LLC All Rights Reserved 44 MarketDelta Strategy Guide for traders Volume is a very important component of trade and in a trend it is very crucial to know when volume begins to weaken and order flow reverse supply overcomes demand Footprint constantly monitors the flow of volume as price trends and will alert traders to the condition of the trend by a change in color Traders will be better equipped to make more timely and informed decisions because they will know more about the price trend Nothing is more visual and reflects true market sentiment better than the Footprint amp As price trends into an area of support or resistance the Footprint amp s
23. gives a clue when price is beginning to lose momentum because inevitably lighter shades appear When approaching an area of support resistance volume AND delta will signal a reversal or pause in the market A market can not keep going forever but it may rest retrace and consolidate before continuing the original move In Figure 4 2 you can see all the dark green Footprints as price rallied Notice as price pulled back during the retracement how it lacked the momentum and strength it had during the initial rally Consequently the rally resumed and carried price beyond the original high price and broke out with strong volume in the direction of the trend The Footprint amp assists in trend following in a breakthrough way Each Footprint amp measures the buy and sell pressure through a thermometer of color The color is automatically determined by whether more buying or selling occurred at each price and then automatically shaded dark or light Notice in the Footprint amp charts below how the color of each Footprint amp accurately reflects the general price direction of the trend Many times the price direction will be confirmed by the color of the Footprints For example in an uptrend typically you will see many more green Footprints The darker the green the more conviction on the buyers part to drive price higher In a down trend typically you will see many more red Footprints Look for blocks of dark reds or dark greens to confirm the
24. in the market who absorbed all the buyers demand Again using key reference points will help to uncover the moves that have potential to follow through versus the moves that will likely stop and reverse MARKET PROFILE amp MarketDelta can be very effectively used to help read the conviction and underlying market dynamics at key reference areas that you my have identified as well as the value area extremes point of control and initial balance area Combining the information that can be obtained from the Footprint amp chart with a thorough understanding of Market Profile amp can provide a powerful edge Market Profile amp provides context and consistently identifies key reference areas The Footprint chart provides real time context to what is going on when the market reaches those areas providing you with a perfect tool to compliment Market Profile amp at the execution level BASIC RULES FOR INTERPRETING PRICE amp VOLUME amp DELTA Volume should increase grow in the direction of a health trend In an uptrend volume should increase as price moves higher and decrease shrink as price retraces In a downtrend volume should increase as price moves lower and decrease as price retraces An additional metric the Footprint amp offers is Delta which is the net buying or selling at each price The delta is made visible through the color of the Footprint amp and the delta for each bar located at the bottom of each bar Pay special atten
25. is about the closest have come to true market transparency since being in a pit do believe it can be a very useful addition to any traders arsenal Damian H United Kingdom traded at the CBOT for 20 years scalping in the 30 year Bond pit have since been trading off the floor on a screen for the last five years related very much to one of your clients testimonials Since being off the floor have lost that edge of sight sound and intensity If their is a way to regain some of that by using your product then their may still be hope in saving a 25 year trading career have always felt that volume and price action along with who and how it is being traded is the key to trading off the floor Unfortunately have tried several products and wasted much to much money on indicators and software that were not even close have gone over your website and can honestly say have not seen anything even close to this Larry G Chicago got it all up an running today and watched many of your online video s This seems to be what have been looking for as a final confirmation tool have been keenly interested in volume and bid ask pressure This lets you see right through volume structure It helped me avoid two trades and see when to take two other trades Blair C British Columbia Just wanted to express my appreciation for bringing MarketDelta to market I ve been looking for its functionality literally for
26. is the shape it produces This can be very helpful in seeing where pockets of liquidity exist and see where all the volume is occurring Unique to These Examples Figure 4 22 and 4 23 are from the same date One chart is a 15 minute and the other a 30 minute Figure 4 22 shows the delta color shading In Figure 4 23 we just colored the bid and ask volume all the same color This shows the volume distribution without the delta color shading It works well for those who just want to see volume distributions in whatever time frame desired Figure 4 24 shows a Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 87 non time based periodicity of 1 8 of a point Each bar represents 8 ticks so once a bar trades outside the 8 ticks a new bar is created This offers a useful way of seeing how much volume occurs within price ranges as long as price does not trade outside that range Bars will be skinny and contain less volume if they traded the 8 ticks quickly and did not spend much time there Bars that are wide represent more volume traded and probably spent more time within that range This may offer a unique way to confirm a Market Profile b Footprint Profile ZN 0 P 104 255 0x0x0 06 07 09 45 73 Joe gt 11 x 1m 5m 30m 10 21 Vo1 Vo1 Fe Moze 06707 108 30 08 48 09 00 09 15 09 30 09 45 10 00 10 15 10 30 10 45 11
27. mind the market had just sold off 70 cents This latest attempt to push price lower was a little late and trades at that level were likely to get caught short in the near term at least until price consolidated for another potential move lower Figure 4 15 offers a great example of supply and demand at work Because new bars are only created when a delta of 250 has been reached the only thing that will advance a bar is more volume trading one direction This just means a delta of or 250 much be reached So as supply or demand enter the market this Footprint will capture it and provide an idea of whether it was aggressive supply selling or aggressive demand buying In Figure 4 15 we see the first rally was swift and without a whole lot of supply However we can see near the end of the move how the 9 06 bar was much wider because supply was soaking up demand AND it turns out this bar closed with a negative delta This is keen insight for the astute trader In the second attempt to trade higher at 9 32 and 9 33 we see blocks of aggressive buying dark green which covered just a few prices While this is perceived initially as aggressive buying because of the color the underlying fact is there must be large supply present to soak up all that demand within just a few prices This is where it gets interesting Price could continue to rally and it will be very important to see some follow through in the very near term with a positive delta H
28. prices 22 etc Seconds Time based bars composed of any number of seconds Minutes Time based bars composed of any number of minutes Days Time based bars Day bars are relevant only for multi day viewing periods and allow multiple day bars to be seen on a single profile Volume based periodicity consists of two different choices Volume builds each bar based on a set level of volume you specify For instance specifying 10 000 will create each bars that consist of 10 000 traded contracts or shares This periodicity normalizes the bars with respect to volume There will be times when it might take a long time to trade 10 0000 contracts and there will be other times that 10 000 will trade in a relatively short period of time Of course you can set this value to whatever volume level you want e Volume Activity based bars composed of any amount of volume Each bar has Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 31 equal amount of volume Trades can be split into multiple bars Volume Bars are volume driven bars with each bar having a required minimum volume Once the volume requirement is reached the next tick trade will initiate a new bar and become the opening price of that new bar A 3000 Volume Bar chart of ES with volume can be seen here Notice that the volume of every bars is essentially the same All bars have the required volume of 3000 with some havi
29. so 4438 4437 4436 4435 4434 4433 4432 44318 Breakout occurs aggressive buying 4430 cf 4429 and expanded volume A bar chart isn t 42 going to show you this 4424 Follow through buying confirms the 2425 breakout until the market settled down 4421 after rallying 20 points 4420 4419 4418 4417 4416 4415 4414 4413 4412 4411 4410 _ 4409 4408 E 4407 4406 E 4405 Bi 4404 4403 4402 4401 4400 4399 4398 4397 3386 Large increase in volume at 4394 Until the breakout higher the day consecutive prices near highs have been range bound and of range and value area trading within the value area Positive delta for the bar Copyright 2007 MarketDelta LLC All Rights Reserved 66 MarketDelta Strategy Guide Delta Footprint ET M7 DT V 0 P 4426 0x0x0 06 12 09 38 06 32 Jog gt ui x Sm 4p 10 xA p1sa vez vez Moze 06712 07 02 07 10 07 21 07 23 07 26 07 44 07 49 08 58 09 01 03 05 09 17 09 18 09 22 03 28 09 31 09 38 4424 4424 4423 FOOTPRINT TYPE Delta 4423 2222 PERIODICITY 5000 Delta 2222 Caught the reversals because this is where the order flow changed Negative delta the whole way despite have a few attempted moves higher Each bar closed at or near its lows AND traded
30. the Delta periodicity to see who is in control of the near term auction This provides an excellent way to monitor the strenght of the market bar by bar and time your entries and exits The top row is the total volume for each bar and the bottom row is the delta This is the of volume done in the dominant direction Figure 4 11 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 63 4 5 EuroStoxx 50 EuroStoxx 50 Summary The EuroStoxx 50 is a futures contract based upon 50 of the largest companies in the Euro zone In the opinion of many it is similar to the S amp P 500 in the US except it is comprised of 50 European companies It offers a great deal of liquidity and many trading opportunities It is not as volatile as the Dax but can experience some quick sharp moves It trades in full prices so that has some effect on the short term volatility This market is traded by institutions speculators and proprietary traders alike The EuroStoxx 50 tends to have less volatility due to the liquidity provided Because this is a European instrument it tends to have 2 surges of liquidity during the day The first during the open in Europe and the second during the US open For traders in the US this can offer the opportunity to trade this instrument during normal hours an
31. the near term Understanding this adds clarity to why so many e mini traders employ the Footprint amp chart In fact really any market that has significant price swings and some volatility are excellent candidates for the Footprint amp chart For markets that lack price volatility and are more of a volume trade trade lots of volume but don t have large price ranges typically different Footprint amp types and or strategies will be better employed See the 10 Yr Note for an example of a lower volatility market Core Principles TRENDING The definition of a trend is higher highs and higher lows for an up trend and lower highs and lower lows for a down trend A combination of the two would represent a sideways market In the definitions just given there is no mention of volume However volume is a key piece of information when determining STRENGTH of the trend Current charting methods only allow for measuring of volume with respect to time None take it a step further When the market is trending down you should expect to see dark red Footprints amp and dark green Footprints amp when the market is trending up These dark Footprints amp Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 43 should comprise most of the bar A sign of a strong trend is when the high low prices of each bar are the darkest color green for up trend red for down trend Watching these extreme prices in each bar
32. typical price action that results in this pattern Candy striping is one of the easiest patterns to recognize from the Footprint amp and will give traders a new pattern from which to trade This pattern will not show up in any other kind of chart Only the Footprint amp provides this insightful view of market dynamics Copyright 2007 MarketDelta LLC All Rights Reserved 123 Footprint Strategies 1 E 2 3 3 8 8 4 C AO CN ON FO NI 0 00 E ON 00 AIT OM D PO s 4 Ov E KO D PMN AONDA ONTO NAINA UD TMN a an d 00 00 00 00 00 00 00 00 00 d d d d d A A A O O O 0 O 0 0 0 MAD a ava 01 00 00 m 00 e 00 00 00 00 CO UDAD LD LD LD LD LO UD LO UD UD UD UD UD UD D UD UD KD D D D KD D 10101010 D D D UD D LO LO D D UD UD KD LO D UD D D UD UD S ss i st gigi qi gi qi tat at tot dt tt ttt 00 00 00 00 60 60 00 60 60 0 00 60 00 00 00 60 00 00 00 00 0 00 0 00 00 0 00 0 0 00 CO ly tance area ern within the developing value area Is Is supp ing patt hs of the value area ig d volume Th meeting demand at this key resi
33. x sm 4p se 1 Bisa ve1 Vei ses More os 30 os ss o8 4s 08 47 08 47 os oo os os os os os 1i 09 13 09 25 09 25 os so 09 32 os ss 09 40 10 13 10 18 10 25 10 27 10 27 10 31 10 41 06 11 13583 13583 13582 13582 FOOTPRINT TYPE Delta Aggessive selling see clearly 13882 13579 PERIODICITY 200 Delta as price probes to new highs 1378 13577 Closed low of bar 12272 13574 13574 13574 Figure 4 6 Copyright 2007 MarketDelta LLC All Rights Reserved 56 MarketDelta Strategy Guide DeltaDivergence YM 377T Dow E Mini 5 377 Tick Bar Session 0 x YM 377 06 11 07 10 06 13 CL 13543 13536 Hi 13544 Lo 13531 377 Tick Candlestick chart with our delta divergence indicator applied It cleary helps to uncover instances oe where the near term order flow was in contention with price 4 n i x s i ly Fri Mon 13800 6 8 611 F 3771 102 00 amp REF YM 377 0 00 400 Delta for each bar 300 1250 200 150 100 50 o 50 100 150 200 250 300 350 450 08 33 08 42 08 48 08 59 09 10 09 18 09 28 09 37 09 51 10 13 10 30 10 48 11 11 11 50 12 09 12 22 12 48 2 i Figure 4 7 To add the indicator s
34. years It truly is an important innovation especially for day traders Its ease of use flexibility in tailoring the settings as well as the clarity of its displays are excellent That said what is most significant by far is the positive effect MD is having on my trading You talk about MD enabling a better feel for the market s action For me and I m still in the early stages of tapping MD s potential this feel has already translated into more confidence and better Copyright 2007 MarketDelta LLC All Rights Reserved MarketDelta Strategy Guide timing on my entries less anxiety in staying in my trades and better results on exits whether it s in cutting my losses or increasing my profits Bob A Toronto MarketDelta is just about the most amazing tool have ever used As a former floor trader was used to gauging the speed and direction of a price move by observing volume Large and knowledgeable institutional traders are often the first to act in anticipation of big move and on the floor could see it all both the intensity and extensity of these traders buying and selling Since the electronic medium is anonymous and spoofing is so common these days a tool like MarketDelta has proved to be of invaluable help am able to gauge the same patterns and feel that I had from the floor using this most amazing program If you are a tick trader or scalper you gotta have to have this incredible piece of soft
35. 007 MarketDelta LLC All Rights Reserved Footprint Strategies 113 Below we see the Segmented Market Profile amp View BSEBHZBSSHSEHBHBHOH Profile splits lower k k k k k k 0 deos oc 9 30 min periods 12 30 min periods rrr Aog The profile split when p bracket 1100 1130 with my settings broke the range of the previous 9 30 minute periods Copyright 2007 MarketDelta LLC All Rights Reserved 114 MarketDelta Strategy Guide Below we see the Traditional Market Profile amp View Odeflm cdefklm CANO KIO cOetOhklm edefghkOm 8018 m iklm jOmO ERIT hijn 101 jn jn n o 9 tudw OOvOx yOF I T I E 0 0 0 Ot HH M Copyright 2007 MarketDelta LLC All Rights Reserved Split Lower 9 675 3 675 0 674 7 674 4 674 1 673 8 613 5 673 2 672 9 672 6 512 3 672 0 571 7 671 4 671 1 670 8 670 5 670 2 669 9 669 6 669 3 669 0 668 7 668 4 668 1 667 8 667 5 667 2 663 0 662 7 662 4 662 1 Footprint Strategies 115 The picture below shows the corresponding Footprint Chart File Edit Setup Control Open Window IQFEED Help 1 10 30 10 35 10 40 10 45 10 50 10 55 11 00 11 05 11 10
