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Guide to MarketDelta Strategies

1. 62 Part VI Row Total Distribution Strategies 66 1 Row Total Distribution ceci ria ana 66 Part VII Conclusion 72 1 Gonclusion eS 72 Index 73 O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading MarketDelta Patterns amp Trading Strategies 4 1 MarketDelta Patterns amp Trading Strategies 1 1 MarketDelta Patterns amp Trading Strategies This is hands on strategy manual that will provide ideas on how MarketDelta and the Footprint chart can be understood and used The format is to provide anatomy of a Footprint and the variations of Footprints and then provide real life trading examples of patterns and setups that you will come cross while trading Although the Footprint may look abstract at first 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 is simply not just another chart but a tool you won t be able to do without View the columns and boxes as you would any trading chart and you will see the additional information is indispensable It is superior to traditional charts in many ways but the most obvious is that volume is in each Footprint A very important distinction of MarketDelta is that it s NOT a
2. 11 Guide to MarketDelta Strategies Footprint ES M4 Inm xl E arr ye en vo Ei D 2 Q Streaming Battle Price Status Price 1 40 31 1 41 37 1 44 36 1 44 52 1 47 48 1 48 07 1 49 55 1 49 56 1 50 00 1 50 06 Price Ask Row Total af 1123 50 1123 50 112325 112325 1123 00 714 more contracts 1123 00 112275 traded on the offer 1122 75 1122 50 than bid i e Buying 1122 50 112225 pressure 112225 1122 00 1122 00 1121 75 7 2 1121 75 1121 50 636 017 514 255 5 1121 50 1121 25 4 1121 25 1121 00 E 1121 00 1120 75 E 206 1120 75 1120 50 Sellers are more 6 148 1120 50 1120 25 aggessive as they 8 198 1120 25 1120 00 hit bids causing a 14 1120 00 1119 75 drop in price 1119 75 1119 50 1119 50 1119 25 1119 25 1119 00 1119 00 1118 75 2 4 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 during trading The calculation would be the bid traded volume the ask traded volume Volume Footprint Using the Bid Ask Footprint example 1000 x 400 the Volume Footprint would be 1400 This will never be a negative number because it is the sum of traded volume e Click the Volume button at the top of the Footprint panel to view e Know when and where active trade occurs Begin to see Volu
3. 13 Guide to MarketDelta Strategies Footprint ES M4 Bid Ask Strike Button Bl x mm we Gs A vor tt D Q Streaming Battle Price Status Price 12 54 58 12 56 19 12 57 33 12 57 58 12 58 02 12 58 05 12 59 52 1 00 32 1 04 06 1 06 10 Bid Price Ask Row Total Af 112050 1120 50 1120 25 When 1119 00 was bid strikes 112025 i occured When 1119 00 was the 2920 s ask 144 strikes occured 111950 1119 25 1119 25 1119 00 0x41 111875 1118 50 0 18 13 23 1118 25 8x0 1118 00 29x0 1x0 1x0 1117 75 1117 50 1117 25 1117 00 1116 75 7 1116 50 4 2 6 Battle Price Li Frice Line Battle Price Line BPL The primary portion of this panel displays the bid traded volume price and ask traded volume respectively The BPL allows you to watch as the trades occur on the bid or the ask in a cumulating fashion The instant a new bid or ask price is traded a new cumulative volume count will begin at that price It will give you a sense of understanding tick by tick price by price as to the behavior of the market The order book can t do this for you because you can t tell when orders are being canceled versus traded Imagine watching the bid available quantity as it seems to get chewed away but nothing is happening in the bid traded volume You now fully understand the power of the BPL You don t get fooled by fictitious volume pulled orders or the flicker
4. Price 9 31 42 Bid Price Af 40145 40145 4014 0 A 40140 40135 Settings 40135 4013 0 4013 0 40125 Instrument DAX 40125 4012 0 Footprint style Bid Ask 4012 0 pitis Column shift 3 tick reversal mio 4010 5 4237 h Thresholds 25 50 100 4010 5 40100 4020 05 0 14 40100 4009 5 28x5 27 170 40095 40090 18 39 10 32 421 40090 4008 5 10x0 8x0 30x32 30x29 2x40 4008 5 4008 0 14x0 22x0 0 9 0 4 22x37 0x24 0x25 4008 0 4007 5 2x0 22x4 41x24 7 14x0 0x23 Dx2 9x25 4007 5 4007 0 20 33 6x19 7h38 72 71 25x12 29x10 4007 0 4006 5 4x0 52x28 74x61 13x0 50x10 10xD Dx15 28 14 33x70 40 63 30 38 4006 5 4006 0 19x14 2 0 EE 6x0 45 81 15500 32x73 4006 0 4005 5 100x oo 0818 58x94 4005 5 4005 0 490 53548 40050 40045 40045 40040 128 135 29x21 4004 0 4003 5 4003 5 40030 40030 4002 5 4002 5 4002 0 E 4002 0 4001 5 We call this Footprint pattern candy striping Here are a 4001 5 4001 0 i ji ipi i 4001 0 4000 5 couple examples Typically with candy striping you will 40005 4000 0 4000 0 3999 5 hibit ixed icti bi d Il 3999 5 39990 exhibits very mixed conviction among buyers and sellers 39990 3998 5 resulting in a very rotational market 3998 5 3998 0 3998 0 39975 i i i i 3997 5 3997 0 20 23 2 0 7 255 244 121 23 E 241 35 30 120 142 6 12 8 14 85 338 3997 0 4 Figure 4 21 Row Total Look at the randomness in Figure 4 22 the candy
5. Settings Trading Style Trend following Instrument ESZ4 Footprint style Delta Thresholds 125 250 500 1121 50 1 t t i i t i i t i 1 112125 2028 4548 119 1179 802 54 80 602 4126 1069 1491 5396 4362 2406 3820 775 305 10761 020 39 14 Figure 4 5 N Settings Trading Style Trend following Volume confirmation Instrument QQQ Footprint style Volume Column Shift 5 minute 7 7 notice the reversal of the delta at the low An important thing to note is the compared to the values leading up to it Ideally you would like to see a large column delta for the reversal bar 4 t 4 4 3 id i 2840100 384200 151700 384700 1704800 242200 362000 631900 788100 1537700 225500 05400 506000 197700 160700 945200 204000 247400 352300 63800 359600 Figure 4 6 Copyright 2004 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 36 4 4 4 4 1 Reversals Reversals 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 spikes and head and shoulders While this guide is not intended to cover all the different reversal chart patterns it is intended to show h
6. 5899 589 8 589 7 589 6 589 5 5892 589 1 589 0 588 9 588 8 588 7 i 588 6 588 5 588 4 588 3 588 2 5881 8 5 T 7 8 8 7 5 5 Footprint Count O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading 23 Guide to MarketDelta Strategies 3 1 Questions amp Answers Common Questions amp Answers 1 What is the benefit of having another chart pattern to help analyze trade data Don t we have enough types of charts out there already This is a very good question and a very easy one to answer Let me start by asking you a question Why do you think most professional traders use candlesticks instead of standard bar charts We believe it is simply because candlesticks are easier to look at and extract the necessary information more quickly Red bar is a down bar Green bar is an up bar The colors and shapes of the bars jump out at you and provide for an easier interpretation of the data The same analogy applies to the Footprint and the candlestick or any other type of chart The Footprint is superior to that of other types of charts because it represents each price AND volume AND whether or not it occurred on the bid or offer It simply provided more of the trade information The additional information it provides is volume number of trades and buying selling pressure calculated using price and volume Think of each Footprint bar
7. Miscellaneous Miscellaneous Volume Clusters These are areas on a chart where price rotates back and forth and distributes volume These are best seen on the time based Footprints They often become support or resistance during pull backs in trending markets Using the graphical row total display to the right of the Battle Price Line allows a trader to spot longer term volume clusters by reading the days volume distribution The best way to view volume clusters is on the volume Footprint or the Bid Ask Footprint Buying clusters These are areas within a bar or series of bars where it is apparent accumulation is taking place Buying clusters will be sequential blue usually the darkest blue Footprints back to back Other times it can be assumed to be a general area of the chart This is reflected below in the Euro currency futures chart Here there are back to back Footprints in some areas and general buying clusters within a range of prices at other spots on 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 general area of chart where the Footprints are not back to back Cluster Strategies A popular cluster strategy is to first recognize what stage of development the market is in rotational consolidatio
8. 9 15 2004 6 22 01 Connected to eSignal O Copyright 2004 Malato LLC All Rights Reserved Footprint Patterns amp Strategies 44 4 6 4 6 1 Battle Price Line Price 9 36 00 9 40 00 9 45 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 25 00 10 30 00 10 35 00 10 40 00 10 45 00 10 50 00 10 86 00 11 00 00 11 05 00 11 10 00 11 15 00 11 20 00 11 25 00 Bid Ask Row Total 40035 Settings i Trading Style Trend Following Reversal 40022 Instrument DAX 4001 0 Footprint style Delta 40005 Column Shift 5 minute 3999 5 Thresholds 25 50 100 total confirms the bullishness up until the point where you see a distribution of volume This might make for a good time to take profits if you are long Notice how the delta Footprint column total confirmed the breakout from the congestion near the low of the day 3974 5 AD Notice how light the trade was on the bid 39730 during these final two probes to the low 39725 compared to the previous probles BE amp o of Ro t R S if io OS amp oi oi f fo RR t 4 Figure 4 14 Rotational Rotational A rotational market is one which finds price rotating within a range or channel The rotational concept can be seen in any time frame but these examples will consist of intraday time frame examples using one days worth
9. bf MarketDelta living you the edge in electronic trading Guide to MarketDelta Trading Strategies A practical guide for identifying Footprint patterns and strategies Copyright 2004 Malato Harnett LLC All Rights Reserved Guide to MarketDelta Trading Strategies Giving you the edge in electronic trading by Malato Harnett LLC 10 20 2004 O Copyright 2004 Malato Harnett LLC All Rights Reserved Guide to MarketDelta Strategies Copyright 2004 Malato Harnett LLC Rights Reserved 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 without the written permission of Malato Harnett LLC Products that are referred to in this document may be either trademarks and or registered trademarks of the respective owners The author makes no claim to these trademarks whatsoever The documentation and software are provided as is and 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 Malato Harnett LLC makes no representation warranty or covenant concerning the accuracy sequence timeliness completeness or availability of the software and or documentation or any other information or the likelihood of profita
10. 1122 00 235 276 0x85 0 3 0 120 112175 0x10 3x0 181082 742 3x39 163x3 0x91 1121 50 118x50 0x50 5x0 3x0 1121 25 384x189 43x0 1121 00 39x0 112075 1120 50 1120 25 1120 00 x 111975 4 Ask Footprint Bid Ask Footprint Displays the number of shares or contracts that traded on bid price and the number of shares or contracts that traded at the ask price in real time As the bid and ask change with price the Bid Ask Footprint adjusts accordingly They display as cumulative BID traded quantity x cumulative ASK traded quantity Example 1000 x 400 All the Footprints move from right to left across the screen With each Footprint type you have the ability to scroll back in time to view the previous price action or recall how much market activity took place e Click the Bid Ask button at the top of the Footprint window to view e This Footprint will help you keep track of the market action as it happens e See exactly how bid traded volume and ask traded volume affect the market at each price Follow volume and momentum as it happens by setting the color shading to your preference e Footprint shows whether the volume was on the bid side or the ask offer side e Scroll back in time and see what happened to help get caught up to the present e See how many shares contracts traded e See how many orders where involved e See what side of the market the trade occurred on
11. Price 2 35 00 2 40 00 2 45 00 2 50 00 2 55 00 3 00 00 3 05 00 3 10 00 3 15 00 3 20 00 3 25 00 3 30 00 3 35 00 3 40 00 3 46 00 3 50 00 3 55 00 4 00 00 4 05 00 4 10 00 Bid Price Ask Row Total 1144 50 1144 50 Al 114425 Settings 114425 11499 Trading Style Trending Volume confirmation 114200 114350 Instrument emini S amp P 500 1143 25 n 114305 Footprint style Volume 1143 50 1143 25 1143 00 114275 Column shift 5 minute N 114275 1142 50 1142 50 114555 Thresholds 500 1000 1500 114326 1142 00 1142 00 1141 75 1141 75 1141 50 1141 50 114125 114125 1141 00 1140 75 TERES 1140 50 1140 50 1140 25 1140 25 1140 00 em 1139 75 1139 75 1139 50 1139 50 1139 25 113925 1139 00 1139 00 1138 75 1138 75 1138 50 113875 1138 22 Notice the positive column delta values 113775 as price rallies This helps to confirm 113775 1137 50 1137 50 113725 312 538 the strength of the rally 103625 1137 00 1137 00 1136 75 7 113700 1136 50 353 795 1135 50 1136 25 663 1136 25 113875 1136 00 1135 75 8 1135 75 1135 50 1135 50 1135 25 HE Dy 4 113525 x 1135 00 1291 357 2174 255 857 2880 3508 7530 3977 1265 3060 943 780 3328 2027 5516 10359 1606 1895 3645 1135 00 Figure 4 30 O Copyright 2004 Malato LLC All Rights Reserved Footprint Patterns amp Strategies 58 4 10 4 10 1
12. Reversal Pattern z Instrument Dax E 39845 Footprint style Bid Ask Small EE H SOR Column shift 5 minute n 38870 t n Thresholds 25 50 100 B Bu 3980 5 ri 3980 0 g d X5 I a Stronger volume 39780 a E um unng ac 39775 5 helping to confirm E tai trend 39755 iT 29745 L 39740 3973 0 39725 39720 H 3971 5 39705 3970 0 3969 5 969 0 3968 0 3867 5 39670 966 5 39655 3965 0 E 3964 5 3964 0 3963 0 Here is just a wider view of how 39625 39620 the market was behaving before E and after the reversal took place 2000 39580 v 39575 Figure 4 11 Figure 4 10 is the same market and time as Figure 4 11 but using a different Footprint resolution This gives a little more perspective of what the market was actually doing prior and after the reversal The Footprint helps to make it very clear when the volume is increasing or decreasing and who is in control of that increase or decrease Look at Figure 4 11 and notice how obvious the Footprint makes this insight Darker colors represent more conviction on the part of either buyers blue or sellers red O Copyright 2004 Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 42 4 5 4 5 1 Copyright 2004 Malato Harnett LLC Battle Price Line Price 10 55 00 11 00 00 11 05 00 11 10 00 11 15 00 11 20 00 11 25 00 11 30 00 11 35 00 11 40 00 11 45 00 11