36. 04 18 04 20 04 23 04 25 04 27 109 98 109 97 109 96 109 95 109 94 109 93 109 92 109 91 109 90 109 89 109 88 109 87 109 86 FOOTPRINT Footprint Profile PERIODICITY 15 000 Volume Bottoms and Tops will more often be composed of longer bars than mid range pivot points This would represent the extreme prices being rejected Delta turned positive blue on the next bar and remained so after putting in a low of day LOD Figure 4 20 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 85 int Pro GB 0 P 110 64 Ox gt To Ts 80m 55 450 20m ea M 067 08 43 5 FOOTPRINT TYPE Footprint Profile PERIODICITY 15 000 Volume All the volume is occuring within only a few prices for these two bars This is a sign of supply and given it is the HOD this could produce some movement in either direction Figure 4 21 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved 86 MarketDelta Strategy Guide 4 10 10 Yr Note US 10yr Treasury Note Summary Users of MarketDelta amp who trade any fixed income market besides the Bund should probably consider using the Footprint amp chart in a slightly different manner than is primarily talked about throu
37. 1 0 7594 0 7590 0 7833 0 i Em 7583 0 7592 0 7588 0 7591 0 7587 0 7590 0 E fil 7586 0 7589 0 7585 0 7588 0 7584 0 7587 0 7883 0 7586 0 LN 7582 0 7585 0 7581 0 7584 0 7580 0 7583 0 7579 0 7582 0 7578 0 7581 0 H 7577 0 7580 0 7576 0 7579 0 7575 0 7878 0 P 7574 0 7577 0 7573 0 7576 0 7572 0 7575 0 i 7871 0 7570 0 7573 0 7569 0 7572 0 7568 0 7571 0 7567 0 7570 0 7566 0 7569 0 7565 0 7568 0 7564 0 7567 0 3 7863 0 7566 0 7562 0 7565 0 1 7561 0 7564 0 Breaking out with expanding j i 3561 0 7563 0 4 le 7559 0 72600 and negative delta aggressive scl g 7561 0 7557 0 28180 This move had Du imus E id 7559 0 7555 0 7558 0 1 each bar maintaine ik i beer EH and closed at or near i 7553 0 7555 0 7551 0 7554 0 7550 0 7553 0 7549 0 7552 0 7548 0 7551 0 m 7547 0 7550 0 7546 0 7549 0 7545 0 7548 0 7544 0 7547 0 7843 0 7546 0 7542 0 7545 0 7541 0 7544 0 7540 0 7543 0 7539 0 7542 0 7538 0 7541 0 7537 01 7540 0 7539 0 7538 0 9 Figure 4 9 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 61 5 5p 20 pica vor vex s 105 45 05 48 05 53 05 55 05 59 06 02 06 04 06 08 06 12 06 16 06 24 06 26 06 28 06 30 06 33 06 36 06 39 06 43 06 49 06 51 06 54 oe ss FOOTPRINT TYPE Delta ae 70 PERIODI
38. 20 0x0x0 Max gt x 3p 4p Sp 10 Bua D1ta Vo1 vo1 5 07 06 10 20 10 50 11 20 11 50 12 20 12 50 13 20 13 50 14 20 14 50 15 20 15 50 Os 106 25 106 25 106 24 106 24 106 23 106 23 106 22 Previous day value area 106122 10621 10621 106 20 106 20 106 19 106 18 106 17 106 16 106 15 106 14 106 13 106 12 106 11 106 10 Ec Hu m 106 03 1 E 106 02 106 01 I 106 01 106 106 105 31 105 31 105 30 105 30 105 29 105 29 105 28 105 28 105 27 105 27 105 26 105 26 105 25 105 25 105 24 105 24 105 23 Each gold bar shows the current days developing value area Use 105 23 108 25 this go see whether volume is expanding or contracting at levels Figure 4 33 Here is a 1 hour video presentation that was done for the Chicago Mercantile Exchange on Using Volume to Confirm Market Profile amp 65MB Windows media file Copyright 2007 MarketDelta LLC All Rights Reserved 106 MarketDelta Strategy Guide 4 13 1 Advanced Market Profile Strategies Variable Profile Splitter used in conjunction with the Footprint Note This strategy originally was posted to our blog This strategy uses the Variable Profile Splitter within the Footprint amp chart and shows step by step how to set it up and then how to read the results 1 You will need to define two conditions in the Preference
39. 275 105 270 105 265 105 260 105 255 105 250 Footprint Profile Preferences t3 General Period Columns Colors Lines Options Chart Volume At Each Price Breakdown by Ask vs Bid gt Delta Consider Only Trades w Volume Y Price Range of Each Row Automatic Show All Realized Prices Custom Range Bar Periodicity 8 64 Range bd Footprint Footprint Profile Chart Name Profile Cancel Apply This may show on your preferences as 40 320 It is the same ratio as seen here and will look the same This periodicity will draw each bar as 8 ticks in length It is helpful to see where the market traded quickly and did not trade much volume versus areas that produce a lot of liquidity and produce fatter profiles Works will in conjuction with a Market Profile ZN F 06 01 Dita mmm FOOTPRINT TYPE Footprint Profile PERIODICITY 8 64 Range mM n Figure 4 24 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved 90 MarketDelta Strategy Guide 4 11 Currency Futures Currency Futures Summary All examples of currencies use the currency futures contracts Spot forex cash market does not dissem
40. 3 0 74x108 34 182 SOLES 128x135 77 263 4 E 161x174 238 179x142 37 122 302 74x16 204110 mE 143 200 x28 352 176 93x278 EET 2 ru 2 s 3 Value catches up s 126211391 gt price and the auction ends 215x315 9 165 60 105 225 0 6 m50 00 34 2 119 70 749 189 0 58 2 26 2i 99 24 28 123 0 38 97x515 45 68 eg Y 3 80 29 81 109 0 38 36 6 30 is 2 30 662 6 4 4 0 0 221 a 662 5 62 5 662 4 19428 19428 0 130 111 222 225 s2 E Please contact MarketDelta and ask for Brian if you are interested in learning more about the Variable Profile Splitter and its applications Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 117 4 14 4 14 1 Miscellaneous Strategies Volume Cluster Volume Clusters These are areas on a chart where price rotates back and forth and distributes volume These are best seen on the Footprint amp Profile They often become support or resistance during pull backs in trending markets Using the cumulative profile on the Footprint amp located on the far left of the window allows a trader to spot longer term trading opportunities Selling clusters can confirm reversals and provide confidence that the market is truly reversing See Figure 4 34 below for an example Buying clusters These are areas within a bar or series of bars where it is
41. 3430 Joe gt ME 1m 5m 30m p 4p 10 Bal Deal ve1 Max Ses BA 7 105 05 08 47 09 04 09 31 10 04 1515 75 With Range Bars and Change Bars new bars will only be formed when price is moving When prices gets stuck in a tight range for an extended period of time horizontal screen real estate will not be wasted with multiple bars that would have formed had the periodicity been volume or time driven For Range Bars the high low range of each bar is essentially held constant while time and volume are variables Copyright 2007 MarketDelta LLC All Rights Reserved 34 MarketDelta Strategy Guide Change Volatility based bars composed of any change of price Change bars are price driven bars with each bar having a required minimum open close change in either direction Once the change requirement is reached the first tick to break outside that change will begin a new bar and become the opening price of that new bar 0 50 change Bar chart of the ES is seen below Notice that the magnitude of the open close change of each bar is 0 50 Also notice that each bar opens at a price outside of the open close range of the previous bar And last notice that each bar closes at either it s high or it s low These are the three rules of range bars e Each bar must have a open close change equal to the change specified The open close
42. 5 11 15 11 45 12 15 12 45 13 15 371 35 71 30 71 25 71 20 71 15 71 10 71 05 71 00 70 95 70 90 70 85 70 80 70 75 70 70 70 65 70 60 70 55 70 50 70 45 70 40 70 30 70 25 70 20 70 15 70 10 70 05 70 00 69 95 69 90 69 85 69 80 69 75 69 70 69 65 69 60 69 55 7 101 69 50 69 45 Footprint Profile chart compliments breakout and confirms the aggressive buying was present before during and after the breakout blue delta color shading of volume bars at the bottom meg E 1 Height is volume color is delta blue if positive red if negative 74 Figure 4 30 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 103 b MarketProfile ZB F 30 Market Profile Last 8 Days INCOMPATIBLE SESSION Wee 2007 All Rights 2 Naked POC POC from previous day that was not touched until now L EFL CEFKL Initial Balance ae DUL BCDEFGHIJ 107 06 107 05 107 04 107 03 Bn Value Area 1070357331107 106 31 106 30 106 29 106 28 106 27 106 26 106 25 15724 07 05 106 24 106 23 106 22 106 21 106 20 106 19 KLMPO 106 18 BCD REV 106 17 07709 106 17 BCDEGHIJKLMNPO 106 16 ABDEGHILMN 106 15 ABEHILMN 106 14 106 13 106 12 106 11 106 10 106 09 106 08 06 07
43. CITY 1000 Volume 7599 Additional Trend Line Resistance Support at 7555 00 Moze 20000 healthly breakout should be confirmed by the color contained in both the Footprints and the cumulative bar delta at the bottom t What was short term resistance urned into a support zone 7550 7549 7548 2 7847 CA 7546 Notice that the bar delta during the consolidation was positive This is a good sign for further upside Figure 4 10 Copyright 2007 MarketDelta LLC All Rights Reserved 62 MarketDelta Strategy Guide M Footprint Delta AX M7 DT 512 P 7690 0 1130x0x1382 n E3 x S 3p 4p 10 D1 ca vea vez sax ses 8 1 06 11 p2 27 02 29 02 30 02 33 02 37 02 40 02 41 02 41 02 46 02 46 02 47 02 48 02 49 02 55 02 56 02 56 03 04 03 05 03 05 03 05 03 05 Here is stop order being triggered FOOTPRINT TYPE Delta PERIODICITY 150 a very large buy order that is going to g gt the market on the breakout We can see the volume at the bottom of the column This is an example of using
44. Duration A 112 9 Session Override b b 20 Natural Gas NYMEX am 2 10 pm Mon Fri volume Bars Overlay Volume Bars On Profile Background Coo Chart Name MarketProfile 24hr Cancel Copyright 2007 MarketDelta LLC All Rights Reserved 110 MarketDelta Strategy Guide Here are the same Variable Profile Splitter in the Traditional Market Profile View Et UV j 676 8 OUOWZ j 676 5 TOVOOO 1 676 2 2 ijk AQ 675 9 YOO 100 675 6 ijktus vOOHIMPOSR 1675 0 000 ijkrOtO 0800000000 674 7 acde iknrstu HIJEN 674 4 ce 0 H 674 1 e fhikmnqO fghikmnqr bis e fgOOkm00qr 673 2 OghiklmnpO 672 9 e fOhiklmnp BT8 B5 fghkOmn Bie 3 klm 672 0 klm a dus klm 671 4 lm EE lm Em 10 5111 amp lm anml o gs 669 9 Strategy and Application When the profile splits several possibilities could occur the market trades sideways the market pauses and reverses the market immediately stops and reverses or the market will drive in the direction of the split We recommend using the Footprint amp Chart to help gauge the success failure of the split breakout In this case study we use the CBOT August 07 Gold contract on 6 6 07 and 6 7 07 The first example on 6 6 07 shows a pause and reversal from the split breakout as not enough aggressive sellers stepped in to drive the market lower
45. LC All Rights Reserved 92 MarketDelta Strategy Guide Footprint Profile 6E V 0 P 1 3492 0x0x0 06 05 09 21 26 27 u x 12 sm son 3p 4p 10 Pxea ve1 vez ses sa Syn Moze 06 05 103 54 05 17 06 40 06 54 07 07 07 17 07 19 07 26 08 07 08 41 09 00 09 00 09 01 os os 09 17 09 21 09 48 10 01 10 31 3564 3563 FOOTPRINT TYPE Footprint Profile panes PERIODICITY 10 Price 3559 3558 3557 3556 3555 3554 3553 3552 3551 3550 3549 3548 3547 3546 3545 3544 3543 3542 3541 3840 3539 3538 3537 3536 3535 3534 3533 3532 3531 3530 3529 3528 3527 3526 3525 3524 3523 3522 3521 3520 3519 3518 35178 3516 3515 3514 3513 3512 3511 3510 485091 3508 3507 3506 3505 3504 3503 3502 3501 3500 3499 3498 3497 m The volume increased signficantly as price began to trade away from the high Also the selling is seen increasing dark red Footprints a Pree 1 As volume dried up the market went into consolidation and began to trade within a range Volume increased as it looked like price would breakoutto the downside but there was enough demand to turn price around and auction it back into the range Figure 4 25 Copyright 2007 MarketDelta LLC
46. OD etc we see instances of brief illiquidity with stop orders being triggered and producing price volatility In Figure 4 21 resting limit sell orders supply is absorbing demand This is powerful information because those buyers are most likely looking for near term follow through to the upside and if price does not begin ticking higher they will be caught long at the highs By also applying the color of the Footprints amp within the range the bar delta the high volume price within the bar and whether it is higher or lower than the previous bar a trader is armed with added information to judge the auction being facilitated within the market As the market trades it is searching for a place that it can facilitate trading All this means is buyers and sellers are searching for an area where they can agree and trade the most volume As the market searches for this level price is pushed around by all types of traders big and small longer term and short term buyer versus seller Highs and lows could be viewed as unfair prices or prices that were quickly rejected and thus could not facilitate sustained trading With all this in mind using the Footprint amp Profile provides valuable insight and clues to where the market is more likely to trade and establish value volume Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 83 Complimentary Strategies amp Uses Using the delta periodicity can pr
47. a unique manner and has provided professional traders a methodology to base their trades upon for the past 25 years Market Profile amp provides a graphic that is statistically based and provides a very good way of organizing market data into distributions As a session progresses learn to determine who is attempting to influence the market the other time frame participant or the day time frame participants As traders become more aware of specific Market Profile amp patterns and setups it becomes obvious how complimentary the Footprint is at providing traders with a way to qualify trading opportunities see on the Market Profile Market Profile amp MarketDelta amp Greater Awareness amp Increased Transparency Our Market Profile amp offers many features you won t find with other vendors One of the most important is the Footprint amp chart is built into the charting software allowing traders to confirm entries and exits by zooming on how the market is trading at key levels and helping make more informed decisions Market Profile amp will help determine where to trade and the Footprint amp will help determine when to trade Many traders use Market Profile amp to display the overall structure of the market and gauge value MarketDelta compliments this by gauging volume and order flow to help determine whether or not what you are witnessing on the profile can be trusted You can then use MarketDelta to assist in
48. ab Footprint Type Delta Percent Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 25 Delta Footprint 100 1523 50 The number within each 1 56 1523 25 Footprint is a PERCENTAGE of 1 54 1523 00 volume transacted on the T dominant side of the market 1 66 1522 75 So a green 56 would represent 1 100 1522 50 56 of the volume was traded 1 90 1522 25 at the Ask price and the result 91 1522 00 of aggressive buyers 1521 75 1521 50 1 56 1521 25 EN 1521 00 Red Footprints show more 1520 75 aggessive selling i 50 1520 50 Green Footprints show more BSE 1520 25 aggressive buying 50 1520 00 EM 1519 75 This Footprint types normalizes 1519 50 the values into percentages 1519 25 1519 00 EN 1515 75 100 1518 50 STRATEGY A general method for utilizing this Footprint amp would be to look for bars where the values are increasing in the direction of the trend For instance when price is trading at higher and higher prices are the Delta Percentages are increasing as well This would serve to confirm that more and more volume is occurring at the ask price signifying the aggressiveness of the buyers to get into the market This provides key insight to when a market is beginning to come into equilibrium STRATEGY Another strategy would be if the Delta Percentages are very neutral between 50 and 60 at a breakout level then the chances increase that the breakout will not hold and