13. amp Strategies 56 4 9 2 knowing volatility just increased and that more could be in store for a given market Battle Price Line t t t t t t 3 36 48 3 30 48 3 96 49 3 36 60 3 20 50 3 26 50 3 30 50 32651 2 20 52 2 20 52 2 30 53 32653 3 30 53 32654 3 30 55 3 97 02 93 37 03 33703 3 37 11 3 37 24 33751 3 39 10 Price Ask al 13274 Row Total 13273 Settings 13273 13272 Trading Style Reversal Capitulation Skipping pattern The setup here was the market was 12272 13270 Instrument Hang Seng Index Futures trending down when finally the selling 13268 Footprint style Bid Ask picked up and finally tapitutattor 0 4 13269 13268 1 ili isi 42 13268 13267 Column Shift 5 tick reversal appeared tHough volatility This is what gti 43267 13206 Thresholds 5 10 20 we call the skipping pattern and is eg 13268 13264 2 1 3x6 13263 4 4 occurred the low of the day 1x3 13262 dx 0 3 13261 0 13260 77 0 1222 80 EZB 29 13258 Oxt 1 4 0 1 0 2 1x3 13257 1x0 0 1 Ox 0 1 0 1 0 3 0 1 4x5 13256 60 0 1 Oxt 41 0 2 33 Ea 13255 Bae oe 0 6 1 4 0 2 Oxt 4x0 5x0 56 aia 30x32 13254 0x5 0 2 2 0 1 0 5 0 2 0 3x1 0 1 13253 0 5 40 2 0 2 0 2 0 7 0 1 0 6 6 40 13252 7x6 2x0 1x0 1x0 7x0 2x0 2x0 40 26x20 13251 3x0 6x0 1 0 ex 13250 150 10 0 3x0 3x0 13249 12248 Another pattern appare
14. pattern the Footprint does a very good job of pointing lacking The rotational characteristics in this chart are Outis a rotational type pattern where the ability to trend is typical for a market that doesn t seem possess the ability to trend 5 2100 75 42 99 4 350 62 24 136 Figure 4 19 O Copyright 2004 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 48 4 6 2 Candy Striping Candy striping is a term to describe a pattern that represents a very mixed market during a price series up or down and is unique only to the Footprint chart This type of pattern happens when buyers and sellers lack conviction and are battling for control It appears as a bar of Footprints where some are blue and some red Ideally it would be a 50 50 mix It creates a striped pattern in the bar Candy striping is often present in non trending and rotational type markets To touch on something mentioned earlier 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 make you more aware of what to possibly expect 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 it s original directi
15. 1080 1334 285 606 2311 9 1325 1327 171 4508 91 8364 744 1001 2984 113025 41 Lol 10 5 2004 9 54 40 AM Connected to DTN Figure 4 26 Figure 4 27 shows how price has been trending higher and a surge of buying drives price to new highs with a large column delta value of 11 730 This means 11 730 more contracts traded on the offer during this 5 minute bar which would indicate aggressive buying The next bar fails to put in a new high retraced 5090 of the previous bars range and even has a small selling cluster However an astute trader would notice the small negative delta of 2 290 for the column This states 2 290 contracts have been distributed during the price retracement It s not hard to see that only a fraction of the volume accumulated on the way up was distributed during the retracement This turns out to be rather bullish following the principle of higher volume while trending higher and with light volume retracements With the 12 15 bar closing near its highs there are quite a few reasons why the market might continue higher O Copyright 2004 Malato Harnett LLC All Rights Reserved 55 Guide to MarketDelta Strategies Footprint ES Z4 5min Time Display BER x Slo m afv 2 D e Copyright 2004 Malato Harnett LLC Battle Price Line Price 11 05 00 11 10 00 11 15 00 11 20 00 11 25
16. 133 288 1 80 2 14 1 14 75 1 63 29 2 20 2 20 80 Footprint AB 24 5min Time alele 0210 Copyright 2004 Malato Harnett LLC Battle Price Line Price 1 40 00 1 45 00 1 50 00 1 55 00 2 00 00 2 05 00 2 10 00 2 15 00 2 20 00 2 25 00 2 30 00 Bid Price Ask Row Total Ef 5907 5907 590 6 5906 590 5 8 0 100 590 5 590 4 i 590 4 590 3 20x96 471 590 3 Blue Cell Count can view red cell count by selecting red cell count _ Footprint AB 24 5min Time Display EET s x lfm merkene Sjel afl Mf 2121 0 Copyright 2004 Malato Harnett LLC Battle Price Line Price 1 40 00 1 45 00 1 50 00 1 55 00 2 00 00 2 05 00 2 10 00 2 15 00 2 20 00 2 25 00 2 30 00 Bid Price Row Total Ey 5907 5907 590 6 590 6 590 5 8 0x100 590 5 590 4 0 5904 5903 5903 Ask 75 00 56 57 57 14 20 00 100 00 7 69 100 00 20 00 85 71 42 86 52 50 Blue Cell Percent can also view red cell by selecting red cell percent O Copyright 2004 Malato Harnett LLC All Rights Reserved 21 Guide to MarketDelta Strategies E Footprint AB Z4 5min Time Display Copyright 2004 Malato Harnett LLC Price 1 45 00 1 50 00 1 55 00 2 05 00 2 00 00 vo Q Battle Price Line 2 10 00 2 15 00 2 20 00 2 25 00 2 30 00 2 35 00 Bid Price Ask Row Total
17. 31 Buying and selling clusters generally represent conviction on the part of the initiator In the chart of the 10 year note below when selling clusters were apparent usually price travelled lower Vice versa with buying clusters Particularly notice the heavy buying cluster on the last probe to the lows A new low was not established and price began to return to where the move started In summary clusters assist in gauging momentum on directional moves and serve as potential support or resistance during retracements Copyright 2004 Malato Harnett LLC Battle Price Line Price 8 40 00 8 45 00 8 50 00 8 55 00 9 00 00 9 05 00 9 10 00 9 15 00 9 20 00 9 25 00 9 30 00 9 35 00 9 40 00 9 46 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 Bid Price Ask Row Total a 112290 112285 Settings 112285 112280 Instrument 10 Year Note ZN 112280 112275 112275 112270 Footprint style Volume 412270 Column shift 5 minute 112285 h Thresholds 750 1500 3000 412255 112250 112245 112240 112235 112230 112225 112220 112215 112210 112205 112200 112195 112190 112185 112180 112175 112170 112165 112160 112155 112150 Heavy selling clusters 112140 112135 112130 112125 112120 112115 112110 112105 112100 112095 112090 112085 112060 Typical candy striping pattern 112070 18192720 112065 112060 1 112055 172090 000 Notice how price retraced up to last heavy selling
18. 5 39 3 3976 0 39755 3975 0 39745 Notice how light the trade was on the bid 39730 during these final two probes to the low 3025 compared to the previous probles 39715 t 4 t 4 t t f t t 4 t t t tt t 4 f 39710 171 262 288 92 138 493 8 61 367 458 97 76 372 111 116 165 400 76 27 142 168 54 4 pl Figure 4 3 4 3 2 Continuation Continuation patterns are pauses in the prevailing trend that create sideways price action As a general rule of thumb the move out of the continuation pattern will be in the direction of the prevailing trend Continuation patterns are generally NOT reversal patterns Continuation patterns consist of triangles ascending and descending flags pennants rectangles and wedges These are the most common continuation patterns and can be seen and followed much more closely using the Footprint chart Understanding the probability of a continuation occurring is crucial for deciding whether or not to take the trade Once you decide to take the trade you must time your entry To better your chances of success first determine whether or not you are witnessing a continuation pattern Seems obvious yet many lose sight of this fact Once aware of the chart pattern and its general tendencies use the Footprint to help confirm the pressure of the market and then better time your entry based on the flow of volume into the market Using traditional technical analysis with the Footp
19. 8 4 8 1 Scalping Scalping Scalping is more of a trading technique than a strategy however we have included it in this section because many users of MarketDelta and Footprint are scalpers Scalpers must learn all of the patterns discussed throughout this manual and then apply them on a shorter time frame Candy striping column delta divergence rotational and the skipping pattern are among some of the patterns that will not be recognized prior to reading the rest of this guide The ability to see how much traded at each price and what side of the market the trade occurred on gives the trader added insight to how market is trading Intuitively understanding market potential and how the market is trading is crucial for scalpers and longer term traders alike Scalper will find more value in the absolute numbers displayed in the Footprints than longer term traders This is especially true at the extremes and at critical breakout points It can possibly help the scalper better determine which way the market is leaning and allow them to enter exit the market in a more timely manner This is accomplished by having the ability to see which side of the market more of the trade is going to Having a basic understanding of supply and demand and price volume relationships is a must for scalpers To see price rally with equal trade occurring at the bid and offer represents a possible false rally To see price rally with more trade occurr
20. Total 4070 5 18 40700 ed 26 EI Br E 4069 5 4069 0 4068 5 4068 0 4067 5 4067 0 4086 5 4066 0 4065 5 5 a 4065 0 Trend direction is up Wedge pattern with column 4615 delta confirmation Notice how during the wedge 40635 development how column delta remained positive for mE most columns within the wedge This helps to confirm the probability of continuation Settings Trading style Continuation Instrument Dax Footprint style Delta Column shift 5 minute MOSTLY POSITIVE COLUMN DELTA S Thresholds 15 30 60 2 497 430 205 4n 10 11 2004 12 56 52 PM Disconnected 4 Figure 4 4 Volume Confirmation For trend followers it is very important to know if volume is fading as price matures in the trend Declining volume in a trend might alert the trend follower that the trend is weakening or about to end Knowing how much volume is occurring and how it is flowing from the bid to the ask is very crucial in the success of gauging whether the O Copyright 2004 Malato Harnett LLC All Rights Reserved 35 Guide to MarketDelta Strategies trend will continue or begin to run out of gas Running out of gas is running out of volume You don t want to be the buyer of the high when the trend runs out of gas The Footprint will give you this constant fuel gauge and help you to better understand
21. a level playing field to see what each other is doing and begins to uncover some of the games large traders play at times Column Delta Scalp Column delta is the sum of all the Footprint 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 column delta to confirm that aggressive buying is driving price thus sustaining the trend The reverse is true for a down trending market There should be a negative column delta to confirm more aggressive selling In a rotating market the column delta will typically flip flop back an forth or not show strong conviction either way This helps to confirm the type of market you are witnessing If you are witnessing a rotating market but the column delta s are all pointing one direction then there is a greater probability price will leave the area of rotation in the direction of the column delta arrows The arrows are there just to give a better visual que rather than trying to read a positive or negative number In the example below the chart shows the ESZA with a tick reversal set four 4 The market is trickling down notice the column delta s and finally creates a potential O Copyright 2004 Malato LLC All Rights Reserved Footprint Patterns amp Strategies 54 triangle breakout pattern The tip off to this successful breakout to the upside occurs right at
22. as you would a candlestick with volume shown at each price or buy sell activity It truly provides a more intuitive way to view the market Also just as candlesticks have unique patterns doji hammer etc so does the Footprint because of this additional information and the way it is displayed 2 I understand that using MarketDelta involves screen time to observe the patterns suspect many like myself tend to respond to that with what exactly should we be looking for Can you provide a short checklist of the primary things we should be cycling through as we observe the In other words for a beginner with MarketDelta what kind of mechanical process of observation would instill useful skills and lead to mastery Pay attention to the edges of Footprints as price trends and rotates You are looking for the light and dark boxes Dark blue boxes at the top of a range imply heavy volume resulting from buyers being aggressive and buying the offer Dark red boxes at the bottom of a range imply heavy volume resulting from sellers being aggressive and selling the bid Light colored boxes at the edges imply less conviction and a possible reversal Monitoring the volume distribution keeps you in tune with where all the price action is occurring Monitoring the delta distribution keeps you informed of which prices are more aggressively challenged by the buyer and seller 3 Are there any specific patterns y
23. bar was done near the high or low of the bar In a rising market if a majority of the volume is done near the high of the Footprint bar this could signal follow through as price continues to rally Bid Ask Strike The primary benefit of the Bid Ask Strike is that it shows order flow with respect to the number of transactions occurring on the bid and ask at each price Large values for this Footprint would represent high participation by many different traders as they scramble to get their order filled O Copyright 2004 LLC All Rights Reserved Questions amp Answers 26 Our findings have been that each Footprint provides unique information and that some traders will prefer one over the other We recommend experimenting with each of them and find which one fits you best Start with understanding what you are looking at Volume Footprint is a good starting point because we are all familiar with volume Each trader will benefit differently as they gain experience and increase their abilities Most important is to be patient as you learn this new chart form Nothing of benefit comes easy and the hard work will pay off as you spend time with this cutting edge analytics trading tool 8 What is the value of Time Based versus Price Action Based Footprints Is it simply a matter of the correspondence to the price bar charts versus the point and figure charts The general answer is Yes to your qu
24. direction of the 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 when price bounces Pay special attention to how the Footprint communicates this principal through the use of color and color patterns Price Volume Market Rising Increasing Strong Up Rising Decreasing Weak Declining Increasing Weak Down Declining Decreasing Strong Each pattern has been classified as to what type of market strategy it best fits Just because a pattern is classified under one type of strategy doesn t mean it can t be applied to other strategies All these examples can be applied in any time frame Scalpers can take each of 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 these 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 Begin trying 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 will help you build the skills needed to recognize moves earlier in development because you are seeing more of the
25. i t i i t t i t t t i t t t t i t i 5642 122 55 610 55 227 19 92 17 130 205 609 481 131 44 285 428 173 50 117 33 610 617 165 sl pi Figure 4 1 Trending Trending The definition of a trend is the general direction of the market However being general probably won t make you any money It takes a more precise definition such as 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 and in some cases total volume for each price However none take it a step further The Footprint assists in trend following in a breakthrough way Each Footprint measures the buy sell pressure through a thermometer of color The thermometer color is set by the trader to levels of volume they feel are important for their specific market Notice in the Footprint charts below how the color of each Footprint accurately reflects the general price direction of the trend Many times the price direction will be confirmed by the color of the Footprints following that trend For example in an uptrend typically you will see many more blue Footprints The darker the blue O Copyright 2004 Malato Harnett LLC All Ri
26. in any trading condition Benefits of Footprint Have the unique perspective of gauging each trade and seeing who has more conviction buyer or seller e Scroll back in time and see past Footprints Graphically see buy and sell pressure enter the market in real time or look back during the session to see when and how it hit Graphically see relative number of buyers sellers entering the market Real time updating of comprehensive trade information e See how much volume it took to turn the market e See how many orders where involved e See what side of the market the trade occurred on Follow aggressor as they attempt to move the market Identify clusters of support and resistance which become evident through areas of volume and liquidity Confirm breakouts and other traditional chart patterns using volume Footprint Resolution Allow you to zoom in out on the Footprint area This helps you to gain different perspectives with regard to time and how price action occurred There are four resolutions Two show a numeric form of Footprint and two show a non numeric Footprint The two numeric forms also provide the ability to have statistics at the bottom of each column Footprints can provide a market memory that is always a mouse click away Price Action Based Footprint Based on the point amp figure model this view allows one to follow the ebb and flow of volume with respect to price
27. market and now has run into an 122n area of consolidation Use the BidlAsk Footprint to E MEJ 12269 monitor how trade is developing within this consolidation 5x86 23 14 DIET 1348130 12266 range Notice before the breakout how the column delta s MMC HE MEUM o 12266 were showing positive numbers This reflects a buying interest Settings Instrument Euro currency futures Footprint style Bid Ask Column Shift 4 tick reversal Thresholds 10 20 40 Notice how price is holding the high volume area This is a sign of support at this price level Figure 4 24 Another example of pressure building would be when price is range bound As price bounces from the top of the range to the bottom of the range it will become apparent which side of the range more volume accumulates This is apparent through the value contained within each Footprint and the color of each Darker colors appearing on one of the edges could be aggressive participants betting on a breakout in that direction A key tactic often used is watching the fringes of a trading range or channel for clues as to what the market might do next In Figure 4 24 prices breaks out of consolidation around the 1 2250 level and rallied all the way to 1 2270 with only one red Footprint contained in the whole rally O Copyright 2004 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 52 4
28. 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 can sure help Due to the unique manner in which the Footprint displays information 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 Each Footprint is a price represented by box The boxes stack on top of one another O Copyright 2004 Malato Harnett LLC All Rights Reserved Guide to MarketDelta Strategies making it very clear what the defined boundaries are for the rotation An example of a rotating market that is trending lower is Figure 4 15 The important concept to grasp here is HOW it rotated lower Each 5 minute bar had almost the exact same range and they continued to probe a point or two lower without breaking down dramatically in all a very boring drift lower yet predictable Copyright 2004 Malato Harnett LLC Battle Price Line Price 1 25 00 1 30 00 1 35 00 1 40
29. the apex This is one of the largest positive delta s all session and creates a potential long opportunity As price breaks out it is confirmed by aggressive buying and a positive column delta RI ebd 7 x Bl 20530 Oesa swf a ODA Q Copyright 2004 Malato Harnett LLC me Enter the Tick Reversal t 9 30 00 9 00 10 06 00 10 10 00 10 16 00 10 35 00 10 40 00 10 46 00 10 54 00 Price jane Enter a value for the Tick Reversal t t 11 og 4140 50 Price 3 50 55 3 51 09 3 51 35 4140 50 1140 25 For a Tick Footprint this is the 1099 00 114025 1140 00 number of tick reversals to create a 1098 75 1140 00 TEES new footprint column 1098 50 al t 13930 1098 25 1139 00 In the example shown to the right 109775 1138 75 the Tick Reversal is 2 so a new 1097 50 1138 50 column was formed when the 1138 25 current traded price went down 2 1097 25 115800 prices from 1098 00 101097 1097 00 1137 50 1137 25 1137 00 5 113675 Tick Reversal E 1136 50 1136 25 1136 00 1135 75 1135 50 1135 25 1135 00 1134 75 1134 50 1134 25 1 1134 00 1133 75 1133 50 1133 25 1133 00 113275 1132 50 113225 113200 reversal indicates 1132 00 1131 75 1131 75 1131 50 breakout of triangle to 1131 50 1131 25 the upside 1131 25 1131 00 1131 00 1130 75 1130 75 1130 50 1130 50 1130 25 1 16 80 114 502
30. what is actually happening in the market Because we give volume at price inside the Volume Footprint use this information to read if more volume occurred at the top bottom or mid range of that bar It s very critical to know if most of the volume on a particular bar was done near the high or low of the bar In a rising market if a majority of the volume is done near the high of the Footprint bar this could signal follow through as price continues to rally Vice versa for a falling market Footprint ES 24 Sz 2 Gl eee me 01109 ma val n 912 Battle Price Line 9 20 28 9 34 25 9 37 43 9 39 52 9 40 38 9 42 34 9 46 40 9 54 43 9 55 36 10 01 56 10 03 44 10 05 11 10 07 08 10 08 05 10 11 57 10 15 54 10 24 51 10 34 08 10 34 31 10 42 22 11 09 00 11 13 40 11 15 09 af 1128 75 1128 2 Being that this is a trending market notice how the delta Footprint shows 1128 00 the buyers are still in control driving price higher and higher Look atthe 1127 75 i i i 1127 3 number of positive columns and the sheer size of the positive numbers 113790 contained in the gray shaded area The columns that had down delta 112650 totals where relatively small reflecting little conviction to sell aggressive 1126 25 1126 00 1125 75 1125 50 1125 25 1125 00 2 2 112475 617 34 259 1124 50 105 1124 25 1124 00 Ask Row Total
31. 00 2000 861 11587 115 86 1048 115 86 115 85 115 80 115 79 115 78 11577 1325 to P mi Here is a good example of a rotational market and how it would look using the Footprint One way to 1226 EE 1138 Em 332 Notice here how the column delta was confirming a shor term bottom as price printed a new low by one tick It was then confirmed with good buying off t inuati f ta 11576 11277 spot a rotational market using the Footprint is by 11573 Seeing many candy striped columns This 11572 represents lack of conviction from both buyers and 115 71 11570 setters 115 69 t 115 68 2098 6089 403 469 915 329 639 1585 1480 4320 3174 911 7614 2717 999 3326 720 156 3045 957 3684 2560 5 2 Figure 4 18 Figure 4 19 is another good example of a rotational market It can t be stressed enough how important it is for a trader to build expectation around the potential for a given market Expectations will guide actions Actions will lead to profits or losses Proper actions will lead to profits and late actions will lead to losses Seeing the market develop as it did in Figure 4 19 will give one confidence that the chance for a breakout in either direction is reduced because of what the Footprint is showing On the contrary if trade begins to accumulate near one of the extremes and volume is evident through dark Footprints then the und
32. 00 1 45 00 1 50 00 1 55 00 2 00 00 2 05 00 2 10 00 2 15 00 2 20 00 2 25 00 2 30 00 Price Ask Row Total a 1138 00 inge 1138 00 E 1137 75 Settings 113775 1137 50 7 Trading style Rotational 1137 50 113725 14 173 107 ini 1137 25 113700 2918 09810487 300 Instrument emini S amp P 500 1137 00 MEM Million Ao ide etg HE 43625 Column shift 5 minute 113625 1136 00 Thresholds 250 500 750 1136 00 1135 75 1135 50 1135 25 1135 00 1134 75 1134 50 1135 75 1135 50 1135 25 1135 00 1134 75 1134 50 1134 25 1134 00 1133 75 1133 50 1133 25 1133 00 1132 75 1132 50 go lower by only a couple of 1134 00 il 113375 ticks Also the highs of each 1133 50 1133 25 1133 00 1132 75 1132 50 113225 column is very similar 1132 25 1132 00 1132 00 vi 1131 75 1058 624 188 539 1595 2704 1552 369 2704 166 3239 1078 790 4973 4 Figure 4 15 Yet another example of how the Footprint helps the trader keep price rotations in perspective is by providing a clear picture of the average range of each rotation Notice in Figure 4 16 how each 5 minute bar generally consists of 6 or 7 prices Figure 4 17 shows the same information except in a trending market and with the Footprint Count analytic applied The Footprint presents this information so clearly that you almost take if for granted however this is very important to recognize because it makes you more aware of market poten
33. 00 11 30 00 11 25 00 11 40 00 11 45 00 11 50 00 11 55 00 12 00 00 12 05 00 12 10 00 12 15 00 12 20 00 12 25 00 12 20 00 12 36 00 12 40 00 12 46 00 12 50 00 12 55 00 Bid Price Ask Total af 111450 inna 111450 Settings 111400 Trading style Trending 111350 Instrument emini S amp P 500 13 111325 Footprint style Volume REN 5 11300 hift 5 minut 939 111275 olumn shift 5 minute N 19 10 111250 Thresholds 500 1000 2000 d 1112 25 144 1112 00 sn 1111 75 1111 50 1111 25 111100 1110 75 1110 50 111025 1110 00 1109 75 Notice the difference in magnitude 1109 00 ofthe column delta s There was a 110875 net accumulation of 11 730 on the 1108 25 run to new highs and only a 110775 distribution of 2 290 on the 50 1107 50 retracement 1107 25 1107 00 110675 1106 50 1106 25 1106 00 1105 75 1105 50 1105 25 443 147 1105 00 1104 75 258 1104 50 848 1104 25 85 1104 00 8997 10 110375 1 1103 50 i t i 1103 25 765 719 772 2265 2600 3977 923 212 2436 1412 1174 5006 7377 11730 2290 4950 427 2208 2179 961 169 695 752 4 ia Figure 4 27 49 Capitulation 4 9 1 Skipping Pattern Capitulation often represents a reversal It will often occur with extreme volume and an increase volatility Depending on the type of Footprint you are watching this will be seen differently The time based Footprint will showcase more of the volume portion and the point amp f
34. 33 D Delta 10 18 descending triangle 33 descending triangles 42 double top bottom 36 sE Equal delta 50 F flag 33 flags 42 Footprint count 18 H head and shoulders 36 Heavy volume 56 Market timing 28 MarketDelta Indicator 62 O outside bar 36 P pennant 33 pennants 42 Point amp Figure 55 Pressure building 51 price reversal 7 R rectangle 33 rectangles 42 Red cell count 18 Red cell percent 18 resistance 30 Reversal 36 Rotational 44 Row total distribution 15 S Scalp 52 Scalping 52 Selling cluster 58 O Copyright 2004 Malato Harnett LLC All Rights Reserved Index Skip 55 Skipping pattern 55 spikes 36 Strength 18 support 30 support and resistance 58 symmetrical triangles 42 Trend following 30 triangle 33 42 triple top bottom 36 V Volume 11 Volume cluster 30 58 Volume confirmation 34 Volume trend 62 W wedge 33 wedges 42 74 O Copyright 2004 Malato Harnett LLC All Rights Reserved 75 Guide to MarketDelta Strategies Endnotes 2 after index O Copyright 2004 Malato LLC All Rights Reserved
35. 4 23 shows a rotating market early in the session note the flip flopping column delta values You can see as highlighted in pink the column delta s began to show weakness on the last probe to the highs It became more clear that the buyers lacked conviction to drive price higher Notice that once price started to go lower the column delta values began to increase negatively and were in back to back bars Copyright 2004 Malato Harnett LLC Battle Price Line Price 9 36 00 9 40 00 9 46 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 25 00 10 30 00 10 35 00 10 40 00 10 45 00 10 50 00 10 55 00 11 00 00 11 05 00 11 10 00 11 15 00 11 20 00 11 25 00 Ask Total es Settings Trading style Consolidation Instrument emini Russell 2000 Footprint style Volume Column shift 5 minute Thresholds 50 100 200 37 E mga Small positive delta s as price makes another attempt at the highs shows underlying weakness in market 565 1 b 5650 564 9 tf t t 1 2 t t 4 1 4 4 4 t t t t i t 564 8 146 497 180 470 367 339 79 197 280 98 27 120 27 261 641 425 76 166 143 89 278 93 6 41 Figure 4 23 O Copyright 2004 Malato Harnett LLC All Rights Reserved 51 Guide to MarketDelta Strategies 4 7 2 Pressure Building One of the benefits the Footprint provides over other types of cha