49. an be tallied in the five methods listed above The basic idea of volatility based periodicities is that time is not considered in the construction of a new bar If the market does not move around enough to meet the criteria for the periodicity chosen then a new bar is NOT created e Prices Volatility based bars composed of any number of prices Similar to range bars except the magnitude is expressed in number of prices instead of actual price range Range Volatility based bars composed of any range of price Each bar has the same high low range Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 33 Here is an example of a 2 0 range bar for the ES This would be equivalent to 2 point or 8 ticks in the ES Also notice that each bar opens at a price outside of the high low range of the previous bar And last notice that each bar closes at either it s high or it s low The way this would be entered for the Footprint chart would be 1 75 Range These are the three rules of range bars Each bar must have a high low range equal to the range specified The high low range of a bar can exceed the range specified in certain situations gaps but can never be less that the range specified e Each bar must open outside the high low range of the previous bar e Each bar must close at either it s high or it s low M Footprint ES F V 7911 1509 50 4481x0x
50. and changes in market activity Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 17 3 1 Bid Ask Footprint Bid Ask Footprint amp Displays the number of shares or contracts that traded on the bid price and the number of shares or contracts that traded at the ask price in real time and in the periodicity you want As the bid and ask change with price the Bid Ask Footprint amp adjusts accordingly They display as cumulative BID traded volume x cumulative ASK traded volume Example 1000 400 is a spacer not a mathematical operator in this notation Click the BxA button at the top of the Footprint amp window to view This Footprint amp will help you keep track of the market action as it happens Better follow how the volume is coming into the market and driving price change Follow volume and momentum as it happens and let the color tell you who is being more aggressive buyer or seller Footprint amp shows whether the volume was on the bid side or the ask offer side Confirm who is in control at key price levels e See how many shares contracts traded e See how many orders where involved The Footprint amp provides context to all the price volume and order flow in any time frame you want and presents it in a simple easy to read display This allows the trader to be nimble and focus only on what is important but still have the capa
51. ange or a cluster of dark red Footprints amp come in at the bottom of the range Probability suggests these are traders playing for the breakout and will be wrong They are Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 39 being met with adequate supply to overcome their demand Eventually a breakout will ensue but in the interim it is much wiser and certainly more profitable to trade the probability of price mean reverting from the range extremes Another way to verify this more precisely is to use the Delta Footprint amp and note the delta percent at the bottom of each bar Other times volume may simply dry up as it approaches support or resistance This is good information as well because typically breakout s do not occur on light volume Figure 4 9 shows an example of rejection and a breakout This can be signaling a reversal or pause in the market The Footprint amp Profile is an excellent tool for spotting these opportunities because you can visually see the volume price by price and the delta as well BAR DELTA This is the sum of all the Footprint amp deltas for a particular bar There are many ways this can be used One strategy is to confirm price direction If price is trending up delta should be positive for the bar to confirm aggressive buying is driving and supporting price thus sustaining the trend The reverse is true for a down trending market There should be a negativ
52. at the Footprint amp can show how a market is trading at those levels and provide you with and idea of how much traded at which prices and if it was the result of the buyer or seller being more aggressive In Figures 4 17 1 and 4 17 2 we see a soybean market that was locked limit up Trading began to occur and then came off limit and quickly traded lower Only the Footprint amp will allow you to see this information and make you one of the most Copyright 2007 MarketDelta LLC All Rights Reserved 78 MarketDelta Strategy Guide informed traders in your marketplace M Foot Jee gt Jit gt 2m 5m 3p 4p s 10 1 1 1 Max Ses Ba Sym toze 892 75 892 50 892 00 656 m 891 75 917 Market finally comes of the 891 50 263 imi i i 891 25 H limit bid and quickly falls 891 00 2056 i 890 75 890 50 32 i 890 25 27 i 890 00 142 889 75 889 50 1 i 889 25 3 i 889 00 2 Soybean market limit with trading 588 50 5 occuring Only the Footprint will show H 888 00 96 you this detailed information so you H 887 75 185 987 50 BERE can better gauge supply and demand H 887 25 540 a 887 00 851 i 886 75 592 a 886 50 650 886 25 1081 i 886 00 1267 a 885 75 1769 I 885 50 1120 i a 885 25 892 885 00 1518 i Figure 4 17 1 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 79
53. bility to reference past data at any level Copyright 2007 MarketDelta LLC All Rights Reserved 18 MarketDelta Strategy Guide 1303 traded when 1523 25 was the bid price 1716 contracts traded when 1523 25 was the ask price Open Red Footprint More selling pressure trading at the bid price 1 6464x4912 1521 25 Green Footprint More buying pressure trading at the ask price 5225x5202 1520 50 Close gt Bid Ask Footprint 0x19 1523 50 1303x1716 1523 25 2108x1792 1523 00 1760x871 1522 75 1254 0 1522 50 798x83 1522 25 659x59 1522 00 1521 75 1521 50 6952x6070 1521 00 1520 75 1520 25 5936 10110 1520 00 6322x6734 1519 75 1519 50 1319 25 2868x2703 1519 00 1318 75 659x0 1518 50 STRATEGY The Bid Ask Footprint amp was our original Footprint amp type Because there are a lot of numbers shown on this type it may be best utilized focusing in more on the color of the Footprint amp than the numbers Once comfortable with this display type it is a great view because the volume can be seen as well as which side of the market experienced greater volume These numbers combined with the color of the Footprint amp and the open close bar can keep you much more informed while the bar is building instead of having to wait for it to close to evaluate what took place This is what we mean when we say See Inside the Chart You are literally seeing inside each bar as
54. change of a bar can exceed the change specified in certain situations gaps but can never be less that the change specified Each bar must open outside the open close range of the previous bar 282 09 Each bar must close at either it s high or it s low m 128200 For Change Bars the magnitude of the open close change of each bar is essentially held constant while time and volume are variables Ticks Activity based bars Similar to volume bars each bar is composed of a user specified number of ticks Tick charts start a new bar or column when a specified number of ticks occur A tick is defined as a single trade Popular settings would be 89 144 233 377 or 610 tick charts with many other popular favorites This type of chart provides more granularity than time based charts Reversals Volatility based bars building upon the concept of Point and Figure This type of chart monitors price action and doesn t have a time component Each column is designated either up or down and alternates between up and down accordingly A new column is started only if price travels in the opposite direction Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 35 that a column is designated There are never to up columns or two down columns back to back as defined by the charting method The green up or red down arrow at the top of the bar or column is called the col
55. ckly see which price s Footprint Profile greater volume is occuring Use the color to spot pockets of buying or selli Open Nl 1523 50 1523 295 1523 00 1522 75 1522 50 1522 25 1522 00 1521 50 The length of each Footprint is 1521 25 directly proportional to the 1521 00 volume traded at that price in 1520 75 the time frame being viewed 1520 50 1520 25 1520 00 1519 75 Black oulined price is M the high volume price 1219 23 1519 00 1518 75 1518 50 STRATEGY This has quickly became one of our most popular Footprint amp types Use it to visually see how much volume is occurring at any one price or series of prices Let the color especially consecutive color provide indication of the dominant side of the market When you see red Footprints stacking up it is evidence the sellers are in control Using other factors like where the market is in relation to value and or other factors the Footprint amp Profile can provide valuable insight to the likelihood of the move continuing or reversing Use the high volume nodes a potential support resistance on pullbacks Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 21 3 3 Delta Footprint Delta Footprint amp Displays a positive or negative number A negative delta value represents aggressive selling Specifically it represents how many more shares contra
56. cts were sold on the bid versus when that price was the ask A positive delta value represents aggressive buying Specifically it represents how many more shares contracts were bought at the ask offer versus when the price was the bid Delta is the term we use to describe the net difference between the quantity traded on the ask versus the quantity traded on the bid Delta Footprint is used to give a measurement of buying and selling pressure at each traded price in real time It also helps to quantify who buyer or seller is more aggressive in turn producing pressure as price fluctuates e Click the Dlta button on top of the Footprint amp panel to view Gives a true sense of buy and sell activity at each price e Very advantageous to see price runs sequentially Begin to realize when a current run is running out of fuel e See a price run strengthen as volume is captured by the Footprint to quantify momentum Know when and where the buyers are accumulating and the sellers are distributing See the prices where aggressive selling or aggressive buying kicked in and moved price provides potential areas of support resistance if a pullback occurs Takes up less screen space width than the bid ask Footprint amp and be used to see more bars Copyright 2007 MarketDelta LLC All Rights Reserved 22 MarketDelta Strategy Guide The values within each Footprint represent the NET buy or sell vo
57. d 4 00 before putting in a single print selling top as a bonus we included how the Footprint amp Chart captured the entry sell signal before the single print was seen in the Traditional Market Profile amp view Copyright 2007 MarketDelta LLC All Rights Reserved 112 MarketDelta Strategy Guide Below we see the sell signal generated by the Volume Value Area and Delta prior to the single pri Max Ses Ba exa pica vo svei 6 6 1 1 1 1 11 08 05 08 10 08 15 08 20 os zs 08 30 os 3s 08 40 08 45 08 50 08 55 09 00 09 05 os 1o 09 15 09 20 09 25 677 3 677 2 677 1 67 627 0 62 676 9 A 57 E Close below the top of value 676 6 67 ee 676 4 67 20 36 26 3 Eu A Precursor to Selling 526 83 8 Modest 4 00 rally from 67878 2 I 34 split lo S DOO QUO PR Bab UR OV OT A Y Y OO 10 00101 00101 001030 010101 010101 PEBE BEBE EBE BERERE RE REDE RE RE RE RERE BE EBEE BE NE Increasing Sell Delta a D PS 0 0 0 0 01030 0 010 01010 1 1 1 1 1 3 1 3 3 1 moro uO 100 fe a 26 422 1 69 5 The next example of Gold on 6 7 07 shows how the market split lower and multiple aggressive sellers entered the market and drove it lower Copyright 2
58. d it tells us price is somewhat unstable and searching for a level that will bring interest from other market participants either buyer or seller This usually results at range extremes high or low of day or on news releases This is one of the benefits of non time based bars because the bars have been normalized to a specific criteria other than time such as volume per bar ticks trades per bar or delta per bar new for version 8 7 Copyright 2007 MarketDelta LLC All Rights Reserved 82 MarketDelta Strategy Guide There are other non time based bars like range bars and change bars but those will essentially produce the same range for each bar and for the sake of this example would not be applicable If the range is compressed it is inferring that there is lots of interest to trade at the current price level on the part of BOTH buyers and sellers They are trading heavily within this area and transacting a lot of volume without pushing price all over the place This is more likely to occur at intraday support and resistance and general price pivots that do not have a lot of interest from many sorts of traders including long term traders There are instances like in Figure 4 21 where compressed bars will occur at range extremes This shows buyers and sellers are very active and supply and demand are matching up within just a few prices This is very insightful information because typically at range extremes HOD or L
59. d not have to trade it from bell to bell Core Principles Liquidity liquidity liquidity The trend is your friend have you ever heard that What is the secret to identifying and sticking with this fleeting friend We would propose delta Use the Footprints to track the trend and uncover where it is going and the underlying strength contained within it Delta will prove to be a very good measure in markets that have decent levels of volume and offer some volatility You may find that charts based on time will not make as good of use of the delta reading as non time based charts This is part of the reason you will see so many non time based examples throughout this guide The reason for this is delta is a function of order flow and volume The volume that is transacted in markets is not linear Viewing charts that are based upon a function of volatility or activity may produce Footprints the more accurately reflect the underlying dynamics in the market and allow for more precise ways of monitoring price Unique to These Examples Figure 4 12 shows a market that was quiet and in balance in this case it was trading within the developing value area As the market began to test the high of the developing value area we see a sudden spike in volume at prices 4410 and 4411 At 4411 we see is it dark green representing aggressive buying This alone does not Copyright 2007 MarketDelta LLC All Rights Reserved 64 MarketDelta St
60. e bar delta to confirm more aggressive selling In a consolidating market the bar delta will typically flip flop back and forth from positive to negative and back or not show strong conviction either way This helps to confirm the type of market you are witnessing If you are witnessing a consolidating market but the bar delta s are all pointing one direction then there is a greater probability that price will exit the range in the direction of the bar delta up if positive down if negative DARK COLORED FOOTPRINTS amp You will tend to see more clusters of dark Footprints amp in trending markets than you will in sideways markets Trending markets exemplify direction and strength while rotational markets exemplify lack of conviction and are directionless and exemplify random behavior For those who are familiar with Market Profile amp using the value area and or initial balance area can provide good trade location when combined with the Footprint amp You will become much more confident in the trades you place once this concept is understood and practiced Copyright 2007 MarketDelta LLC All Rights Reserved 40 MarketDelta Strategy Guide Sometimes you will see dark Footprints dark green if aggressive buying and the market will stop and reverse A question we often get is why did this occur A pattern like this would signify aggressive buyers were present but there was adequate sellers with working sell orders
61. ed Footprints When trending up there should be dark green Footprints amp These dark Footprints amp should comprise most of the bar if it is a strong trend A sign of a strong trend is when the upper lower prices of each bar are the darkest color green for up trend red for down trend This is best to witness early in the trend If you see it late in the move it could be interpreted as a last effort to get into the market by those not already on board and they will only it reverse in the near term Figure 4 15 Capitulation is a word often used to describe this ending of the trend Understanding this will provide key insight when price is beginning to lose momentum because inevitably you will see lighter shades or the other color appear which is evidence of the price move being contested Figure 4 2 shows an example KEY OBSERVATION NON DIRECTIONAL SIDEWAYS or RANGE BOUND When the market is range bound lacking the ability to trend you should expect to see variations of color comprising each bar This means many of the bars will have roughly 50 red and 50 green Footprints amp combination but certainly not all one color We call this pattern candy striping This pattern will occur when the market reaches an equilibrium and is content trading within boundaries such as mid session support and resistance value area etc Often times in markets like this you may see a cluster of dark green Footprints amp come in near the high of the r