36. 4 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 38 Battle Price Line Price 2 20 00 2 25 00 2 30 00 2 35 00 2 40 00 2 45 00 2 50 00 2 55 00 3 00 00 3 05 00 3 10 00 2 15 00 3 20 00 3 25 00 3 30 00 3 35 00 3 40 00 3 45 00 3 50 00 3 55 00 4 00 00 4 05 00 4 10 00 Ask Row Total af 113175 1131 75 1129 25 the S amp P emini has be trending up and then makes quick to new highs on good volume 1128 00 You can see where it ran out of steam when 82 contracts traded on the high it then makes another attempt with weak volume 112825 Price then weakens some and moves back down to the center of this upper volume distribution 1127 75 Settings 1127 50 Instrument emini S amp P 500 1127 25 Footprint type Volume Gmi 1126 50 Thresholds 500 1000 1500 i i i i i i i 111550 1020 3908 212 5975 5017 3040 6045 1728 1307 1712 328 3035 17216 308 2255 179 303 4811 00 5718 2377 3592 4 prati Figure 4 8 Reading the comments on Figure 4 8 you can see that the high price couldn t attract much volume even on the second probe This is very telling information especially as price moves even one tick away It tells you that present demand may be wavering It is NOT telling you that price is going to sell off but rather taking a breather Price had just put in new hi
37. 50 00 11 55 00 12 00 00 12 05 00 12 10 00 12 15 00 12 20 00 12 25 00 12 30 00 12 35 00 12 40 00 12 46 00 Bid Ask Total More red Footprints than blue in second attempt at high up half of bar Light volume 4 at the high prices 0 4 24 15 23 20 25x5 34 36 97 8__32 23 7 0 0x12 0 18 12x2 0 6 26 32 18 26 11x24 Tx 294 225510 43 62 55x51 29 13 4362 0 4 0 2 0x25 35 22 22x20 900 28x15 1732 7x10 38x34 4630 10x1 40x12 28x51 38x18 27x0 10x0 40 63 57 44 27 41 23 23 28x2 87x104 52 27 21 20 36 20 38x16 4 0 16x0 28x0 second attempt at the high is evidence of a weak attempt to push prices higher volume with a positive column delta for this column to have a high probability of continuation Dx17 Dx2 53 45 24x40 16x29 10 69 54 1x26 60x85 4469 Oxi 56x53 21 11 Settings Trading Style Double Top Reversal Instrument emini Russell 2000 Footprint style Bid Ask Column shift 5 minute Thresholds 15 30 60 t t t t t t t 4 199 121 566 602 196 131 476 136 110 9 148 155 214 213 155 32 66 58 14 5 7 123 S E Figure 4 12 Breakouts 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 tre
38. 67 0 4066 5 4066 0 4065 5 4070 0 4069 5 4069 0 4068 5 4068 0 4065 0 4064 5 4064 0 4063 5 4063 0 40625 40620 4061 5 4061 0 4060 5 4060 0 4059 5 40590 4058 5 4058 0 4057 5 4057 0 4056 5 4056 0 4055 5 4055 0 4054 5 4054 0 4053 5 4053 0 4052 5 E 40520 t t t 12 442 13 215 330 109 74 A Figure 4 22 Ask Row Total O Copyright 2004 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 50 4 7 4 7 1 Consolidation Equal Delta By comparing column delta s we can factor in a periods of neutrality Strength of one bar being cancelled out by weakness of the next bar Equal delta can also be found in a rotational pattern where price moves up with a certain amount of shares being accumulated and then moves down with roughly that same amount of contracts being distributed This provides a nice volume metric to gauge pullbacks after a move in one direction An example of this would be if price rallied 5 points with 10 000 contracts being accumulated If price were to pullback the entire 5 points but with only 5 000 contracts being distributed you would be aware that only half of the volume that was accumulated was distributed on the way back down If this isn t clear study the Delta Footprint section of this guide to understand what delta means Figure
39. 8 ciuIt X X X 28 Trendingi nihil alii 30 uunc cue 30 Continuation me 33 Ml rxeguurilmE 34 inlcr aep EE 36 Mer Ep 36 P 42 erbe We e M 42 Rotationali P 44 Rotational E E E Eee EN RE 44 Candy SSE ping EE EE sane sbuecebedexice det stccyeceus 48 Gonsolidation sm 50 Equal Delta e 50 Pressure Building mee 51 Scalpingi 52 poat 52 Column 5 enken 53 Gapitulationssa E r P 55 Skipping Pattern iiiter alati 55 O Copyright 2004 Malato LLC All Rights Reserved Contents Il Heavy Volume 56 10 us lille 58 LET ET 10 Uns A E 58 Part V Indicator Price Chart Strategies 62 1 Indicator Price Chart Strategies
40. Footprint 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 pattern the sellers do not want to miss the opportunity to sell new high prices More times than not if aggressive selling doesn t enter the market price will move higher until it brings in a response by the sellers Using the Footprint to Confirm other Indicators The Footprint is also used to confirm a signal given from other indicators An example would be a moving average or moving average crossover As the signal is being produced from the moving average look to the Footprint to confirm 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 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 is not how many trades it has put traders into but rather how ma
41. Price sil More aggressive E selling at these i 0 400 800 1200 1600 300 200 600 1000 1400 200 0 200 200 600 1000 1400 200 600 1000 800 1200 1600 0 Bid Ask MarketDelta Volume Strikes Applying Row Total Bid Ask Histogram Shows the total volume at each specific price and then classifies it between bid traded volume and ask traded volume The bid traded volume is represented in red and the ask traded volume is represented in blue Delta Histogram Net buying or selling pressure at each price based on volume occurring on the bid or the ask It is calculated as the difference of all volume occurring on the bid and all volume occurring on the ask at each specific price Above zero blue bar represents more buying below zero red bar represents more selling and zero represents equal buying and selling at that price Strike Histogram Shows the total number of strikes matched transactions at a price based off of the data received from the data provider Each trade is then classified as a trade on the bid or a trade on the ask Trades on the bid are shown in red and trades on the ask are in blue Volume Histogram Shows the total volume traded at a specific price Viewing this gives an idea of what prices are important to traders because more volume is transacted O Copyright 2004 Harnett LLC All Rights Reserved Anatomy of the Footprint 18 at those prices Refer to the section entitled
42. Price Ask Row Total E 14820 1482 0 14815 Settings 1405 Trading Style Trend with natural rotation 14900 18785 Footprint style Volume 14785 Column shift 5 minute 14775 Thresholds 250 500 1000 14770 1476 5 14760 14755 14750 Notice how the Footprint count for each column is very similar The market had a very orderly rotation as it trended higher Figure 4 17 In Figure 4 18 it is obvious that conviction is lacking as the market wanders back and forth Markets with conviction and direction would not be flipping back and forth from a red Footprint to a blue Footprint see Candy Striping The only place it shows conviction is when it bounced off the low and buyers entered driving price back to the O Copyright 2004 Malato Harnett LLC All Rights Reserved 47 Guide to MarketDelta Strategies top of the range Battle Price Line t t t t t t t t t 3 48 08 3 57 50 3 59 48 4 02 43 4 11 25 4 20 23 4 30 18 4 34 51 4 39 42 4 43 20 4 47 48 4 50 39 5 03 02 5 06 24 5 15 47 5 20 13 5 26 28 5 26 45 5 28 00 5 28 44 5 32 02 5 32 50 Price Ask Row Total 4 115 95 i 115 95 115 94 Settings 115 94 115 93 Trading style Rotational 115 93 115 92 115 92 1291 Instrument Bund 41591 11590 Footprint style Volume 11580 1 P 1 1 11588 904 Column shift 2 tick reversal 1630 41588 11587 862 126 Thresholds 500 10
43. Row Total Distribution Strategies for further application and strategies of this feature 2 8 Quantitative Analytics Clicking the Q button at the top of the Footprint window will provide a drop down of analytics which can be applied to Footprints The analytic will be applied to the bottom of each Footprint bar Quantitative Analytics Definitions Delta Total delta value for each bar A positive delta represents more aggressive buying accumulation while a negative delta represents more aggressive selling distribution The arrow is placed to provide a better visual que when looking back Strength This is an attempt to normalize what is going on within each bar by putting a standard value for each level of color represented For instance the darkest blue Footprints will receive a value of positive four 4 and the darkest red will receive a negative four 4 The lightest blue will get a value of 1 while lightest red will get a 1 The strength value is summed for each bar View the graphic below to see how each color threshold would be weighted Customize Footprint Colors for ES Z4 fred dre d Average Strength Calculates the average strength value from each cell in a particular bar Blue Red Cell Count Simply counts the number of blue or red Footprints present in the bar O Copyright 2004 Malato Harnett LLC All Rights Reserved 19 Guide to MarketDelta Strategies Blue Re
44. This chart along with the valuable market information presents a very simple interface allowing the trader to be nimble and quick to react in any trading condition You can quickly select which chart you want to see by just clicking the button at the top of the Footprint panel O Copyright 2004 Malato LLC All Rights Reserved Anatomy of the Footprint 10 2 3 Bid Ask Button EEE Footprint ES M4 ha e ya op ica oa A Vol DIE E Streaming Battle Price Status Price 10 57 04 10 57 05 10 57 11 10 57 26 10 57 52 10 59 50 11 00 26 11 00 28 11 01 21 11 01 40 Price Ask Row Total 1122 Messa 157 traded on the ask ina EE when 1121 50 was offered 1122 00 1121 75 1121 50 0x157 1121 50 112125 0x6 502x762 0x103 0x25 1121 25 1121 00 24x271 53x0 161 183 0x4 472x604 512x188 58x1 0x20 1121 00 112075 42x0 79x0 1325x189 177x190 20 0 294x190 1120 75 1120 50 609x679 112 0 85x239 1120 50 1120 25 194x0 1120 25 1120 00 227x0 1120 00 1119 75 1119 75 1119 50 308 traded on 111925 the bid when it 1119 00 was 1120 25 bid 1118 75 x 111850 Al 1119 50 1119 25 1119 00 Delta Footprint Delta Footprint Displays a positive or negative number A negative delta value represents how many more shares contracts were sold on the bid as a result of the seller being more aggressive and hitting the bid than contracts
45. ation needs to cross for the proper color gradient to display There are four different thresholds color gradients that will help traders be aware of the intensity the market is undertaking The purpose is to allow traders to concentrate on trading and become accustomed to the threshold that is important to them Traders will gain experience in the use of the chart and be alert when their knowledge is called to attention by a signifying change in market activity The ticks per handle button wrench icon is used to set how you want to display the price scale This in turn will be the price increment from once price to the next For most instruments you will want it set to the minimum tick increment Example Stocks would be 100 which would represent 100 ticks per 1 Emini S amp P would be set to 4 because it trades in quarters Please refer to the MarketDelta user manual Help or www marketdelta com links aspx for more possible settings for other instruments O Copyright 2004 Malato Harnett LLC All Rights Reserved Guide to MarketDelta Strategies 2 2 Time Based Sucre zn Gi Jou Af yof dt D je Streaming Battle Price Status Price 11 36 55 11 38 27 11 38 47 11 38 51 11 39 12 11 40 00 114006 11 40 19 11 40 46 11 41 49 Bid Price Ask Row Total Af 112375 1123 75 1123 50 1123 50 1123 25 1123 25 1123 00 1123 00 112275 1122 50 112225 Footprint Resolution M4 Footprint ES 0x268
46. ble 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 the use thereof or for omissions therein The user agrees to hold Malato Harnett 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 October 2004 in Chicago Copyright 2004 Malato Harnett LLC All Rights Reserved MarketDelta Footprint MarketDelta Indicator are Trademarks of Malato Harnett LLC Trading Technologies the Trading Technologies logo X TRADERG X RISKG Super Guardian TT TrainerTM TT Net and MD Trader are trademarks of Trading Technologies International Inc Microsoft ActiveXTM Internet Explorer MSDN Windows Windows NTT Windows 2000 Windows XP Visual Studio NetTM 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 5007M and S amp P are trademarks of the McGraw Hill Companies Inc and have been licensed for use by the Chicago Mercantile Exchange Nasdaq amp E Mini Nasdaq 100 are registered trademar
47. bought at that price while it was offered A positive delta value represents how many more shares contracts were bought on the ask offer as a result of the buyer being more aggressive and taking the ask offer than contracts sold at that price while that price was 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 Delta button on top of the Footprint panel to view Gives 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 Know when a current price run is gaining momentum Know when and where the buyers are accumulating and the sellers are distributing e See the prices where aggessive selling or aggessive buying kicked in and moved price The Row Total graph is based on an absolute scale meaning the greater the absolute number is the longer the bar However if the bar is red it represents a negative Delta and if it is blue it represents a positive Delta Left clicking on the bar quickly shows the value of the bar O Copyright 2004 Malato Harnett LLC All Rights Reserved
48. buy sell system MarketDelta is instead a cutting edge decision support tool that combines technology and instant availability of trade data with each trade It then paints this data to the screen in the form what has come to be known as a market Footprint By taking advantage of technology and using price AND volume the Footprint provides a very intuitive view of the market This is the reason why MarketDelta only works with electronically traded markets 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 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 to the Footprint and see what other things you discover 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 capabilities The Footprint will capture and let you see the changes in the market so that you can adjust accordingly no matter what the market conditions do over time Footp
49. cluster 112040 after the candy striping column Also take note of the 112035 volume distribution at the far right 112025 112020 112015 112010 112005 112000 111315 T1380 f f f f OF 111310 vi 111305 8400 7527 1407 348 1196 2319 19749 6 1770 1804 6613 4123 1906 688 1538 1753 664 2422 139 1200 111305 4 4 Ium 2 Figure 4 32 O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading Indicator Price Chart Strategies 62 5 1 Indicator Price Chart Strategies Indicator Price Chart Strategies If you are using the stand alone version of MarketDelta this chart comes standard It plots price against the MarketDelta Indicator which is total of all buying and selling pressure for a particular session It creates a graph of buying selling pressure based solely on volume and plots it against price This allows a trader to follow the aggressor throughout the trading session This chart continuously updates the strength or weakness of the aggressor at all traded prices in real time Graphing MarketDelta Indicator this way presents a new concept called volume trend Volume trend represents the net flow of trades on the bid or ask throughout the trading session enabling you to follow in real time on which side of the market the aggressor is more active The insight this provides is unprecedented for a
50. ctive traders Invariably throughout the trading session the flow of volume from the bid to offer or vice versa will shift prior to price and alert the trader to a possible shift in momentum This chart helps to provide a way to follow the flow of volume and confirm the price trend A strategy for using this chart is to show when price and volume start diverging giving a signal to the trader that the current price run might be reversing The slope of these lines in relation to one another is what is important and not the crossover action between them This is because the lines are plotted on two totally different scales The Indicator Price Chart allows you to gain a perspective on the level of buying or selling pressure as the session progresses By charting both price and volume trend the trader is more acutely aware of when price trend is true and when it might just be a head fake The trader will benefit by having the ability to look back throughout the trading session to gauge where price and volume trend have been and better understand the current conditions in the market O Copyright 2004 Malato Harnett LLC All Rights Reserved 63 Guide to MarketDelta Strategies MarketDelta Indicator is the green line and price is the red bar Notice how the MDI kept showing selling pressure in the market even in the face of price M In this case late day selling entered and drove price down near the lows The important princip
51. d Cell Percent Gives the percentage of blue or red Footprints present in a particular bar Footprint Count Total number of Footprints present in a given bar Examples of each are found below Footprint 24 5min Time Display Er Hd slew repo opes Sjef Alva ine B12 2 None Copyright 2004 Malato Harnett LLC Price Line Price 1 30 00 1 35 00 1 40 00 1 45 00 1 50 00 Ef 5907 590 6 5905 5904 5903 5902 5904 590 0 589 9 589 8 589 7 ses 589 5 589 4 589 3 1 55 00 2 00 00 2 05 00 2 10 00 Price Ask Row Total dere PERE GE 5 Cel Gul v Afval D A 2 Copyright 92004 Malato Harnett LLC Battle Price Line Price 1 40 00 1 45 00 1 50 00 1 55 00 2 00 00 2 05 00 2 10 00 2 15 00 2 20 00 2 25 00 2 30 00 Ef 5907 Bid Price Ask Row Total 590 7 590 6 590 6 590 5 EE 0100 590 5 5904 0x42 590 4 5903 20x96 16 2 i g 590 3 21 40 11 17 Strength O Copyright 2004 Malato Harnett LLC All Rights Reserved Anatomy of the Footprint 20 fo A ww We 2120 Copyright 2004 Malato Harnett LLC Battle Price Line Price 1 40 00 1 45 00 1 50 00 1 55 00 2 00 00 2 05 00 2 10 00 2 15 00 2 20 00 2 25 00 2 30 00 Bid Price Ask Row Total Ef 5907 5907 590 6 590 6 590 5 590 5 590 4 590 3 590 4 590 3 11 17 4 0 588 9
52. d by our buy sell pressure algorithm This algorithm simply classifies whether the trade occurred on the bid or ask With all this additional trade data at each point new intra column 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 professionals are adopting each and every day as the default chart for the next generation of traders O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading Guide to MarketDelta Strategies 2 1 Anatomy of the Footprint Anatomy of the Footprint The ebb and flow of price movement is presented by the up and down motions of Footprints M Inside the Footprint are individual pieces of market information The different names of the Footprints are Bid Ask Delta Volume and Bid Ask Strike Each is unique in the information it provides and explained in detail individually throughout this chapter The market leaves its trail every time a trade is made The Footprint is what MarketDelta creates to follow the trail that is left behind Market information is placed in these Footprints and set to display in conjunction with price action This Footprint chart along with the valuable market information presents a very simple interface allowing the trader to be nimble and quick to react
53. els throughout the trading day Put many of them behind the electronic trading screen and they feel lost and oftentimes are not able to succeed like they once did Why could this be I would venture to say it s because traditional charting methods don t provide them with the flow and feel of volume that they once had at their fingertips The Footprint chart was developed by traders for traders and fulfills this need in the best way possible Take time to grasp how the information is presented and internalize it Figure 4 7 is an example of a double top pattern It is shown using the small Footprint to add the perspective of time and how the market developed into the pattern it did Read the notes on each chart to understand how this pattern could be interpreted using the Footprint The small Footprint resolution looks very similar to other charts you have used in the past because it shows more history of price movement One of the O Copyright 2004 Malato Harnett LLC All Rights Reserved 37 Guide to MarketDelta Strategies primary differences however is the ability to follow supply and demand using color In Figure 4 7 the blue Footprints represent more buying at that particular price and the red Footprints represent more selling at that particular price The shade of blue or shade of red is determined by the level of aggressiveness on the part of the buyer or seller It is clear the buyers put forth their best e
54. erlying 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 Price a clear manner Battle Price Line t t t t t t t t t t t 30311 3 03 48 30506 3 08 21 3 09 17 3 12 56 3 19 02 32023 3 21 30 32224 3 22 98 3 26 01 32832 32023 3 30 50 33431 3 37 15 32027 24154 3 42 34 3 45 11 34619 3 51 55 Bid Price Ask Row Total 4 39265 39260 39255 3925 0 3924 5 Settings 3 285 Trading style Rotational Candy Stiping Pattern 39255 38250 Instrument DAX 39245 39240 3923 5 3923 0 3922 5 3922 0 1822 0 18 5x85 19x30 0 5 otprint style Bid T ASK 3924 0 lumn shift 4 tick reversal x21 0x13 Thresholds 25 50 100 39225 39220 0 0 32 19 22x58 0x20 5x124 0 16 5h84 0 3 19x18 19x15 da d xd 1428 71x97 140 3920 5 128x85 300 3920 0 52x47 4x26 77x80 11x17 36 103 42xD _ 20x0 15x42 22 12 3921 5 0 5 25x30 12x50 100 3921 0 70 72 0 8 16x0 350 24x38 88x18 3 105x100 63x60 34x25 0x2 2000 25x11 0 11 66x21 p 62x70 61x70 a 274 0x27 146x139 20 56 11 31 19x0 20x25 100 21x39 10x29 mm Ux 16x52 18x57 _ 18 57 _ 43 85 30 0x23 3x8 0x5 19x0 30 78 5x0 EUM 280
55. estion However the important thing to keep in mind with the Footprint chart is that it includes volume at each price Point and figure charts do a very good job of showcasing volatility and support amp resistance Using the point and figure chart within MarketDelta and having the ability to quantify where volume is trading at these important levels is a huge advantage over standard point and figure charts and will allow a trader to anticipate breakouts with greater accuracy The time based chart is enhanced within MarketDelta by allowing a trader to see activity with respect to time Traditionally they looked a candle or bar charts and maybe a volume histogram to gauge activity The Footprint breaks that bar up into boxes representing price and tracks the volume at that price This allows the trader to see where in the bar the volume picks up or backs off Seeing this will allow the trader to anticipate potential areas of support and resistance and better follow order flow O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading Footprint Patterns amp Strategies 28 4 1 4 2 4 2 1 Footprint Patterns amp Strategies Footprint Patterns amp Strategies Overview Here are a few things to keep in mind as you study the following patterns and strategies General Rules for Interpreting Price amp Volume Volume should increase grow in the
56. ffort to carry price higher on the second probe to new highs but couldn t muster the follow through to make it happen Price then violates the trough between the double top highs on increasing volume thus confirming the topping pattern Here is a double top pattern that you would Tatie Price Line Price witness on any chart Notice how the first Bigi ROMEO 57 probe was met with selling The second probe Jp gt Double top confirmed 48170 exibited good buying but was turned back with increased volume i at breakout below 48480 sellers came in aggressively and pushed price 8 E n 4641 50 4644 5 46440 down from the double top as shown the i n B 46430 LI a E VA 642 46420 di 481 5 48400 18 i I i gg 4637 5 n 4637 0 i 46355 4635 5 Settings 4834 8 Trading style Reversal 48350 Instrument FTSE 100 pp Footprint style Volume 45320 Column shift 3 tick reversal Thresholds 46290 i 46285 BI 4628 0 0 46275 4627 4626 5 16245 T T v Breaking out from high volume area of 12332 tHe the day If price pulled back this might present an opportunity Figure 4 7 Figure 4 7 is a very specific example of how the Footprint can enhance how you see what is taking place in a particular market Price moved on strong volume This showed conviction by the buyers as they overcame supply with demand Copyright 200
57. ghs and was due to retrace some Over the next 30 minutes price backed off slowly to the upper high volume area of 1124 00 This example points out the volume at extremes during price probes Having the knowledge of weak volume at extreme prices helps to confirm a potential reversal or consolidation at that level Copyright 2004 Malato Harnett LLC All Rights Reserved 39 Guide to MarketDelta Strategies Battle Price Line t t 00 07 5 05 38 6 06 67 6 08 01 6 09 30 6 11 36 6 20 00 6 22 32 6 26 46 6 20 23 6 36 50 6 41 27 6 40 34 6 62 36 6 53 50 6 57 47 6 50 44 7 08 13 7 16 46 7 20 27 7 22 26 7 25 00 Ask Row Total 12313 Trend Following concept Once price reversed atthe 1 232 highs and started falling you see almost dark blue 12310 1 2309 footprints This confirms the sellers are in charge and pushing price lower One strategy would be to stay short until you see a series of dark blue footprints signifying aggressive buyers Reversal concept Price Another thing to note in this down trend are the popped up quickly h re and small values in many of the blue footprints was finally met with aggessive selling at the high A common reversal startegy for up aggessive selling enter at the top of a range as is apparent Settings Trading style Reversal Trend Following Instrument Euro Curre
58. ghts Reserved 31 Guide to MarketDelta Strategies 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 blues to confirm the direction of the trend We call blocks of solid colors volume clusters These represent areas where aggressive buying or selling entered the market and could be an area of support resistance on a pull back 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 does has been a breakthrough for traders Volume is a very important component of trade and in a trend it s very crucial to know when volume begins to weaken The 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 As price trends into an area of support or resistance the Footprint showcases how volume is behaving For example if price has been trending up and pulls back to your up trend line use the Footprint to monitor the supply demand a
59. igure tick reversal based Footprint will showcase more of the volatility The reason for this lies in the basics of how each type of chart treats time Point and figures underlying premise is to display price action otherwise known as volatility not time Time based charts primary purpose is to display where price travels through time at given intervals The Footprint gives both choices but with volume traded at each price Color shading will alert the trader as volume progresses into the price This progression of volume onto price is seen in the time or the point amp figure Footprint The point amp figure Footprint will showcase high volatility when it occurs in the form of a skip pattern The skip pattern will only be seen when using the point amp figure method of viewing the Footprint Time based Footprints will NOT show the skip pattern unless by a rare chance a gap occurs when closing one column and opening on the next This doesn t happen much and there is little reason to spend much time on it here The skip pattern only happens when there is a jump in volatility causing price to flutter along the screen in a skipping like fashion This can happen when stops are hit or when market participants push price to far to quickly and create a violent counter reaction It is very difficult to trade the instant this happens but the value lies in O Copyright 2004 LLC All Rights Reserved Footprint Patterns
60. ing at the ask than bid typically represents a stronger rally This principle applies to any time frame or market and is not something new Scalpers can witness this in real time using the Footprint and better their understanding of market dynamics The figure below represents selling pressure and consistent downward price rotations very well Notice the consistent pressure on the bid which is evident by all the red Footprints Viewing the market through the Footprint will help scalpers see which side of the market has more strength and allow them to position themselves accordingly It also assists the scalper in seeing the price rotations and boundaries in a very clear way Patterns begin to become more evident simply because price is presented in a much more intuitive manner O Copyright 2004 Malato Harnett LLC All Rights Reserved 53 Guide to MarketDelta Strategies 4 8 2 Copyright 82004 Malato Harnett LLC Battle Price Line Price 9 20 00 9 25 00 9 30 00 9 35 00 9 40 00 9 45 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 25 00 10 30 00 10 35 00 10 40 00 10 46 00 10 50 00 10 55 00 11 00 00 11 05 00 Bid Price Ask Row Total 11270 This is the only bar that managed to print Settings 112725 12 101 higher high than the previous bar once the Instrument emini S amp P 500 112700 EE p market started selling off Also notice how Footprint style Delta 1126 50 this print was on relatively light v