62. er parameter Generically this other parameter may be volume or a derivative of volatility Time Based Volume Based Periodicities Volatility Based Periodicities Periodicities Seconds Volume Price Minutes Delta Range Days Change Reversal Tick The primary difference between the three categories is what needs to occur for a new bar to be created This will result in how long it took for it to be created Time based periodicities will create bars based upon the tick of the clock This is certainly the most traditional way of plotting price and it gives a natural order to what you are looking at Each bar represents the same amount of time For many traders this is a very comfortable way to view price activity Copyright 2007 MarketDelta LLC All Rights Reserved 30 MarketDelta Strategy Guide Periodicity 5 Minutes IntraDay Bars Based On To change the periodicity on Ticks per Bar Range per Bar traditional charts just type a MAGE Time per Bar Change per Bar number and this screen will Gy Volume per Bar appear 5 00 Minutes Seconds Cancel To change the periodicity on the Footprint amp Chart Minutes simply type in the value for the periodicity and then iani select what type from the drop down list Another way is volume to open the Footprint amp Preferences window and make s the change Reversal Prices Days Example 10 minutes 10 volume 10 ticks 10
63. formation will update in realtime so it offers a solid way to participate in breakouts and not be left behind Sometimes the sideways trading before a breakout will begin to show a delta in the direction of the breakout This offers a way to be possibly enter the trade early in hopes of a breakout but the trade must be monitored closely in case the breakout fails The Footprint amp also helps a trader understand whether or not aggressive selling or buying is entering at a key breakout area To better understand price potential it is critical for a trader to anticipate what to expect given the most likely probable outcome To do this we feel it is best to understand the underlying market dynamics and structure for at least the current day Simply having an idea of whether the market has been trending or been range bound can help to anticipate the likelihood of a breakout and provide a better perspective as to what the Footprints are telling you Unique to These Examples Figure 4 9 offers a great example of a market that moved lower consolidated then resumed the selling The key points to notice is the breakout point The volume increased AND the selling increased immensely denoted by dark red color Also as a way to immediately confirm the breakout there should be follow through selling The very next bar at 4 31 continued to trade lower and have good volume with continued aggressive selling All the characteristics of a good breakout Figu
64. ghout this guide The reason for this these markets usually do not contain as much price volatility as other markets This is a generalization of course but an accepted fact among traders Because of the lack of price volatility the trading occurs a little different Because the fixed income markets do not rotate aggressively and quickly besides during economic releases heavy volume is transacted at each and every price The directional order flow does not offer as much insight in these markets because they are less likely to have a lot of near term follow through This tends to neutralize somewhat the information extracted from observing order flow These are all generalizations but worthy of mentioning so you have a better perspective while trading and how to possibly make use of the delta information within the Footprint chart Core Principles Many of the traders we talk with that have found the Footprint amp chart indespensible in the fixed income arena use either the Footprint amp Profile chart or volume Footprint amp chart Many of those traders utilize our Market Profile amp chart as well The Footprint amp Profile offers traders a way to see mini Market Profiles amp in any time frame they want This helps to gauge the supply and demand at a closer level and better evaluate areas to trade against such as significant Market Profile amp levels or other pre defined support and resistance Another nice feature of the Footprint Profile
65. hlighting some of the strategies in this guide MarketDelta amp community support is available at the following Yahoo message board http groups yahoo com group MarketDelta Copyright 2007 MarketDelta LLC All Rights Reserved 126 MarketDelta Strategy Guide Our Address amp Contact Information MarketDelta LLC 141 W Jackson Blvd Suite 3706 Chicago IL 60604 Phone 1 312 922 7800 Fax 1 312 922 7801 General Information Info marketdelta com Support Support marketdelta com Sales Billing Cancellations Sales marketdelta com Ideas Ideas marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Index 127 10 Yr Note 86 Ask 17 Bid 17 Bid Ask Footprint 17 Bund 81 Buying Cluster 117 C Candy Stripe 121 Color Shading 15 81 Consolidation 119 Crude Oil 67 Currencies 90 D Dax 58 Delta 19 21 38 53 63 Delta Divergence 42 53 Delta Footprint 21 Copyright 2007 MarketDelta LLC All Rights Reserved Delta Percent Footprint 24 Delta Periodicity 29 67 Dow YM 53 E ETFs 94 EuroStoxx 50 63 Example Advanced Market Profile 106 Example Breakout 42 58 Example Candy Stripe Pattern 121 Example Consolidation 74 119 Example Continuation 58 Example Delta Divergence 53 74 Example Delta Percent Footprint 49 Example Delta Periodicity 42 53 63 90 Example Footprint Profile 67 74 81 Example Market Pr
66. howcases how volume is behaving For example if price has been trending up and pulls back to an area of support use the Footprint amp to monitor the supply demand at that point This helps to determine the overall strength of the trend by gauging the volume of the retracements to known areas of support resistance Unique to These Examples Below are a few examples of the ES breaking out of balance sideways trading and starting a late day trend Figure 4 1 shows one of the most unique things about the Footprint amp chart the delta periodicity A new bar is only created when a user specified level of delta is achieved This periodicity is essentially based solely upon order flow and volume entering the market In Figure 4 1 the level was specified as 5000 So when delta for the bar reaches either 5000 or 5000 a new bar will begin This periodicity is not time based but volume and order flow based The logic behind this type of chart periodicity is new bars are only created when supply and demand levels become imbalanced For this periodicity notice how the volume was low for each bar as the market began to rally This confirms a high level of buying because the 5000 delta was being achieved with little volume Figure 4 2 is the same day and instrument but is a 5 minute chart This is certainly a more traditional way of looking at market data and it clearly shows the breakout and how volume was expanding and aggressive buyers were present as de
67. hown on the candle chart choose the Volume Breakdown Indicator from the technical indicator list Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 57 M 2 XS gt x sm son 4p 10 Baal Dita vei vea ses sa Moze mo 12 36 12 48 12 50 12 54 12 57 13 00 13 01 13 01 13 04 13 11 13 13 13 15 13 17 13 18 13 23 13 37 13 38 13 40 13 44 13 50 13874 23873 13273 FOOTPRINT TYPE Footprint Profile Delta Divergence at HOD very strong selling entered 12222 13571 ERE 13571 13575 PERIODICITY 300 Delta the market We know this is a delta divergence ug 133267 because price traded a new high of day AND the delta 222 for the bar was negative This is shown by the volume at the bottom being red instead of blue Red signifies negative delta Blue would be a positive delta T ss n MEy pe Tr 13544 E 13543 Hg 13842 13541 LER NI 13 13 13 13 i E 13 13 13 13 13 Once the market reversed there we strong and consistent selling the whole way Notice how most of the Footprints were red and the deltas for each bz B emp bar remained red during the entire move lower PT 13502 ENTIW T Figure 4 8 For more e
68. ices A second way to use Market Profile amp would be for the various other statistics and measures such as the initial balance area opening range single prints point of control etc Identifying these levels and understanding how price may respond to them can provide crucial knowledge to trade by Using the Footprint amp chart to confirm these levels of support resistance will provide added context to the Market Profile amp chart and assist in better trade placement and execution You will find that often the Footprint amp will provide information that will suggest NOT entering the trade at the level identified on the profile This is where the benefits of the Footprint amp are apparent as well as once you are in a trade for monitoring the position and underlying strength or weakness A third way Market Profile amp is often used and referred to is by the shape of the profile Some of the more popular terms to describe the profile are Normal Neutral Normal Variation Double Distribution and Trend Day A very good book that details each of these is Mind Over Markets by Dalton Again once a thorough understanding of the profile shapes is achieved and a trader understands which way a market is more likely to trade the Footprint amp chart becomes an invaluable tool for confirming this further and providing optimal trade entry exit location as well as a tool for gauging the position as the market trades Lastly one of the core benefits
69. ick bars volume bars range bars reversal bars and our latest delta bars These prove to be very useful when looking at a Footprint amp chart because the Footprint amp captures volume and the way that volume was transacted aggressive buyer or aggressive seller As a market trades and has momentum in the price swings capturing how volume tick activity and price movement all interacted is extremely important and useful That said you will notice many of the examples throughout this guide will be with non time based charts It is not that time based charts are useless with the Footprint amp chart but we encourage you to consider other periodicities to confirm the time based charts More information on periodicities can be found in this special chapter Color Shading Each Footprint amp is colored one of two colors that you specify By default the Footprints amp are red or green Red signifies more aggressive selling at that price more trading occurred while that price was the bid versus when it was the ask Green signifies more aggressive buying at that price more trading occurred while that price was the ask versus when it was the bid Each Footprint amp is shaded according to how strong the aggressive buying or selling actually was This strength is simply based on volume how much volume traded on the bid versus ask Traders will gain experience in the use of the Footprint chart and be more in tune to the underlying market dynamics
70. ile Figure 4 30 shows a 30 minute Footprint amp Profile for July 2nd It zooms in how volume is flowing into the market and affecting price This can prove to be a very good way to accurately confirm breakouts range extensions trends and rotations Figures 4 31 to 33 show the same progression except using the 30 year bond contract which tends to have less volatility and rotate in tighter ranges more often Most of what is shown is self explanatory for those familiar with Market Profile amp However Figure 4 33 shows a Footprint amp Profile with the developing value area bars applied to the chart Having these present on the chart can help keep this important reference area in the forefront of your mind It is also useful to see if the developing value area begins to rise or fall showing that value throughout the day is shifting Copyright 2007 MarketDelta LLC All Rights Reserved 100 MarketDelta Strategy Guide 2007 All Rights cL 97 Narrow IB Value never really traded beyond IB This led to a normally distributed day Wide Initial Balance IB Value Area VA within IB Created a non trending day C OITIOOOITITITO HOPES 03 MII cC OOOOQOQOUJUJUIII OOOLOTMN c TOI 22 2 220000200202020303030300 ccc TITITIOJOUJITIQOOOOOOO ZOO Imnmrimmminaoocgccoro EXC TOTHnGommrririm
71. in the interim it is much wiser and certainly more profitable to trade the probability of price mean reverting from the range extremes Other times volume may simply dry up as it approaches support or resistance This is good information as well because typically breakout s do not occur on light volume This can be signaling a reversal or pause in the market Look at Figure 4 35 for a good example A X E x 1m 5m 30m 3p 4p 5p 10p Bxa D1ta Max Ses Ba sym toze 07 09 13 00 13 15 13 30 13 45 14 00 14 15 14 30 14 45 15 00 2 1548 00 AC Buying entering as the market approached the HOD and high 1547 75 of the developing value area The market had been trading Gray se sideways was unable to sustain trading outside the value 5 0 5 30 iS 0 5 50 5 75 5 2 area and was rejected back into the trading range 0 528 1 31 0x460 1303x2399 1585x2095 1527x2444 480x785 666 2548x2598 1073x710 1033x1292 189x460 402x850 2474x2143 This bar exhibited buying but closed near its low and back within the value area 1539 00 1538 75 1538 50 779 742 _ 12728 27155 23667 ES 21 20 2800 2187 _ 2203 8 2 m Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 121 Figure 4 35 It cannot be stressed enough how important it is for a trader to build expectation around the potential fo
72. inate volume with each trade while currency futures do This allows the Footprint amp to work correctly since it requires volume with each trade Other features within MarketDelta do work with spot forex because volume with each trade in not required Currencies are probably the most 24 hour market in the world This is important to understand when trading so you realize that there will be times during the day when more liquidity is available Core Principles Heavy volume is witnessed on the Footprint amp very clearly through shape color and numbers Depending on which Footprint you view the numbers represent volume in one form or another In the case of the Footprint amp Profile volume is represented by the width of the bars The important principle to grasp is how each Footprint amp relates to others around it Some questions you might ask yourself are the following As price trades lower higher is volume picking up Is the POC point of control or high volume price of the current bar higher or lower than the previous bar What is the color of the POC How does one bars volume or delta relate to another Are certain prices exhibiting more volume that others As price trades sideways what is volume doing at the high and low of the trading range What is the shape of the bar if viewing the Footprint amp Profile These questions should all be able to be answered with material presented throughout this guide Unique to These Examples The Fo
73. int amp chart users is more ticks from which to trade from when compared to the US treasuries More ticks means slightly more price volatility which means more potential for the Footprint amp chart to capture important information Remembering back to some of the previous concepts already mentioned price volatility lends itself well to the Footprint amp interpreting the underlying order flow This essentially enables you see inside the chart and have a better understanding of the markets Core Principles We want to put forth a short discussion covering an advanced method for interpreting price volume and order flow using the Footprint amp chart The Footprint Profile chart shows 3 unique things not apparent on traditional charts The first is each bar is divided by each price traded within that bar The second is the shape of the bar wide at high volume prices and narrow at low volume prices The third is the color applied to each price blue or green signifies more aggressive buying and red signifies more aggressive selling These 3 unique properties are discussed throughout this strategy guide so what we will focus on here is the range and periodicity type This might not sound important at first but as you will see in the following examples it provides insight into how the auction is occurring If the range is elongated it tells us a couple of facts First it shows price is being rejected or there is initiative activity under way Secon