61. ing on the ask as aggressive buyers were anxious to get in the market and lifted offers O Copyright 2004 Malato Harnett LLC All Rights Reserved 57 Guide to MarketDelta Strategies Footprint ES Z4 5min Time Display x SD soe ome Ed x1 8 128 38 afe 9 19 xL us 91210 Copyright 2004 Malato Harnett LLC Battle Price Line Price Bid Price Ask Row Total sem 4375 Settings 114250 Trading Style Volume confirmation 3 00 Instrument emini 75 Strong volume confirms trend 113950 25 00 75 50 Pullback on low 2 20 15 1 2 1 0 0 0 3 3 9 8 8 8 7 75 7 50 230 ri becomes very ok 5 75 6 50 6 25 i 5 5 5 E 4 4 3 3 3 2 a Notice how volume A up as price stagnates at the high volume area and then blasts off from the base on strong volume i Figure 4 29 Figure 4 30 is just a different Footprint resolution with the column deltas applied to each bar This allows a trader to follow the strength of the trend and monitor changes in supply and demand In the example below the Footprint does an outstanding job at showing when where and which side is more motivated on a real time basis Footprint ES Z4 5min Time Display BIK gt Je em 6 9 va A fra DLA 0 Copyright 2004 Malato Harnett LLC Battle Price Line
62. ing to step in and buy 1138 00 Price 1136 00 1134 00 1132 00 0 400 EFS fog 0 40000 0 4000 8000 HE 20000 60000 2000 6000 MarketDelta Volume Strikes Bid Ask Copyright 2004 Malato Harnett LLC Figure 6 2 It s always very interesting to see how the delta distribution develops especially around the high volume areas of the day It is very typical to see net buying blue at the high prices and net selling red a the low prices In Figure 6 3 the Bund from September 24th 2004 shows how price formed a normal distribution Notice that there seemed to be more net selling in the thick part of the distribution This is especially evident at 115 85 and 86 prices Looking at the delta distribution it becomes clear that sellers began to exert selling pressure near the high of the distribution Copyright 2004 Malato Harnett LLC All Rights Reserved 69 Guide to MarketDelta Strategies Price 115 64 0 40000 8000015000 5000 5000 15000 0 40000 80000 0 200 400 600 800 20000 60000 10000 0 10000 20000 60000 Strikes Bid Ask MarketDelta Volume Figure 6 3 Figure 6 4 shows a day where the market spent most of the day in the lower half of its range before rallying into the close the blue bars in the highlighted area support the fact that net buying was occurring as price was rallying to new highs Only after price reached the 1142 00 area did it become more challenged and supply begi
63. ints Also notice the positive column delta This is very significant because on this bar a new low was established 886 182 16 EU 4 9 42 I 53 41 98 37 771 206 64 684 69 Figure 4 10 Figure 4 10 exhibits how volume confirms a reversal and how the Footprint helps to make the confirmation very clear both visually and quantitatively Reading the notes on the chart it is clear that there was a high probability of a reversal After the reversal bar was established notice how little price retraced the reversal bar After the initial price bounce price remained strong and the aggressive buyers maintained control There are dark red Footprints apparent after the reversal but notice there were none back to back forming selling clusters There are multiple back to back blue buying clusters This is another sign that buyers are beginning to enter the market and establish a trend this helps to confirm the reversal bar that was established at the lows O Copyright 2004 Malato Harnett LLC All Rights Reserved 41 Guide to MarketDelta Strategies Footprint AX Z4 DT 5min Time Display E ai o sjela D A Copyright 2004 Malato Harnett LLC Battle Price Line Ask Row Total af 38880 x Settings 33865 Trading style
64. ks of the Nasdaq 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 Other brand and product names are registered trademarks or trademarks of their respective owners Guide to MarketDelta Strategies Table of Contents Part 1 Part II NODO 5 Part Ill 1 Part IV 1 2 Foreword 0 MarketDelta Patterns amp Trading Strategies 4 MarketDelta Patterns amp Trading Strategies eese eee ennt nnne 4 Anatomy of the Footprint 7 Anatomy of the Footprint ernnnnnvennnnnnvennnnnnvnnnnnnnvnnnnnnnvnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnneene 7 ASK uir ape 9 Delta FOO tp gg sssi aS A conc 10 Volume Footprint sessin 11 Bid Ask Strike Footprint eaaa raaraa iii 12 Battle Price Line ua 13 Row Total DISIEIDUTORS ua areale 15 Quantitative Analyt CS 2 2 Reit ione einer 18 Questions amp Answers 23 Common Questions amp Answers elei eee esee esee eene nennen nenne tnn n nn ss 23 Footprint Patterns amp Strategies 28 Footprint Patterns amp Strategies Overview rrrssrrnnnvnnnnvnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnn 28 Market Timing Per 2
65. les to grasp with this chart is the general slope of each line and how it relates to the other Figure 5 1 In Figure 5 2 the MarketDelta Indicator MDI shown in green was very predictive of where price would end up going Sometimes this indicator is leading and other times it is lagging The important concepts to be remembered from this chart are how the MDI continued to trend up even as price traded lower and put in a double bottom Knowing that a majority of volume is flowing to the offer as price tests a low shows lot of conviction from the buyers After testing the low prices traded swiftly higher and the MDI began to increase at a faster rate possibly signifying short covering The Indicator Price chart isn t necessarily a scalpers tool but rather a tool to confirm directional bias and strength of a trend or possibly lack of trend O Copyright 2004 Malato Harnett LLC All Rights Reserved Indicator Price Chart Strategies 3500 0 3250 0 64 Figure 5 2 O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading Row Total Distribution Strategies 66 6 1 Row Total Distribution Strategies Row Total Distribution Row total distribution is a valuable tool because it lets you see how the trade is developing throughout the day and where all the volume is being done If yo
66. lume Footprint will allow you to gauge whether volume is drying up or building as price trades at critical levels Delta Footprint helps to better gauge who is in greater control at various price levels Read the text in Figures 4 13 below to understand the setup and eventual breakout that occurred MarketDelta v3 Footprint 24 BAA Daas EUM z x Bl ilee 910 vol 92 Price 9 30 00 9 46 00 10 00 00 10 15 00 10 30 00 10 46 00 11 00 00 11 15 00 11 30 00 11 46 00 12 00 00 12 15 00 12 20 00 12 46 00 1 00 00 1 15 00 1 30 00 1 45 00 2 00 00 2 15 00 2 20 00 2 46 00 3 00 00 Price Ask Total Battle Price Line Mm B T eigen SIE i i E 23 Notice how this Delta Footprint represents the market selling off at the open and forming a wedge before breaking out to the upside Using the Footprint we can try to anticipate which direction it will head out of the wedge it is forming A couple of things to look for are the delta values atthe bottom of can see more positive delta values representing more aggessive buying into the apex Also begin to pay attention to the colors of each Footprint 566 6 5665 4 t 4 4 t f t t t t t 4 4 t t 4 t 1893 131 1291 361 232 423 176 93 196 1700 191 320 465 112 407 4 42 92 175 1244 409 Ess Figure 4 13
67. me Clusters develop Know how big of a stand traders are willing to take e You won t be fooled by orders that look like they traded but really didn t trade Develop a feel for your market by recognizing when volume is picking up and when it s not 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 The COLOR of the volume Footprint is determined by the delta value of that Footprint This means if a particular Footprint has a positive delta it will be some shade of blue If it has a negative delta it will be some shade of red The SHADE of the volume Footprint is determined by the volume thresholds set under the color settings button In the figure below a total of 611 contracts traded at 1120 00 It is blue because it has a positive delta and it is the darkest shade of blue because it is greater than the O Copyright 2004 Malato LLC All Rights Reserved Anatomy of the Footprint 12 highest threshold setting that has been applied The thresholds can be changed by clicking the color palette button at the top of the Footprint window Footprint ES M4 Volume Button E mi xl ES M x evel ye
68. movement but with much more detail and information There are four buttons to choose from The first allows you to customize the price reversal column shift setting The others are preset to 1 2 or 3 price reversal column shift setting for quick changing O Copyright 2004 Malato Harnett LLC All Rights Reserved Anatomy of the Footprint 8 Time Based Footprint View the Footprints in columns with respect to a specified time period The first button clock allows you to customize what time frame you wish to view The other four 1 5 15 and 30 are preset for quick changing Footprint Type This is the information within the Footprint view Bid Ask Delta Volume Bid Ask Strike Read each description throughout this chapter to fully understand and see graphically the difference between these four types of views Anatomy of the Footprint When left clicking on a Footprint cell four items are uncovered in pop up form 1 Date 2 Time last trade time 3 Price box in conjunction with last traded price 4 MarketDelta information Bid Ask Delta Volume or Bid Ask Strike Color gradients can be used to signify thresholds of activity They are set by clicking on the color palette button at the top of the Footprint A threshold is set to represent a line the market information must cross in order for color to change to a different shade This threshold is a number that Footprint inform
69. n or trend Ask what has the market been doing up until now Trending or rotating back and forth Look to see if clusters are developing within the bars and then reference the row total histogram Often times the clusters develop at important areas of a distribution helping to confirm acceptance or rejection of that particular area You will tend to see more clusters in trending markets than you will in rotational markets which is very intuitive Trending markets exemplify direction and strength while rotational markets exemplify lack of conviction and are often directionless Another is a support resistance strategy Use the cluster areas as support and resistance on pullbacks In the buying cluster chart below if price were to pull back to the 1 2372 78 area there might be possible support O Copyright 2004 Malato Harnett LLC All Rights Reserved Guide to MarketDelta Strategies Battle Price Line 0 7 30 00 7 35 00 7 40 00 7 45 00 7 50 00 Bid Price Ask Row Total 0 14 4x 6x21 44 35 Buying Clusters 27x110 Notice how they 8x14 occur at distribution 122 areas signaling 2x31 buying within that e area 5 0 19 12373 XS 26x18 1x9 2x8 10x15 50x74 45 45 2x18 5x18 14x21 31x20 1x25 28x22 10x28 19x26 1 2347 1 2346 1 2345 1 2344 Copyright 2004 LLC All Rights Reserved Footprint Patterns amp Strategies 60 Figure 4
70. n to become a factor O Copyright 2004 Malato Harnett LLC All Rights Reserved Row Total Distribution Strategies 70 20000 40000 5000 5000 15000 0 20000 40000 0 2000 4000 6000 8000 10000 30000 50000 0 10000 10000 30000 50000 Strikes Bid Ask MarketDelta Volume Copyright 2004 Malato Harnett LLC Figure 6 4 O Copyright 2004 Malato Harnett LLC All Rights Reserved i MarketDelta Giving you the edge in electronic trading Conclusion 72 7 Conclusion 7 1 Conclusion If you haven t figured it out by now the Footprint chart is very unique and superior to all other charts available The unique characteristics of the Footprint 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 is being adopted internationally and has been used by traders in over 40 countries There is no doubt traders are finding it indispensible One of the ways organizations are using it is to train traders on price dynamics and patterns By showing them the Footprint 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 relates price dynamics to the traders eye For individual or group training please contact us at sale
71. ncy Futures Footprint style Delta 1 2273 1 2272 1 2271 1 2270 1 2269 1 2268 12267 Reversal concept Price 12556 continued down quickly 1 2264 here and wa na e 12262 with aggessive buying 12281 atthe low A common 12260 12259 1 2258 1 2257 1 2256 1225 buying enter at the 1 2253 bottom of a range as 15 1 2252 12051 apparent here 12250 1 2249 i i 1 7 491 69 14 1 328 E Im Thresholds 15 30 60 v Figure 4 9 O Copyright 2004 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 40 Footprint AX Z4 DT 5min Time Display Boo x neue em ilhali eae wi DA Copyright 2004 Malato Harnett LLC Battle Price Line Price 9 46 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 25 00 10 30 00 10 35 00 10 40 00 10 46 00 10 50 00 10 55 00 11 00 00 11 05 00 11 10 00 11 15 00 11 20 00 11 25 00 11 30 00 11 35 00 Bid Price Ask Row Total 3886 Settings 3965 5 Trading Style Reverals Pattern 39845 Instrument Dax Si Footprint style Delta 3983 0 Column shift 5 minute 39825 39820 Thresholds 25 50 100 3981 5 3981 0 3980 5 3980 0 3979 5 He Notice how this engulfing outside bar is confirmed with more buying volume than selling volume This is apparent through the blue Footpr
72. nd Some of the most common continuation 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 does a superior job at showing how volume is developing within each of these chart formations To better understand price potential it is critical for a trader to anticipate what to expect given the most likely probability Seeing the information displayed in the Footprint is very helpful but unless you have an expectation of what is the most likely outcome given the information you are viewing all is worthless 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 and it s intuitive color O Copyright 2004 Malato Harnett LLC All Rights Reserved 43 Guide to MarketDelta Strategies display its very clear when breakouts are occurring on low or high volume and at which individual prices The Footprint also helps to show how much volume and which side of the market it is occurring prior to the breakout This helps to better determine the probability of the eventual breakout For breakouts the Footprint is best used either in the volume or delta view The vo