74. it is being built providing for more timely decisions at key levels Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 19 3 2 Footprint Profile Footprint amp Profile This displays a profile or vertical histogram of volume at price in whatever time frame chosen The color of each Footprint amp within each profile is based on the delta Delta is the net buying or selling that occurred at each price Green represents a positive delta buying pressure and red represents a negative delta selling pressure Click the FP button at the top of the Footprint amp panel to view Popular view for those who are familiar with Market Profile amp and allows a trader to drill down and see inside the chart This Footprint Profile will help you track areas of high interest among many participants in a nice graphical manner e Quickly track the high volume prices bar by bar to see if the market is attracting more participants at higher lower levels e See the shape of each bar in any time frame to reveal clues to the underlying market structure Use the color of each Footprint amp to confirm the pressure being exerted at each price Combine this with the volume shape of bar and you will have a very good understanding and representation of the market generated data Copyright 2007 MarketDelta LLC All Rights Reserved 20 MarketDelta Strategy Guide Qui
75. ive buying is driving price thus sustaining the trend The reverse is true for a down trending market There should be a negative delta to confirm more aggressive selling In a consolidating market the column delta will typically flip flop back and forth from positive to negative and back or not show strong conviction either way This helps to confirm the type of market you are witnessing If you are witnessing a consolidating market but the bar deltas are all pointing one direction then there is a greater probability price will exit the range in the direction of the bar delta up if positive and green or down if negative and red Unique to These Examples A reversal pattern that is unique to MarketDelta and one that you will see a lot of examples on the website and blog is the bar delta divergence pattern This happens when price trades at or near a new high low or re tests it and has a delta opposite what is expected At highs if a negative bar delta appears when the bar closes this shows supply entered the market and aggressively began to sell into the market Vice versa atlows In Figure 4 6 there are actually 4 examples of this Copyright 2007 MarketDelta LLC All Rights Reserved 54 MarketDelta Strategy Guide divergence Figure 4 7 is a candlestick chart with a custom study applied called Delta Divergence This indicator is for sale separately from MarketDelta However you can apply the delta histogram to the b
76. key insight to how the smart money was positioning within congestion A key thing to remember is the largest and smartest traders are usually not trying to get into the market during the breakout They are already in they got in when the market was in congestion and randomly trading within an area This allows them to enter with the size they need an not push the market all over the place AND then exit the trade when everyone else is scrambling to enter on the breakout Unique to These Examples Figure 4 17 utilizes the value area often employed by those who use Market Profile amp and shows the value area high and value area low After the first hour or two the current developing days value area can provide some solid reference points to trade from if the market is exhibiting signs of being range bound If the market is showing a tendency to trend the value area can provide solid support levels if the market is in a more vertical state trending Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 75 Footprint Profile GCQ7 V 0 P 658 6 0 0 0 06 14 09 14 01 27 x 3p 4 5 1 1 1 ve 8 5v Moze im 17 43 07 55 08 11 08 14 08 15 08 22 08 54 os s 08 56 08 56 08 57 09 00 09 14 os 1e 09 44 09 54 10 00 10 02 10 06 10 26 10 26 10 30 11 23 658 3
77. lume Clearly can see that there was more selling pressure within this bar because there are more red Footprints Cluster of buying occurred at these couple of prices Huge selling at 1519 50 Delta Footprint 1523 50 1523 25 1523 00 1322 75 1522 50 1522 25 1522 00 4 1521 50 1321 23 1521 00 1520 75 1520 50 1520 25 1520 00 inn 412 1519 75 1519 50 1519 25 165 1519 00 1518 75 2659 1518 50 STRATEGY Using this Footprint amp a trader might look to identify potential areas of intra bar support and resistance Of course this would only be applicable if viewing bars that tend to be longer term in nature 15 min to daily In the graphic above the 1521 50 and 1521 75 area could prove to be a good area of resistance if price were to bounce back up to it Those were the only prices we saw any considerable buying enter during this time period Over the course of the day each price ends up having a delta net buy and sell volume associated with it and it can be very interesting to see how this all adds up over time To see this data open the Footprint amp preferences window select the Columns tab and check Delta Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 23 STRATEGY Use the bar delta values to monitor the strength according to volume as each bar develops For many instruments especially ones that have some volatility and momentum the bar delta
78. mand overcame supply at a key resistance level Figure 4 3 shows each bar based on 10 000 volume It removes time from the building of new bars and only builds them based on volume This gets back to our original discussion on volatility and activity Price volatility usually brings new participants into the market thus increasing volume Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 45 Complimentary Strategies amp Uses The market can not go in one direction forever Looking for reversals of the trend can be dangerous if you are wrong and do not manage losses accordingly However catching a reversal correctly can be very rewarding Using the bar delta at extremes HOD or LOD can provide great opportunities to spot where supply over came demand We call this unique pattern delta divergence This occurs when a new high of day HOD or low of day LOD occurs and a delta occurs in the opposite direction For instance a HOD with a negative bar delta would be a potential sell signal Copyright 2007 MarketDelta LLC All Rights Reserved 46 MarketDelta Strategy Guide 0 1 sa Sym Moze 20 11 10 44 111 45 12 27 12 36 112 36 12 42 12 44 13 06 13 08 13 10 13 17 13 32 14 04 14 42 4678 FOOTPRINT TYPE Footprint Profile PERIODICITY 5000 Delta ADDITIONAL Develo
79. market The delta is monitoring how the volume is being transacted and will smooth out the rotations provide more acute awareness to market reversals and most of all show the underlying strength in the market which will help capture more of the move Below is a 5000 delta ES chart using the Delta Footprint amp More information and settings can be found here Footprint Volume Profilet ES F V 0 1518 25 0 0 0 05 09 13 20 29 64 Woe gt 11115 1 5 5 1 1 vos Ses Sym More H 13 15 13 15 13 16 13 16 13 17 13 17 13 17 13 17 13 18 13 18 13 18 13 18 13 19 13 19 13 20 13 20 13 20 13 20 13 20 13 21 13 23 13 23 13 23 13 23 13 24 13 25 13 25 4516 26 Notice how well the delta color confirmed 1216 00 the overall movement the market eed i5 bottom of chart This price activity was E E 1814 75 m from an FOMC announcement 1514 50 573 379 1514 W 29 1514 00 121 1513 75 458 1513 E 1513 25 W 464 1513 00 626 1512 S227 1512 50 H 114 8 255 5 B 100 12 00 7450 576 80 481 385 ES 4 482 167 231 E 52 E 34 43 W 1790 478 212 44 2000 Delta Bar Volatility based periodicity creates bars based up the actual movement of price This movement c
80. more timely entries and exits and monitor volume at critical levels With a basic understanding of Market Profile amp you will be able to easily understand the examples below For a more in depth review of Market Profile amp please see the MarketDelta amp Help Manual section entitled Market Profile amp Core Principles Like any methodology in trading there are numerous ways to interpret and define trade signals In the examples below we will look at some of the most conventional Copyright 2007 MarketDelta LLC All Rights Reserved 98 MarketDelta Strategy Guide ways to apply Market Profile amp along with a few specialized applications Probably the most popular way of applying Market Profile amp is by using the Value Area The value area represents the area where 7096 of the trading has occurred approximately 1 standard deviation The value area is based upon a normal distribution curve The benefit of identifying the value area is to see where price is trading in relation to value and then apply logic reason and market structure to it It is typical to relate the previous days value area to where the current price and value area are Watching how this develops over time can clue the trader to fair and unfair prices Coupling this information with the Footprint amp chart can provide the trader with an acute view of underlying price and volume behavior and provide a way to confirm the fair and unfair pr
81. n patterns are triangles ascending descending symmetrical flags pennants wedges and rectangles It is crucial that a trader understand what these patterns look like and how each should be treated The reason it is important is because the Footprint amp does a superior job at showing how volume is developing within each of these chart formations Two other types of breakouts would be support and resistance areas and trend line breakouts Breakouts should occur on higher than average volume Anything less is very susceptible to being a false breakout Using the Footprint amp and it s intuitive color display its very clear when breakouts are occurring on low or high volume and at which individual prices The Footprint amp also helps to show how much volume and which side of the market volume is occurring prior to the breakout This helps to better determine the probability of the eventual breakout Another very important thing to following leading up to the breakout is the bar delta Notice how in Figure Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 59 4 10 there was a slight positive bias in the market prior to the big breakout The Footprint amp Profile offers traders a very good way to evaluate breakouts because you can see the shape of each bar and see where more volume is occurring AND the color each price Footprint amp to determine more selling or buying is occurring All this in
82. nd without any express or implied warranties including without limitation merchantability or fitness for a particular purpose Similarly there is no warranty as to performance accuracy or functionality MarketDelta LLC makes no representation warranty orcovenant concerning the accuracy sequence timeliness completeness or availability of the software and or documentation or any other information or the likelihood of profitable trading uses The user assumes the entire risk of using the software and or documentation and accepts full responsibility for any investment decision or loss or expense whatsoever relating to the accuracy of the information furnished herein or for theuse thereof or for omissions therein The user agrees to hold MarketDelta LLC harmless from and against any such losses or expenses arising from provision or use of the software and or documentation regardless of cause or form of action whether in contract tort strict liability statutory liability or otherwise Printed July 2007 in Chicago 2007 MarketDelta LLC All Rights Reserved MarketDelta and Footprint are Registered Trademarks ofMarketDelta LLC Microsoft Internet Explorer Windows Windows 20007 Windows XP are either registered trademarks or trademarks of Microsoft Corporation in the U S A and or other countries Adobe and Acrobat are registered trademarks of Adobe E Mini S amp P 500 and S amp P are trademarks of the McGraw Hill Companies
83. ng slightly more depending on the volume of the last tick trade that occurred in that bar The current bar will obviously have less than the required amount of volume while it is forming For Volume Bars the volume or each bar is essentially held constant while price and time are variables ES F 3000V 10 25 06 09 49 37 CL 1384 50 1384 50 Hi 1384 50 Lo 1384 00 ihn i i X F 3000 3001 p 08 43 08 58 09 07 09 15 09 27 09 40 09 56 10 29 E 4 Delta A new periodicity which MarketDelta introduced to the trading world is the Delta periodicity Delta periodicity uses a user specified delta to create new bars Delta is the term we use to describe net buying or selling with respect to how volume was created For instance if 50 contracts trade at the Ask price then it would be 50 delta 50 contracts traded at the bid price then the delta for that trade would be 50 The delta periodicity is keeping a running total of how volume is being transacted in the market and will closely follow and confirm the order flow Copyright 2007 MarketDelta LLC All Rights Reserved 32 MarketDelta Strategy Guide coming into the market For instruments that have volatility and momentum to their intra day price swings the delta periodicity will open a whole new world to how you look at the
84. nt reversal chart patterns it is intended to show how the Footprint amp displays some of these formations and why it adds value to identifying these patterns Volume helps to confirm whether the trend is truly reversing or whether continuation is likely One of the key components of a reversal is volume General trading rules to confirm this are Significant highs amp lows are very often made on higher than average volume A re test of a top bottom on light volume is often a sign that it is just a retest and will not have the strength to push through the original high low A re test of a support resistance on increased volume provides traders with the information that price may be violated during this probe e Volume helps to determine whether the price pattern can be trusted e Volume gives confirmation to trend direction Use the Footprint amp to gain the inside view of when and how the market is reversing e Volume should increase in the direction of the trend and decrease when going against the trend Monitor where a bar is closing in relation to its range If a bar breaks out but Copyright 2007 MarketDelta LLC All Rights Reserved 50 MarketDelta Strategy Guide closes at its opposite extreme there is a good chance the breakout will not hold A quick history lesson One of the primary reasons many floor traders were able to be successful was due to the fact they could see and hear the volume c
85. ofile 97 Example Outside Bar 74 Example Price Periodicity 49 90 Example Range Periodicity 86 Example Reversal 53 117 Example Shape of Profile 67 97 Example Value Area 42 63 77 119 Example Volume Periodicity 81 Footprint Profile 19 58 Footprint Type 15 Gu Gold 74 128 MarketDelta Strategy Guide Grains 77 Initial Balance 97 Market Profile 38 97 106 N Naked 97 Non time Based Periodicity 29 Non trending 38 P Periodicity 15 29 R Range Bound 119 Russell 2000 emini 49 iG S amp P 500 emini 42 Selling Cluster 117 Shape of Footprint 81 Single Prints 97 Split Profile 97 106 Stocks 94 Strategy Confirmation 94 Supply 8 Demand 77 STe Testimonials 7 Trending 38 42 Value Area 97 Variable Profile Splitter 106 Volume Based Periodicity 29 Volume Breakdown Indicator 53 Volume Cluster 117 Volume Footprint 27 Copyright 2007 MarketDelta LLC All Rights Reserved
86. oming into and around the pit This was a great advantage to them because they could accurately gauge supply and demand at important levels throughout the trading day Many of these same traders have more difficulty trading from behind the electronic screen Why could this be It is most likely because traditional charting methods do not provide them with the flow and feel of volume that they once had at their fingertips The Footprint amp chart was developed with both perspectives in mind and fulfills this need in the best way possible Unique to These Examples Figure 4 4 is an example of attempted continuation but lacked any follow through You can see the same example in Figure 4 5 but using a different Footprint amp type and periodicity Figure 4 4 is the Delta Percent Footprint amp The important thing to notice is the delta 96 for the continuation bar was only 5696 That is pretty neutral for a bar that is putting in new hights and continuing the trend We like to see it be above 59 or 60 In 4 4 it also closed on its lows and had selling enter in the very next bar Complimentary Strategies amp Uses See some of the outside bar bar reversals examples and delta divergence reversals through this guide Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 51 Syn Moze 55 44 08 47 08 49 08 51 08 56 08 58 os oo os oz os oe os os 09
87. otprint Profile PERIODICITY 10 000 Volume ADDITIONAL Developing value area applied to chart Follow through buying easily seen using the color of the Footprints and the POC high volume price for each bar stepping higher Breaking out on strong buying Black highlighted price is the im high volume price for each bar m Figure 4 3 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 49 4 2 Russell 2000 e mini Russell 2000 E mini Summary This is another popular market for many of our subscribers The primary reason is there is lots of price action good rotations and lots of prices and opportunities to trade in an out of If you are a longer time frame trader then this market offers some very nice trends that you will be able to participate Some nice periodicities to try with this market besides time based are 10 Price Figure 4 4 5 Range 233 Tick 377 Tick Figure 4 4 1000 Volume and 250 Delta Core Principles Reversals are probably one of the most commonly recognized chart patterns They come in many forms all of which can be read in any good book on technical analysis A few would be double or triple tops bottoms outside bar and price spikes While this guide is not intended to cover all the differe
88. otprint amp will help you answer these questions by providing the necessary data for you to make the decision Without the Footprint amp the ability does not exist to reference this very crucial trade data In Figure 4 25 and 4 26 the Footprint amp Profile clearly shows where high levels of volume were transacted AND who had more conviction to trade buyer or seller This conviction is depicted by color and in two different ways the first is Footprint amp by Footprint amp The second is the color of the bar delta located at the bottom of the window beneath each bar This keeps track of the net buying and selling that took place for the entire bar and should be used to Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 91 confirm the price move you are witnessing A move higher should be confirmed with a blue or green delta color for the bar A move lower should be confirmed by a red delta color for the bar Any difference should cause a trader to question the price move in the near term One of the reasons for this is aggressive buyers and sellers tend to be short sighted and want to see payoff quickly If the market is unable to move in their favor in the near term they may exit the trade Utilizing the Footprint amp and the delta color can provide a way to see through all the noise and gauge the underlying strength in a market in whichever time frame you prefer Copyright 2007 MarketDelta L
89. ottom of the candle chart by applying the Volume Breakdown Indicator and just look for the pattern to occur This pattern has the highest probability of working at the highs or lows for the day You will see them occur mid range and it may be a good signal however they will provide the most opportunity at highs and lows of the day Because this pattern is a reversal pattern if the market trades through the bar that had the divergence the trade should be exited because it is not reversing This pattern is looking for the market to reverse and move away not sit around that price level Figure 4 8 shows another excellent example of how sensitive the Footprint is to volume and order flow This example had a chart periodicity of 300 Delta One way to apply this type of chart is to follow the delta color at the bottom of the chart It will offer a good way to monitor who is being more forceful in the market buyers or sellers It also provides a valid way to gauge exit and entry opportunities Notice how it will turn color as the market reverse during each rotation Also because it often confirms price direction it can be used as a great tool to help provide confidence to stay in winning trades longer and cut the losing ones if the delta is opposite your position Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 55 E Footprint V 1004 P 13544 403x0x601 06 11 10 27 13 21 Ju
90. ovide a powerful way to track the rotations in the market Because the delta is based on volume and which direction it is flowing into the market you will often find it is a very good way to confirm price direction and reversal points Footprint Profile GB U7 DT V 0 P 110 52 0x0x0 ce gt Img x 2 su son p s s 10 vei vea Sym More 06714 09 43 09 44 09 46 09 50 09 51 05 52 09 55 10 00 10 02 10 04 10 05 10 06 10 07 60 110220 FOOTPRINT Footprint Profile 330 99 110 57 PERIODICITY 10 000 Volume 110 57 56 F pHHHHH IO I Ww oy Short term supply is present This is apparent because enough I 110 21 n 110 20 110 19 buyers where present who placed orders into the market to ond absorb the selling These are examples of adequate buying to cut 110 14 off the selling at least for the time being 110 12 Many times longer term bottoms will witness a delta divergence on 110 09 the reversal bar 110 08 Figure 4 19 Copyright 2007 MarketDelta LLC All Rights Reserved 84 MarketDelta Strategy Guide x S 30m 4p se 10 vei vea ze ses Sym Moze 106714 04 01 04 02 04 03 04 05 04 08 04 12 04 14 04 16
91. owever if the breakout begins to fail we now have the knowledge of some large buyers long at the highs This can provide added fuel to the downside as the market trades lower Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 69 Delta Periodicity Tall amp Wide Short amp Wide lt Tall amp Narrow Short amp Narrow Directional Order Flow Another more advanced concept you can benefit from when using the delta periodicity is the range and width of each bar Short and narrow bars represent a very high degree of directional order flow Short and wide bars represent still a high degree of directional order flow but not as high as when the bar is short and narrow The width represents more volume traded within the makeup of this bar indicating supply and demand are more equally matched and more traders are attracted to trading at these price levels Tall and narrow and tall and wide bars represent less overall directional order flow These bars are long because price is trading around but not with much conviction on the part of buyer or seller That is why the delta is not reaching the or extreme it needs to create a new bar In other words buyers and sellers are near equally matched and not able to push the delta of each bar to the threshold specified to advance to the next new bar Tall and wide bars would usually occur at inflection points or areas of value where there wo
92. ping value area applied to chart Developing Value Area Break above value area spurred aggressive buying Figure 4 1 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 47 F 2413 P 1510 75 20547x0x21866 1 s FB Max Ses More 06 08 uz 15 12 20 12 25 12 30 12 35 12 40 12 45 12 50 12 ss 13 00 13 05 13 10 13 15 13 20 13 25 13 30 13 35 FOOTPRINT TYPE Footprint Profile Selling enters at high Notice the PERIODICITY 5 Minute _ red Footprints and red bar delta ADDITIONAL Developing value area applied to chart at the the bottom of the chart above the value area Notice how the color green confirmed buyers were present Volume exanded as price traded Developing Value Area Figure 4 2 Copyright 2007 MarketDelta LLC All Rights Reserved 48 MarketDelta Strategy Guide M Footprint ES F V 8645 P 1504 50 3758x0x4887 06 08 12 44 59 98 cle Sp 10p Moze 06 08 12 29 12 35 12 36 12 36 12 38 12 42 12 42 12 44 12 44 12 47 12 48 12 50 12 55 13 00 13 06 13 06 13 08 1520 75 FOOTPRINT TYPE Fo
93. plimentary Strategies amp Uses Many who trade crude are used to volatility and the unexpected With the energy markets there seems to be a greater possibility that price will go farther than you would have expected Because this is often true using the Footprint amp to identify the underlying strength in terms of volume and order flow can be very beneficial There are a large number of people who use Mark Fisher s ACD strategy to trade the energy markets The Footprint amp can provide an excellent confirmation tool to that strategy Let the ACD define price levels to consider and make the decision to execute the trade with a clear signal from the Footprint amp and then monitor the trade accordingly Copyright 2007 MarketDelta LLC All Rights Reserved 72 MarketDelta Strategy Guide M Footprint Profile CL amp V 444 P 65 34 232x0x212 06 08 11 54 01 69 x 12 sm son 3p 10 Vei vea ses sa Moze 11 40 11 48 1 49 11 49 11 49 11 50 11 50 11 50 11 52 11 53 11 53 11 54 11 54 11 54 11 55 11 55 11 56 11 56 11 57 11 59 FOOTPRINT TYPE Footprint Profile PERIODICITY 300 Delta T Selling was confirmed by the delta color at the bottom of the were closing at or near their lows 06 08 Dita bar and almost all of the bars
94. precise information Core Principles Monitoring the trend for signs of weakness or strength has traditionally been accomplished using a volume histogram applied to the bottom of a chart with a series of over bought sold indicators The Footprint chart offers traders a more finite and accurate manner to accomplish the same thing With the Footprint amp chart you are tracking volume and how it entered the market price by price each step of the way We are not proposing you follow every trade that enters the market Let the Footprint amp do the work of classifying and keeping you more in tune to the underlying fundamentals and supply and demand dynamics unfolding before your eyes This heightened sensitivity and way in which to view a bar will provide more understanding to what is unfolding before you and in turn produce more confidence Unique to These Examples Figure 4 14 show a very nice example of a 70 cent break in crude oil and a subsequent bounce from the lows The teaching point in this graphic is what happened at the lows Price was contested 3 independent times before the sellers Copyright 2007 MarketDelta LLC All Rights Reserved 68 MarketDelta Strategy Guide realized price was being challenged very well by the buyers who where presenting adequate demand at these levels The clue was how at 64 60 there was large sell volume occurring but price could not move lower As a trader it is important to keep in
95. provides key insight into the strength of a move For instance as price trades lower the expectation is to see a negative delta This would signify sellers are being more aggressive and hitting more bids The bar delta provides a way to monitor the selling coming into the market price by price and bar by bar Eventually the market has to stop The Delta my reach an extreme level or you my see buyers finally enter the market aggressively near the lows If the buyers finally step in aggressively green Footprints amp would immediately appear alerting you to this fact Copyright 2007 MarketDelta LLC All Rights Reserved 24 MarketDelta Strategy Guide 3 4 Delta Percent The Delta Percent Footprint amp Shows the percentage of volume that occurred on the dominant side of trading It is essentially showing a ratio of bid traded volume and ask traded volume but only showing the 96 of volume that occurred on the most dominant side of the market For instance if the Footprint is green in the graphic below then it had a positive delta and the number shown represents the of volume that occurred at the ask price for that particular Footprint If the Footprint is red then it had a negative delta and the number shown represents the of volume that occurred at the bid price for that particular Footprint Using the Footprint amp preferences menu click More button to open the preferences window choose the General t
96. r a given market Expectations will guide actions Actions will lead to profits or losses Proper actions will lead to profits Observing a market develop using the Footprint amp will give one confidence that the chance for a breakout in either direction is reduced because of what the Footprint amp is showing Let the market communicate its intentions to your through the Footprint amp On the contrary if trade begins to accumulate near one of the extremes and volume is evident through dark Footprints amp then the underlying conditions may be changing and with it your expectation of market potential will be rising Your attention will now be focused on a breakout which may ensue No other type of chart will provide this type information in such a clear manner Remember when you witness volume increasing into support or resistance it it likely due to supply matching up with demand Reading the delta and monitoring how trading occurs if the breakout point is taken out will provide further evidence of failure or success Price has mind of its own and the Footprint amp chart helps keep all perspectives in view 4 14 3 Candy Striping Candy striping is a term to describe a unique Footprint amp pattern that represents a mixed market This type of pattern happens when buyers and sellers lack conviction and are battling for control but equally matched It appears within each bar where some Footprints amp are blue and some red Ideally it would be a 50
97. rategy Guide infer it will breakout In fact many times there will be expanding volume near the highs or lows of the value area It could represent adequate supply matching up against the demand In this case these were among the widest bars for the day 4410 and 11 The buying continued and the market managed to breakout and continue higher There are two immediate rules to apply here 1 If you had been selling up against the value area high all day up until this point it was a rewarding experience In this example as soon as you see the aggressive buying it may be time to exit and cut the losses So it provided a quick evaluation of unfavorable conditions to be short 2 If you had been waiting to get long on a breakout above value this is your chance The breakout is occurring on expanding volume with good aggressive buying in the direction of the breakout Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 65 Footprint Profile ET M7 DT V 7827 P 4423 5148x0x2679 gt ui 4p Sp 20p 1 1 1 Mex ses 06711 09 50 09 55 10 00 10 05 10 10 10 15 10 20 10 25 10 30 10 35 10 40 10 45 10 50 10 55 ii 00 11 05 4445 _ 4444 FOOTPRINT TYPE Footprint Profile 2233 PERIODICITY 5 minute d 1 ADDITIONAL Developing Value Area Added
98. rding to the level of volume The heavier the volume the darker the Footprint amp e Click the Vol button at the top of the Footprint amp panel to view The left Vol button is shaded for just volume as described above The right Vol button is colored according to the Delta of the Footprint amp The shading is still based upon the volume Know when and where active trading is occurring Have the added context of volume price by price within the bar in any time frame you want e Know at which prices the largest traders area comfortable trading at e You won t be fooled by orders that look like they traded but really didn t trade Similar to noise on the trading floor when applied to electronic markets this tool will let you know how and where the volume trades Know how much traded at extreme prices This is very helpful when prices are capitulating e See pockets of liquidity These provide potential support and resistance points Copyright 2007 MarketDelta LLC All Rights Reserved 28 MarketDelta Strategy Guide Volume Footprint 1523 50 BID 1523 25 3900 1523 00 2631 1522 75 1254 1522 50 881 1522 25 718 1522 00 HESSE 1521 75 1521 50 1521 25 1521 00 1520 75 1519 50 1519 25 5571 1519 00 3369 1518 75 659 1518 50 The number within each Footprint represents the total volume traded at that price for the time frame being viewed The black outlined Foo
99. re 4 11 shows a 150 delta periodicity for the Dax It is a fairly short term periodicity by provides a good way to catch and monitor the rotations in the Dax After seeing the market like this nothing else will do It is empowering when the ability exists to track order flow and volume in this manner It reflects price behavior extremely well Another observation we have witnessed is bar delta readings above 58 or so reflect the ability to maintain a directional bias Keep this in mind when monitoring each bar for strength Extreme readings of 90 or greater could also Copyright 2007 MarketDelta LLC All Rights Reserved 60 MarketDelta Strategy Guide reflect panic buying or selling and be the end of a move Ja 7 DT V 2336 7577 0 1299 1 Mr X M7 DT V 2336 Dass 04 33 04 34 Zzh Moze zza 04 30 04 31 04 32 04 7610 0 rr 1 4p Sp zov 8n Dice vez ve xax gt Jos se 04 03 04 07 04 12 04 18 04 24 04 28 T 7605 0 mn 03 44 03 46 03 47 03 49 03 i 7608 0 7607 rofile E FOOTPRINT TYPE Footprint P 7606 0 2608 0 B PERIODICITY 377 754 7607 0 00 7603 0 ADDITIONAL Trend Line Support at 7574 783 7604 0 7600 0 7603 0 7599 0 7602 0 7598 0 7601 0 7597 0 7600 0 m 7596 0 7599 0 7595 0 7598 0 7594 0 7597 0 7593 0 7596 0 a 7592 0 7595 0 a a 759