73. nformed 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 send all this information with each trade as it occurs and give us the ability to present this newly discovered data in much more efficient 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 puts the data to use for traders in a very readable and intuitive display The Footprint can t predict the future but then nothing can What it can do is help you to understand the present in today s electronic markets And if you understand what s happening now in the present you can make better decisions about what might happen in the near future Traditional charts are one dimensional where the Footprint is multi dimensional This is because each data point price in the Footprint contains not just price alone but also volume and a dynamic color which is determine
74. nt is the candy striping pattern that appearred on the push down This coupled 13246 with the erratic price action at the low is a possible sign of a reversal 13245 13244 13243 t t 13242 70 4 14 a 8 4 8 7 1 1 1 4 5 Bi 19 3 9 1 17 77 Figure 4 28 Heavy Volume Heavy volume is witnessed in the Footprint in a very clear way When viewing volume Footprint you will see one number in each cell that represents volume The important principle to grasp is each Footprint in relation to one another Some questions you might ask yourself are the following As price trades lower higher is volume picking up How does one bars volume 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 The Footprint will help you answer these questions by providing the necessary data for you to make decision Without the Footprint the ability doesn t exist to reference this very crucial trade data For instance in Figure 4 29 and 4 30 there are two different Footprint resolutions of the same move Figure 4 29 shows how volume dried up as the day progressed and consolidated around the high volume area as seen in the row total distribution area on the far right of the chart Look at how the increase in volume for the move up is very clear You can also see more of the volume was occurr
75. ny bad trades it has helped keep them from taking The reason for this is while your conventional indicators or tools give signals the Footprint gives you the evolving real time view of the market and how it is behaving at those points It is just another chart yet not 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 is not a leading or lagging indicator It s job is to present all the data in the most readable manner for you to make trading decisions O Copyright 2004 Malato Harnett LLC All Rights Reserved Footprint Patterns amp Strategies 30 4 3 4 3 1 Battle Price Line Price 10 38 00 10 53 00 11 08 00 11 23 00 11 38 00 11 53 00 12 08 00 12 23 00 12 38 00 12 53 00 1 08 00 1 22 00 1 38 00 1 53 00 2 08 00 2 23 00 2 38 00 2 53 00 3 08 00 3 23 00 3 38 00 35300 40800 Bid Ask Row Total af 570 7 Notice how in this price probe down out of the channel there was actually more buying occurring This is evident by the blue Footprint boxes and the positive delta of 44 at the bottom of the column Notice also that it stopped around the center of the volume distribution shown on the far right Settings Instrument emini Russell 2000 Footprint type Volume Column Shift 15 minute Thresholds 50 100 200 5643 i
76. o G Bal Af vo tt ue 4 Q Streaming Battle Price Status Price 1 29 33 1 30 09 1 31 12 1 35 44 1 36 23 1 36 42 1 37 10 1 37 37 1 38 06 1 39 09 Price Ask Row Total Af 112050 A total of 611 contracts qe 3 1120 50 112025 traded at 1120 00 E 112000 61 8 233 83 J 1119 75 153 1 1119 50 236 18 13 1119 25 175 1119 00 94 82 111875 HE 119 126 16 1118 50 1 42 1118 25 1118 00 111775 1117 50 1117 25 1117 00 1116 75 x 1116 50 NH 2 5 Bid Ask Strike Footprint Bid Ask Strike This displays the number of strikes that occurred on the bid and the number of strikes that occurred on the ask Strike is synonymous for trade When two orders meet they make one trade A strike is not the quantity traded By comparing Volume Footprint to Bid Ask Strike Footprint a trader has the ability to see how many trades strikes occurred for that amount of volume Please note different data vendors determine strikes differently Click the Bid Ask Strike button at top of the Footprint panel to view e This Bid Ask Strike Footprint will help you track areas of high interest among many participants e See when volume is created by many players scrambling to get in or out of a trade e See when volume is created by just one or very few large players These players may be setting a trend O Copyright 2004 Malato Harnett LLC All Rights Reserved
77. of the order book Because the BPL shows the number of shares contracts traded on both the bid and offer you will oftentimes see the bid quantity traded and the ask quantity traded on the same price line This happens when the last bid ask price becomes ask bid price without a new ask bid price trading Looking below its 1123 00 bid and 1123 25 ask because we can see volume is trading at those prices If the next price to trade is 1123 25 and it trades on the bid side it will be horizontal to 25 which was at the last traded ask price O Copyright 2004 Malato Harnett LLC All Rights Reserved Anatomy of the Footprint Battle Price Status Bid Price 1124 50 1124 25 1124 00 1123 75 1123 50 1123 25 1123 00 1122 75 1122 50 1122 25 1122 00 1121 75 1121 50 1121 25 1121 00 1120 75 1120 50 1120 25 1120 00 Represents 485 have traded on the bid price of 1123 00 Battle Price Status Bid Price 1125 75 1125 50 1125 25 1125 00 1124 75 1124 50 1124 25 1124 00 1123 75 1123 50 1123 25 1123 00 1122 75 1122 50 1122 25 1122 00 1121 75 1121 50 1121 25 1121 00 1120 75 1120 50 1120 25 1120 00 Ask Row Total 25 have traded at the ask price of 1123 25 Each line represents the totals for each price Choosing a different Footprint type will display the totals in the appropriate format Ask Row Total Graphical representation of R
78. olume Column shift 5 minute rr Thresholds 250 500 750 112575 1125 50 112525 1125 00 112475 1124 50 1124 25 1124 00 1123 75 1123 50 1123 25 1123 00 1122 75 1122 50 1122 25 1122 00 1121 75 1121 50 HEr R Notice how orderly the market 1120 75 sold lower It would put a new 1120 50 ow in b ounple of ti hen 1120 00 bounce to within a couple of ticks 1119 75 111950 ofthe previous bars high The 111925 ootprint make ery clear how 111000 and where the momentum begins 1118 50 to increase 1118 25 1118 00 1117 75 1117 50 1117 25 1117 00 1116 75 1116 50 1116 25 1116 00 1115 75 1115 50 96 1169 3596 4040 218 3795 802 1406 3420 5657 11485 5876 3381 5444 6634 3688 164 640 2153 2713 1486 10216 4 2 Figure 4 25 The Footprint also gives a trader the ability to look back at a specific area to see how much traded or what side of the market it traded on The Footprint are your eyes when you are not glued to the DOM It catches the trades classifies them bid ask and prints them to the screen in an intuitive way This provides scalpers the ability to look back and see how much traded without losing concentration of the moment This allows for better tracking of the large players and when they are aggressive or trying to squeeze the market Footprints provide all traders
79. on The open was near resistance around 1118 00 Price immediately sold down to the 1114 are and quickly bounced back and spend time consolidating around the open Notice how once price broke above the 1119 00 area the delta column represented aggressive buying all the way up to the highs Next resistance was the 1124 26 area Very little net selling occurred at any price in between 1118 50 and 1126 00 This confirms strength in the trend Another strategy that can be gleaned from this chart is if price where to pull all the way back to the 1118 1119 area it could be a point where the buyers defend The 18 19 area also would correlate to the high volume area for the lower distribution and offer additional support to the possible retrace This is were all the aggressive buying began and is evident in the delta distribution O Copyright 2004 Malato Harnett LLC All Rights Reserved 67 Guide to MarketDelta Strategies Price 1126 00 1124 00 1122 00 1120 00 1118 00 1116 00 0 10000 20000 30000 6000 5000 15000 25000 Bid Ask 4000 2000 2000 6000 0 10000 20000 30000 0 2000 4000 0 4000 5000 15000 25000 1000 3000 5000 MarketDelta Volume Strikes Figure 6 1 O Copyright 2004 Malato Harnett LLC All Rights Reserved Row Total Distribution Strategies 68 nano I 1135 25 1135 50 is the point buyers and sellers are trying to control Below this aggressive buyers are still will
80. on after digesting volume and bringing in other participants Candy striping is a pattern that often results in price returning to the point from which it started the 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 In the Figure 4 20 price moved higher and created a volume cluster that served as support when price retraced Dx21 0 4 50x47 38 42 8x13 x12 28x13 11x35 1 1x4 18 0 14x7 4 0 17x10 8x0 4x0 7x0 Volume cluster serves as support on candy striped column Figure 4 20 Candy striping is one of the easiest patterns to recognize from the Footprint 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 provides this insightful view of market dynamics Look at Figure 4 21 for another example Copyright 2004 Malato Harnett LLC All Rights Reserved 49 Guide to MarketDelta Strategies t 92053 9 31 05 t t t t t t t t 93221 9 33 28 9 97 58 9 43 04 9 45 24 9 45 52 9 40 19 9 47 11 9 47 47 9 48 04 9 49 22 0 52 26 9 54 54 9 56 07 10 02 41 10 03 45 10 04 46 10 08 41 10 09 49 10 10 17 Battle Price Line
81. otprint panel These figures continue to calculate all session no matter what Footprint is selected from the Footprint panel Row Total can also be displayed in graph form by clicking the graph icon below Clicking this will allow you to toggle row total from numerical values to a graph an st 1 LA o pm x fa mom dft O Copyright 2004 Malato LLC All Rights Reserved Anatomy of the Footprint 16 Bid Ask Total Delta Total Volume Total Bid Ask Strike Total Row Tot Row Tota Row Tota Row Total You can also graph of the row total in a separate window by clicking the Row Total Graph icon on the main toolbar The histogram takes the above columns of numbers and plots them in a traditional histogram either vertically or horizontally By plotting this data graphically the data jumps out at you for quicker interpretation and better understanding of past trade distribution data in this graph will update dynamically keeping you informed of any sudden changes in market sentiment at each price If you are using an application that has integrated the Footprint technology you may not have the row total distribution window available Open Row Total Distribution window Copyright 2004 Malato Harnett LLC All Rights Reserved 17 Guide to MarketDelta Strategies Total Distribution AB M4 More aggressive buying at these
82. ou look for The Footprint can be viewed in either traditional time based charts or price action based hybrid point amp figure Because of this the chart patterns will fundamentally be the same as what you are used to viewing However the unique feature of the O Copyright 2004 Malato LLC All Rights Reserved Questions amp Answers 24 Footprint is that volume is contained with price Because of this unique patterns will develop that were previously undiscovered Volume Clusters will develop and given the color shading capability allow you to view whether more net buying or selling is occurring in a specific cluster This is also true for a trending market Because volume is contained within each Footprint you are able to follow strength as price moves in the direction of the trend Refer to the strategies section of this guide for more ideas 4 How do you interpret the MarketDelta at predefined levels of supply or demand for example high volume points floor pivots etc in order to determine whether trade is being facilitated Each trader has a different style and time frame but personally will calculate where today s pivots and high volume points are and then key in on what type of trading is occurring in the Footprint If price rallies up to an important area of resistance you can watch the volume Footprint to see if there is active trade at that point and who is more aggressive at
83. ow Total Left click to get pop up information 14 O Copyright 2004 Malato Harnett LLC All Rights Reserved 15 Guide to MarketDelta Strategies 2 7 Row Total Distributions Row Total is to the right of the Battle Price Line and represents the sum of traded volume or strikes for all Footprints at a specific price within a trading sessions range At any one time MarketDelta displays one of four representations of Row Total Bid Ask Delta Volume Bid Ask Strike Bid Ask Total Totals all the quantity traded on the bid and all the quantity traded on the offer for a specific price throughout the session This will be displayed when the Bid Ask button is selected at the top of the Footprint panel Delta Total Totals all the delta s at a specific price throughout the session This will be displayed when the Delta button is selected at top of the Footprint panel This will represent the net buy or sell pressure throughout the session for a specific price in the sessions trading range Volume Total Totals all the quantity traded at both the bid and ask for a specific price throughout the session This will be displayed when the Volume button is selected at the top of the Footprint panel Bid Ask Strike Total number of trades at a price either on the bid and on the ask throughout the session This will be displayed when the Bid Ask Strike button is selected at the top of the Fo
84. ow the Footprint 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 There are many trading rules which spell this out e Significant highs amp lows are very often made on higher than average volume A re test of a top bottom on light volume is telling of lack luster conviction e 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 to gain the inside view of when and how the market is reversing Volume should increase in the direction of the trend and decrease when going against the trend Using the Footprint to monitor supply and demand is a breakthrough for traders that has yet to be realized Following volume at these important areas and having the ability to better judge what is really taking place is crucial for success of the electronic trader A quick history lesson One of the primary reasons many pit traders were able to be successful was due to the fact they could see and hear the volume coming into and around the pit This was a great advantage to them because they could accurately gauge supply and demand at important lev