100. revert back within the range The logic behind this is at Copyright 2007 MarketDelta LLC All Rights Reserved 26 MarketDelta Strategy Guide breakout levels we expect to see expanding volume and a significant portion of the volume to be occurring in the direction of the breakout This would be a green shade for up side breakouts and red for down side breakouts Failure to see large Delta Percentage readings at these key levels and prices should give reason to question the breakout STRATEGY Look at the delta percent at the bottom of each bar Sideways markets will have a very neutral bar delta percent of somewhere between 5096 5996 from our observations When these readings start printing beyond 6096 a directional move could begin This is a simple strategy but great way to monitor the underlying directional order flow in real time Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 27 3 5 Volume Footprint Volume Footprint Displays the total volume traded at each price regardless of whether it was bid or ask This is helpful in showing where large volume occurs The calculation would be the bid traded volume the ask traded volume Volume Footprint amp Using the Bid Ask Footprint amp example 1000 x 400 the Volume Footprint amp would be 1400 This will never be a negative number because it is the sum of traded volume Each Footprint amp is shaded acco
101. rint amp Preferences Options Tab A popular setting my be dividing value by 100 or 1K Copyright 2007 MarketDelta LLC All Rights Reserved 96 MarketDelta Strategy Guide M Footprint Profile XLE V 239k P 68 07 103900x0x135900 gt ui x 4p Sp 20p Bx p1sa vez ve 7 Max ses 5v 06 12 2 30 03 25 10 00 10 15 110 30 10 45 11 00 11 15 11 30 11 45 22 00 12 15 12 30 FOOTPRINT TYPE Footprint Profile XLE Energy Select Sector PERIODICITY 15 Minute IT Th mw ma lr i i i 23 m mu A ET H E i 2 a 5 5 r 87 63 81 20 Large buying enters the market at low When RH this happens it would be very important to look 1 21 for near term follow through 67 55 06 12 Figure 4 27 For more examples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 97 4 13 Market Profile Strategies Market Profile amp Summary Using MarketDelta amp to confirm Market Profile amp is one of the most popular ways to apply the Footprint amp chart Market Profile amp was created by Peter Steidlmayer in the early 1980 s It categorizes market generated data in
102. roviding them with charts and analytics they can learn to read into and adapt to their methodology of trading Those who make the effort to learn this valuable new way of interpreting data will gain a priceless skill that hopefully will allow for further development of your trading skills and provide context for evaluating the market Because the Footprint is not some indicator or buy sell system you don t have to worry about it not working some day The Footprint amp is providing a display and context of the market in a dynamic manner to help you identify and then confirm trading opportunities The Footprint amp will capture the changes in the market so you can adjust accordingly no matter what the market conditions do over time Why Consider the Footprint A good analogy of why the Footprint amp is needed and why it makes perfect sense to adopt it would be the following We have all done a job in a particular manner and thought we knew best on how that job could be accomplished Then one day we Copyright 2007 MarketDelta LLC All Rights Reserved 12 MarketDelta Strategy Guide come in contact with someone who is doing that SAME JOB differently and much more productively by using a different technique or tool You are amazed that you did not think of doing it that way and immediately realize the benefits the new technique provides However you also realize that to master the new technique and become as skilled a
103. rt patterns and traditional chart patterns will become more apparent and help you spot trending and rotational markets more clearly It is crucial that traders understand what are reasonable expectations for the trades they make Understanding if the market has the potential to trend versus rotate is very important if you want to become a successful trader The Footprint does an exceptional job taking the task of identifying what type of day is developing and visually makes more clear how expectations unfold while the market makes its rotations Key observation RANGE BOUND When the market is range bound lacking the ability to trend you should expect to see variations of color comprising each bar The means many of the bars will have roughly 50 red and 50 green Footprints but certainly not all one color This will happen when the market reaches an Copyright 2007 MarketDelta LLC All Rights Reserved 120 MarketDelta Strategy Guide equilibrium and is content trading within boundaries such as the value area or a trading range Often times in markets like this you may see a cluster of dark green Footprints come in near the high of the range or a cluster of dark red Footprints amp come in at the bottom of the range Probability suggests these are traders playing for the breakout and will be wrong as they experience the market trade right back up to the high of the range Eventually a breakout will ensue but
104. s Candystrip Notice how near the h we see increase Figure 4 36 Copyright 2007 MarketDelta LLC All Rights Reserved Conclusion 125 5 Conclusion If you have not figured it out by now the Footprint amp chart is very unique and superior to all other charts available The unique characteristics of the Footprint amp require study and diligent use but the time and effort will truly be worth it We recommend making full use of this guide and all the education material available at www marketdelta com The Footprint amp is being adopted internationally and has been used by traders in over 45 countries There is no doubt traders are finding it indispensable One of the ways organizations are using it is to train traders on price dynamics and patterns By showing them the Footprint amp it speeds up the time traders need to begin understanding price volume relationships and supply demand relationships They are doing this because of the superior way in which the Footprint amp relates price dynamics to the traders eye Keep up to date by visiting http blog marketdelta com for timely market examples and strategies For individual or group training please contact us at sales marketdelta com Educational Materials at marketdelta com MarketDelta amp Help manual FAQ s Blog and built in help files e Videos covering the general functionality of all the components within the software e Videos hig
105. s are adopting each and every day as the default chart for the next generation of traders Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 15 3 Anatomy of a Footprint The Footprint amp breaks a bar up by each PRICE and includes some metric depending on which Footprint amp you are viewing The metric is volume or a derivative of volume usually delta Each Footprint amp is also shaded a particular color based upon either volume or aggressive buying or aggressive selling delta The Footprints are Bid Ask Footprint amp Profile Delta Delta Volume and a few more Footprint amp types not covered in this guide Each is unique in the information it provides and explained in detail individually throughout this chapter The purpose of the Footprint amp is to provide a way to analyze price volume and order flow all together and also to show what is happening intra bar Essentially the Footprint provides a way to track the market as well as how volume impacted price 1525 25 1525 00 Each price is individual Footprint mica 0x32 1524 50 Color represents more buying or 543x890 1524 25 selling at that particular price 1524 00 1100x1232 1523 75 1935x2014 1523 50 1442x1812 1523 25 1883x2350 1523 00 1522 75 1522 50 lt amp Last traded price 2 29 Green boxes to left of Footprints represents the body of the bar just like a candlechart 1 Footprint
106. s indispensable and something that can really compliment your current strategies and skills sets Copyright 2007 MarketDelta LLC All Rights Reserved Strategy Guide Overview 11 A very important distinction of MarketDelta is that it s NOT a buy sell system MarketDelta is instead a cutting edge decision support tool that combines technology and instant availability of trade data with each trade By taking advantage of technology and using price AND volume the Footprint amp provides a very intuitive and unprecedented view of the market This provides traders with higher quality information in a more precise format and allows them to act with more confidence and decisiveness Interpreting MarketDelta s display and data will require grasping principles and not just memorizing a few rules or setups Even though the display looks very quantitative with all the numbers and calculations being performed it is more of an art than science when it comes to applying it It will be your task to interpret the patterns and data within the innovative display called the Footprint amp Throughout this guide there will be many examples and descriptions of what to look for but this guide is by no means comprehensive You are encouraged to apply your knowledge of the markets using the unique visual perspective the Footprint amp provides and see what other profitable opportunities you can discover We believe in empowering the trader and p
107. s tab 2 A time period that the market must travel before it can split to a new profile 3 A condition for a range of time periods that the market must breakout from in order to split For traditional Market Profile amp users this new functionality will require you to take a fresh look at markets With the increased volume in overnight trading and the vertical nature of today s markets the use of the standard daily Market Profile amp may have less functionality For ease of understanding have included a few definitions Split when one profile changes to another The old traditional method split profiles every day via exchange defined open and close time The new method splits profiles based on time and price conditions via market structure and user defined time Traditional Market Profile amp View displays profiles in bell curved shape profiles based on the standard deviation measurements Segmented Period Market Profile amp View displays each 30 minute period as it Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 107 occurred sequentially Here are the settings we prefer for day trading 1 12 30 minute time periods that the market must travel before it can split to a new profile 2 A range of 9 30 minute time periods that the market must breakout from in order to split Copyright 2007 MarketDelta LLC All Rights Reserved
108. s the other person will take time and effort Regardless of the effort needed you fully realize that to be competitive and productive you must adopt the new technique You also realize that if you are not to adopt the new technique others that do adopt will have an edge advantage over you This little story sums up how the other charting types compare to the Footprint amp and why it will be important for the success of traders to adopt and integrate the Footprint amp The reason for this is the Footprint chart is the only chart type to show a price bar broken up by price and show the volume at each price You now have more information presented in a logical visual manner you now have the Footprint Trading requires making a decision based on all available information Current charting methods are not giving all this information in an intuitive way for you to make quick informed decisions Chart types such as line bar candlestick etc are limited in the information they can provide Granted they do a good job of showing a picture of price but that is what they were created long ago to do just show price With advancements in technology electronic markets have come into being and with electronic markets comes the ability to send out all the trade information at once Traditionally with non electronic markets volume would not be known until possibly the next day By that time it is not of much use for short term traders Exchanges now
109. send all this information with each trade as it occurs and give us the ability to present this newly available data in much more efficient visual and useful ways Ask any database expert and they will tell you it s not what data you have but how you are able to put that data to use The Footprint does just this makes sense of the data and provides real time context for traders in a very readable and intuitive display The Footprint amp can t predict the future but then nothing can What it can do is help you to understand the present market conditions from multiple perspectives price volume buy and sell pressure And if you understand what s happening now in the present you can make better decisions about what might happen in the Copyright 2007 MarketDelta LLC All Rights Reserved Strategy Guide Overview 13 near future Traditional charts are one dimensional where the Footprint amp is multi dimensional This is because each data point price in the Footprint amp contains not just price alone but also volume and a dynamic color which signifies more aggressive buying or selling The color is the result of whether more trading occurred on the bid or ask With all this additional trade data at each point new intra bar patterns emerge that you previously haven t noticed because it simply wasn t presented to you Technology is what makes this all possible So jump on board and begin using what the professional
110. shows where price traded but also the volume associated with that price See the other Footprint 1723 1139 1522 Black outline signifies the high types for more ways to view this in 173x0 1521 75 volume price within each bar formation 1521 50 1521 25 1521 00 Footprint Type This is the information within the actual Footprint amp The primary types are Bid Ask seen above Footprint Profile Delta Delta Volume There are a few other Footprint amp types which can be read more about in the Help Manual Copyright 2007 MarketDelta LLC All Rights Reserved 16 MarketDelta Strategy Guide Read each description throughout this chapter to fully understand and see graphically the difference between these five Footprint amp types Periodicity Periodicity is the measure by which a new bar will be created Each bar consists of multiple prices Footprints MarketDelta provides various periodicities that can be used to create new bars One periodicity named delta is exclusive to MarketDelta amp and provides a very powerful way to follow and confirm prices rotations and reversals All traders are familiar with time based bars 1 minute 5 minute etc MarketDelta excels at providing all sorts of various ways to create new bars most of them being non time based This is very important because the information the Footprint amp shows may be more relevant when viewing non time based bars like t
111. st where price is trading This allows market timers to have the inside view of turning points in the market because they are viewing volume with price The color shading jumps out at you when price begins to move or when they coil up waiting to breakout Another way the Footprint amp may be used by market timers is when price moves up to new highs and advertises for selling The Footprint amp will show whether aggressive sellers are entering the market at the new highs By displaying red Footprints at new high prices the Footprint amp is advertising selling activity Think of the Footprint amp as a big billboard flashing aggressive selling or aggressive buying when the colors change Simply put this would indicate the sellers are becoming aggressive at the highs Footprints light up dark red because the aggressive sellers are willing to throw more volume at the bids rather than posting their offer In this simple micro Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 95 pattern the sellers do not want to miss the opportunity to sell new high prices More times than not if aggressive selling does not enter the market price will move higher until it brings in a response by the sellers Complimentary Strategies amp Uses Use the Footprint amp to Confirm other Indicators The Footprint amp is also used to confirm a signal given from other indicators An example would be a moving a
112. tes to the previous few bars Also pay special attention to the column delta is developing i e Is it increasing or decreasing on an absolute basis What has the most recent trend in deltas been Positive and growing up or negative and becoming more negative e This will build your skills and help to recognize moves earlier in development Copyright 2007 MarketDelta LLC All Rights Reserved 42 MarketDelta Strategy Guide 4 1 S amp P 500 e mini S amp P 500 E mini Summary The ES is certainly one of the most popular instruments traded using MarketDelta and the Footprint amp chart Some of the primary reasons for this is liquidity and volatility two very important components Volatility serves a vital role in the development and construction of Footprints amp The Footprint amp is monitoring not only volume but also which side of the market that volume occurred It is the recording of this information that gives Footprints their color green for more aggressive buying trading at the ask price and red for more aggressive selling trading at the bid price Volatility is important because it makes the color presented by the Footprints more valuable Why Because with volatility comes follow through to price movement and because the Footprint amp is showing how much volume takes place and who is being more aggressive buyer or seller it provides a very good picture of potential future market direction in
113. the bars prior to it This bar has significantly more volume width AND had some dark red prices negative delta AND closed on its low AND had a negative delta for the entire bar These should all provide the trader with ample warning that the near term buying was over For more examples visit our Strategies page Timely market examples are at Figure 4 15 http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved 74 MarketDelta Strategy Guide 4 7 Gold Gold Summary Like some of the other futures contracts gold is a cross listed contract on more than one exchange A most liquid gold contract as of this writing is traded on COMEX The examples below are using the 1000z electronic gold contract on COMEX Another important thing to keep in mind is gold does a decent amount of overnight volume US time primarily when London opens Core Principles Sometimes a consolidating market provides some clues as to which way it may exit the consolidation The only way to really get an understanding of this is to view the composition of the Footprints amp and the delta for the bars in consolidation If viewing the Delta 96 Footprint amp then look for red deltas if looking price to exit the consolidation to the downside They don t need to be significant values like 60 or greater Just the fact they are red indicates net selling within consolidation and provides
114. the Market Profile amp provides is context Traditional Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 99 charts focus on price and volume and draw a chart over some time period Market Profile amp takes all that information and provides the added context of shape and creates a distribution and useful statistics from which a trader will gain added perspective and context The Footprint amp chart draws upon the both the strengths of traditional and Market Profile amp charts and creates what many feel is a killer application and view of the market Unique Examples In Figures 4 28 4 29 and 4 30 we see an interesting progression and method of confirmation Figure 4 28 shows 3 days of data for Crude Oil during the period of June 28th 2007 through July 2nd It shows a basic Market Profile amp with the initial balance black vertical bar to left of each profile and the value area blue vertical bar to right of each profile Figure 4 29 shows the same 3 days but split This separates each letter bracket and shows the ranges and prices traded during each particular bracket This could be viewed similar to a bar or candle chart but lacking the ability to see where each bracket closed The letter O in each bracket signifies the open for that bracket The split profile view can be utilized to spot potential areas of support resistance and areas where a market was stable and unstable i e volat
115. tion to how the Footprint amp uses color to compliment volume It is often very telling of the type of market you are witnessing Price _ Volume Delta Market Rising Increasingly Positive Strong Up Rising Decreasing Decreasingly Positive Weak or becoming Negative Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 41 Declining Increasing Increasingly Negative Weak Down Declining Decreasing Decreasing Negative Strong or becoming Positive KEY PRINCIPLES All these examples can be applied in any time frame Scalpers can take each of the examples and just apply it on the micro level The reverse is true for longer term traders Learn the trading principles that are exploited in the following examples Don t just memorize the example LEARN them Trading is not a one time test There are no shortcuts You will have to continually re apply your knowledge ideas and abilities each and every day Try to understand why the market developed the way it did What is transforming to eventually bring about the pattern The benefit is recognizing the forming of the pattern taking place before your eyes The Footprint amp will help you build the skills necessary to recognize moves earlier in development because you are seeing more of the trade information Focus on how each Footprint is related to the Footprints around it and how the current bar rela
116. tprint amp is to help you understand more fully what is taking place in the market and provide some context to all the activity taking place The Footprint amp is NOT a system but rather a superior way of viewing price and volume interact It will provide a means of confirming much of what you already know to be true but offer a better way of filter out the good trades from the bad The format of this guide is to provide the Anatomy of a Footprint so that you fully understand what the Footprint is and begin to see the usefulness of it The Footprint Strategies chapter will cover what this guide is all about Real life trading examples of patterns setups and strategies for many of the most popular markets that the Footprint is used for Each market category will have a couple examples that you will experience while trading All of these examples can be applied to other markets and are not exclusive to each individual market shown If you are new to MarketDelta the Footprint chart it may look abstract at first We ask that you please give it a chance and look at it as just another chart similar to a bar or candlestick chart Viewed in that manner you will quickly realize the Footprint amp is simply not just another chart but a tool you won t be able to do without Allow the natural way Footprints amp breakdown each bar price by price to communicate to you through color shape and numbers You will see the additional information i
117. tprint is the high volume price for the bar STRATEGY We have found many of the traders who like this Footprint type trade instruments that are less volatile and less driven by momentum One example of these markets would be fixed income markets Traders we have spoken with say the volume Footprint amp is extremely useful because they can see inside the bar to evaluate how much volume is trading at each price over whatever time frame they want to see This provides valuable information with respect to where the markets are most providing the most liquidity and can assist traders and managers at finding the best places to enter and exit positions Copyright 2007 MarketDelta LLC All Rights Reserved Anatomy of a Footprint 29 3 6 Understanding Periodicties Periodicity Summary We are dedicating a portion of this guide to understanding the various bar periodicities MarketDelta offers This is important because of the Footprint amp chart and the way we can now view and calculate trade data This will particularly discuss WHY you may consider some of these alternate periodicities and classify them into three categories Time Volume and Volatility based periodicities Periodicity is another word for time frame We use the word periodicity because many of the periodicity options in MarketDelta do NOT use time as a component This simply means the charts do not draw new bars based upon a clock but rather some oth
118. uld be lots of supply and demand present but buyers and sellers nearly equally matched in their conviction When these bars close it is important to see whether it was a positive or negative delta Tall and narrow bars usually represent illiquidity and show how price Copyright 2007 MarketDelta LLC All Rights Reserved 70 MarketDelta Strategy Guide had to move more than normal to achieve the delta threshold specified You will see these in pre and post market hours and during times of illiquidity like on economic releases or at price extremes Do be deceived by these bars because price CAN move a long way while creating the bar These rules are not set in stone They are just observations we have noticed since the release of this new periodicity We welcome your feedback if you have other ideas on how this could be interpreted and implemented Tall amp Wide 65 98 69 97 65 96 65 95 65 94 65 93 65 92 65 91 65 90 65 89 65 88 65 87 Short 8 Wide 65 43 65 42 65 41 Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 71 Tall amp Narrow Short amp Narrow 67 14 66 10 67 13 66 09 67 12 i 66 08 I 67 11 i 66 07 67 10 66 06 67 09 L 66 05 67 08 1 66 04 67 07 66 03 67 06 66 02 67 05 66 01 67 04 66 00 67 03 65 99 3 67 02 65 98 il 67 01 65 97 67 00 65 96 66 99 65 95 65 94 65 93 Com
119. umn designator which is simple stating the designation of the bar This is important because once each column is designated up or down then the only other rule is to monitor the number of price ticks from the high or low that occur Each column will represent a price run in a direction until a pre defined number of price ticks is traded off the low of a down move or off the high of an up move When this preset number of ticks happens a new column is added defining a new price run An example would be if the column were designated up and it was set to a 3 tick reversal then as soon as price trades 3 tick from the high tick of the current column a new column will start The best way to learn would be to open a Footprint chart set it to a 3 tick reversal and watch what it takes to produce a new column The reversal chart is one of the best ways to follow price action with the Footprint amp chart because it is more sensitive to order flow momentum and price action M Footprint ES V 0 P 1516 25 0 0 0 05 09 11 32 21 47 Jog gt u x 2m m 30m 3p 4p 10 pita vei ve FP ses More 1516 25 1516 00 1516 00 1515 75 1515 50 1515 25 1515 1514 1514 1514 1514 00 1513 75 1513 50 1513 25 1513 1512 1512 1512 T1051 1344 575 72 422 mmETSaV NEEzTSG 2395 1919 Cop
120. usters are developing within the bars Often times the clusters develop at important areas of a Copyright 2007 MarketDelta LLC All Rights Reserved Footprint Strategies 119 distribution helping to confirm acceptance or rejection of that particular area IMPORTANT You will tend to see more clusters of dark Footprints in trending markets than you will in rotational markets Trending markets exemplify direction and strength while rotational markets exemplify lack of conviction and are often directionless random behavior Non trending markets will lead to a pattern we call candy striping Another is a support resistance strategy Use the cluster areas as support and resistance on pullbacks Use the areas you identify as clusters as potential support resistance This will work best in trending markets when a market is consolidating The aggressive buyers sellers will defend area the original cluster appeared 4 14 2 Consolidating A consolidating market is one which finds price rotating within a range or channel The rotating concept can be seen in any time frame but these examples will consist of intraday time frame examples using one days worth of data Often a market will rotate between support and resistance areas in what seems to be a very random pattern but having the perspective of the Footprint amp can sure help Due to the unique manner in which the Footprint amp displays information unique Footprint amp cha
121. verage or moving average crossover As the signal is being produced from the moving average look to the Footprint amp to confirm the signal and better time the entry or exit Stochastic s are another example These can read overbought or oversold for a very long time causing big problems when trying to gauge buy and sell opportunities Using the Footprint amp you can monitor how the market is trading at the overbought oversold points and confirm whether the market is turning or whether continuation is likely The idea is to increase the probability that your indicator is giving a correct reading and not a false signal One of the most frequent compliments about MarketDelta amp is not how many trades it has put traders into but rather how many bad trades it has helped keep them from taking The reason for this is while your conventional indicators or tools give signals the Footprint amp gives you the evolving real time view of the market and how it is behaving at those points Although viewed as just another chart it is far from being just another chart It provides the most comprehensive trade information available of any chart form available thus providing more information for you to make your trades The Footprint amp is not a leading or lagging indicator Its job is to present all the data in the most readable manner for you to make trading decisions When viewing stocks or ETF it may be useful to use the scale feature located in Footp
122. ware Gerard C Singapore Thought would drop you a line to let you know how thankful am for your product have been position trading the Australian and European markets for some years now and MarketDelta has opened a new dimension for me in terms of execution Basically MD has allowed me to zone in on those sweet entry and exit points which the traditional order book and course of sales helped with but never got me as tight as MD has managed Ray K Australia Your software enables me to look under the hood of market action in a way I hadn t imagined possible before stumbled onto your website Imagine a few weeks ago I d never heard of Market Delta Now won t place a trade without it Peter O Massachusetts click here for more Copyright 2007 MarketDelta LLC All Rights Reserved 10 MarketDelta Strategy Guide Strategy Guide Overview This strategy guide will provide ideas on how MarketDelta and the Footprint chart can be utilized This guide does not even come close to all the possible uses and strategies that are possible but does provide a good foundation from which to begin putting your ideas to work with some practical examples Some of these examples are taken directly from customer feedback while a majority of examples are patterns and strategies we have identified after years of working with the Footprint amp chart Keep in mind the basic premise of the Foo
123. xamples visit our Strategies page Timely market examples are at http blog marketdelta com Copyright 2007 MarketDelta LLC All Rights Reserved 58 MarketDelta Strategy Guide 44 Dax Summary The Dax is a German Stock Index composed of 30 stocks It offers abundant volatility and trading opportunities and is a very popular instrument to trade using any of the strategies discussed in this guide In order to avoid confusion the Dax trades in halves but some of the examples below show only whole prices It has good liquidity but due to its volatility large traders may have to trade at multiple prices in order to execute size in this market This helps to fuel the volatility and you will often see the market move quickly and farther than what you expect Because this is a European instrument it tends to have 2 surges of liquidity during the day The first during the open in Europe and the second during the US open For traders in the US this can offer the opportunity to trade this instrument during normal hours and not have to trade it from bell to bell It is an excellent day trading contract Core Principles In the examples below for the Dax we will focus on trading breakouts Breakouts occur when price is exiting an area of consolidation This means many breakouts occur when price is leaving a continuation pattern A continuation is nothing more than a pause in the current trend Some of the most common continuatio
124. yright 2007 MarketDelta LLC All Rights Reserved 36 MarketDelta Strategy Guide Key points to understand 1 Footprint amp series down 2 Tick reversal set to three 3 3 MarketDelta waits for third price from the high or low of the current column to signal a reversal within Footprint amp series 4 Shift column when third reversal price is traded 5 New Footprint amp series begins in up direction Each price series is represented as a bar column This is similar to X s and O s in point and figure charts The difference is you now can see volume at each price and who initiated that volume aggressive buyers or aggressive sellers Copyright 2007 MarketDelta LLC All Rights Reserved 38 MarketDelta Strategy Guide Footprint Strategies While reviewing the following strategy examples and pattern definitions keep these few rules in the forefront of your mind Doing so will help to see the usefulness of the information more clearly Also examples and strategies will work across many markets and time frames so do not be discouraged if the market you trade was not covered in the examples Simply take the ideas and adapt them to your market If you need any helps with suggestions for the market you trade just contact us and we will be happy to provide some guidelines KEY OBSERVATION DIRECTIONAL TRENDING When the market is trending down you should expect to see dark r

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