85. rint Analogy It is very important to realize the Footprint is simply displaying all trade related data and is NOT some lagging system indicator A good analogy of why the Footprint is needed and why it makes perfect sense to adopt it would be the following We have all done a task or job one way and thought we knew best on how that task could be accomplished Then one day we come in contact with someone who is doing that SAME TASK differently and much more productively by using a different technique You are O Copyright 2004 Malato Harnett LLC All Rights Reserved Guide to MarketDelta Strategies amazed that you didn t 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 as 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 and why it will be important for the success of traders to adopt and integrate 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 i
86. rint chart enables traders to better determine and execute trading opportunities In the figure below a wedge continuation pattern is used as an example of how the O Copyright 2004 LLC All Rights Reserved Footprint Patterns amp Strategies 34 4 3 3 Footprint provides more information to better determine price direction First identify the direction of the price trend In this case the trend was up A wedge forms which represents a continuation pattern Judging by the positive column delta s for each bar within the wedge it becomes more clear that the probability of a continuation is relatively high Once price breaks out to the upside keep an eye on the color each Footprint as price continues to rally In this example there are many more blue than red Footprints This gives a trader confidence that the trend will continue If you need help in understanding what makes Footprints blue or red read the Delta Footprint section of this guide MarketDelta v2 Footprint Z4 DT 10092004 5min Time Display File View DataSource Symbols Window Help 18 xl RE M a SJ Cc St pA uf Dal od Copyright 2004 Malato Harnett LLC Battle Price Line Price 3 10 00 3 15 00 3 20 00 3 25 00 3 30 00 3 35 00 3 40 00 3 46 00 3 50 00 3 55 00 4 00 00 4 05 00 4 10 00 4 15 00 4 20 00 4 25 00 4 30 00 4 35 00 4 40 00 4 45 00 4 50 00 4 55 00 5 00 00 5 05 00 Price Ask Row
87. rts is its ability to gauge market pressure using only volume and price The Footprint is not an indicator rather just a true reflection of what is taking place in the market at any given time Like other forms of charting the Footprint has unique patterns that develop and should be understood Daily use of the Footprint brings closer an understanding of not only the patterns but early detection of one in development The gauging of pressure is in reference to buyers becoming more aggressive than sellers at any given price at any given time This equally holds true for sellers who become more aggressive than buyers at any given price at any give time In Figure 4 24 it is apparent the Euro currency is forming a wedge and is compressing as it moves towards the apex The pressure is apparent through the dark blue Footprints near the apex Other chart forms will show this apex similarly in terms of shape but they won t show which side more pressure is building Knowing more volume is occurring at the ask as the apex narrows if very important information and can help to anticipate the eventual breakout Battle Price Line t t t t t t t t t t Price 5 42 18 6 44 40 6 49 02 6 54 00 7 00 18 7 10 05 7 24 47 7 37 53 7 41 36 7 46 40 7 48 27 7 59 02 8 03 51 8 07 47 8 14 08 8 14 54 8 15 23 8 17 20 8 19 51 8 19 55 8 21 55 8 22 47 81334 Bid Price 4 12276 1 2276 125 Ask Row Total 12272 This has been a trending
88. s Qmarketdelta com Educational Materials at marketdelta com MarketDelta manual FAQ s and help files e White Paper that explains many of the premises MarketDelta is based upon e Videos covering the general functionality of all the components within the software e Videos highlighting some of the strategies in this guide Cheat sheets providing guidelines and suggestions for common settings Miscellaneous academic papers covering many of the concepts encapsulated within Footprint and MarketDelta MarketDelta community support is available at the following Yahoo message board http groups yahoo com group MarketDelta Our Address amp Contact Information MarketDelta Phone 1 312 602 2779 30 S Wacker Drive Fax 1 312 602 2619 Suite 1403 Chicago IL 60606 General Information Info marketdelta com Support Support marketdelta com Sales Billing Cancellations Sales marketdelta com Ideas Ideas marketdelta com O Copyright 2004 Malato Harnett LLC All Rights Reserved 73 Guide to MarketDelta Strategies Index A ascending triangle 33 ascending triangles 42 Ask 9 Average Strength 18 Ba Battle price line 13 Bid 9 Bid Ask 9 Bid Ask Strike 12 Blue cell count 18 Blue cell percent 18 Breakout 42 Buying cluster 58 C candy striping 48 Cluster 58 Cluster strategies 58 Column delta scalp 53 column shift 7 Consolidation 42 Continuation 42 Continuation pattern
89. s the trader is the volume trading on the bid or at the offer during any given time Delta The primary benefit of the Delta Footprint is its ability to give the trader a definitive buying pressure or selling pressure gauge at each specific price The Delta is calculated using the following equation Ask traded volume Bid traded volume Viewing the Delta Footprint will show a trader which side of the market is showing more aggression thus the potential to move in the direction of aggression One thing the Delta does not do is show you the total volume traded at that price Example The delta could be 50 meaning 50 more contracts have been bought as a result of the buyer being more aggressive and lifting that price when offered However the total volume could actually be 2050 meaning 1000 x 1050 You must be aware that delta is just showing you net buying or selling pressure at price A great advantage is that when delta is large either a large positive or large negative you know there was very lopsided trade at that price and possibly indicating institutional activity at that price Volume The primary benefits of the Volume Footprint are that you now know volume at each price as the market rotates back and forth Traditionally traders have used volume histograms on time based charts to follow volume however this doesn t show at what price all the volume was transacted It s very critical to know if most of the volume on a five minute
90. se of candles and MarketDelta The downside of course is that s an awful lot to look at We are recommending using MarketDelta as a complimentary tool at first If you begin to feel comfortable enough with just using MarketDelta then you can make O Copyright 2004 Malato Harnett LLC All Rights Reserved 25 Guide to MarketDelta Strategies the shift when you are ready The Footprint is a complimentary new chart that will aid in your analysis of price volume interaction 7 Basically the MarketDelta has several equivalent ways to display the same data However there appear to be important nuance differences What trading situations or preferences would dictate the use of the different Footprint display modes There are four different types of Footprints Bid Ask Delta Volume and Bid Ask Strike Each offers a little different way of viewing the market from the other Bid Ask The primary benefit of this Footprint is that it gives you very detailed information It is constantly showing order flow to the bid and order flow to the offer in the form of Bid traded volume x Ask traded volume For somebody who is very good mathematically and a quick thinker they would be able to gauge the Delta and Volume Footprint values from just looking at the Bid Ask Footprint This is because the Delta Footprint is simply A and the Volume Footprint is A The benefit the Bid Ask Footprint give
91. striped Footprints exemplify this very well helping to keep the trader focused on what type of market to expect One of the key benefits the Footprint provides is the chance that the bar might retrace What this means is when candy striping is present in a bar there is a high probability that a significant retracement will take place for that bar Bars that are all or mostly red or blue exhibit more strength and provide a lower probability of a significant retracement Notice in Figure 4 22 almost every bar had a significant if not full retracement of the preceding bar Footprint AX Z4 DT 5min Time Display x md iii 3 ople Copyright 2004 Malato Harnett LLC Price ele saf va st 9 35 00 9 40 00 9 45 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 25 00 10 30 00 10 35 00 10 40 00 10 45 00 10 50 00 10 55 00 11 00 00 11 05 00 11 10 00 11 15 00 11 20 00 11 25 00 Bid Battle Price Line Price 4 40775 40770 4076 5 4076 0 40755 Settings Trading Style Candy Striping Instrument Dax 4077 5 4077 0 4076 5 4076 0 4075 5 40750 40745 40740 40735 4073 0 Footprint style Delta Column shift 5 minute Thresholds 25 50 100 4075 0 4074 5 4074 0 4073 5 4073 0 40725 40720 4071 5 4071 0 4070 5 40725 40720 4071 5 4071 0 4070 5 4070 0 4069 5 4069 0 4068 5 4068 0 4067 5 40
92. t 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 Oftentimes when approaching an area of support resistance volume will begin to dry up signaling a reversal or pause in the market A more informed trader is a better trader and the Footprint is helping to bridge this knowledge gap O Copyright 2004 Malato LLC All Rights Reserved Footprint Patterns amp Strategies 32 x Sm MELE 912 Battle Price Line Price 8 44 00 9 14 00 9 44 00 10 14 00 10 44 00 11 14 00 11 44 00 12 14 00 12 44 00 1 14 00 1 44 00 2 14 00 2 44 00 3 14 00 3 44 00 Bid Price Ask Row Total 4 5758 5758 5757 5757 5758 i 5758 sss Settings 5755 5754 Instrumeht emini Russell 2000 5754 sai Footprint style Volume 180 2753 5754 Column shift 30 minute 1 5 5751 5750 Thresholds 100 200 300 5750 is 5748 5748 5747 5748 5745 5744 5743 5742 5744 5740 5738 5738 5737 5736 5735 5734 5733 5732 5734 5730 5728 Trading style Trend Following and Market Timing Notice how the delta value at the bottom of each column is positive yet decreasingly positive as price rallies throughout the morning The delta value is showing price momentum weaken and eventually turn negative on bar 7 In this case the delta value was tracking momentum very well and wo
93. that point buyer or seller The key behind MarketDelta is the ability to monitor supply and demand at each price as the market rotates back and forth Having the color settings set so you know what they mean is crucial to understanding the Footprint Personalize the Footprint so you begin to recognize what they are telling you about supply and demand We recommend setting the color settings for a particular instrument so that there is a nice representation of all color shades You don t want to see all dark colors or all light colors Set them so you have a nice variation and when the Footprint is darkly shaded it will represent high activity 5 Are there any noticeable differences in rising markets versus declining markets The most noticeable difference will be more blue Footprints in a rising market and more red Footprints in a declining market Another usually noticeable difference will be in the Row Total chart area or the Row Total Distribution chart You will notice more positive blue bars in a rising market and more negative red bars in a declining market for the Delta distribution On a strong trending day you will notice mostly blue bars for the Delta distribution for up days and mostly red bars for down days 6 I m used to watching candle charts in several time frames 2 3 4 and 5min in order to find entry points Is it feasible to drop the candles all together in favor of MD or am I better off integrating the u
94. tial Being aware of market potential contributes to a more intuitive recognition of patterns O Copyright 2004 Malato LLC All Rights Reserved Footprint Patterns amp Strategies 46 Footprint NQ 24 5min Time Display 3 NQ Z4 x m gg x18 x28 x38 O JO S 81 D A Copyright 2004 Malato Harnett LLC Battle Price Line Price 9 45 00 9 50 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 25 00 10 30 00 10 35 00 10 40 00 10 45 00 10 50 00 Bid Price Ask Row Total 1467 A prom Notice how the range of MD each column is very 1465 5 similar This helps 1830 traders recognize 1464 0 potential with respect to time 1463 5 424 9 1463 0 311 1462 5 1462 0 1461 5 1461 0 1460 5 1460 0 1459 5 1459 0 1458 5 14580 Settings i Trading style Rotational 1456 5 Instrument emini Nasdaq 100 1456 0 B 14555 Footprint style Volume 14550 olumn shift 5 minute Thresholds 250 500 750 1453 5 1453 0 14525 1856 351 2872 1008 548 708 1020 412 78 1388 822 1227 673 1280 4 Figure 4 16 Footprint NQ Z4 5min Time Display 24 1 8 6 A A vo 8129 Copyright 2004 Malato Harnett LLC Battle Price Line Price 2 40 00 2 45 00 2 50 00 2 55 00 3 00 00 3 05 00 3 10 00 3 15 00 3 20 00 3 25 00 3 30 00 3 35 00 3 40 00 3 45 00 3 50 00 3 55 00 4 00 00 4 05 00 4 10 00 4 15 00 Bid
95. trade information This will build your skills and help to recognize moves earlier in development Market Timing Market Timing To name a few MarketDelta can be used by traders who like to time entries exits follow reversals and take advantage of breakouts The Footprint provides an O Copyright 2004 Malato Harnett LLC All Rights Reserved 29 Guide to MarketDelta Strategies 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 gives a unique perspective because it allows market timers to see HOW the price is trading not just 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 may be used by market timers is when price moves up to new highs and advertises for selling The Footprint will show whether aggressive sellers are entering the market at the new highs By displaying red Footprint boxes during new high prices the Footprint is advertising selling activity Think of the
96. u are familiar with Market Profile amp then these distributions will be similar with respect to the volume profile it produces MarketDelta takes it a step farther and analyzes the volume to determine if it was buyer or seller motivated This data is represented in the delta distribution This is a real time view of each price and shows whether more buying or selling is occurring at each price More buying is classified by more volume occurring at a specific price when it was the offer price and more selling is classified by more volume occurring at that specific price when it was the bid price Over the course of the day buyers and sellers step in to defend certain prices and it becomes very obvious through the delta distribution For the sake of not duplicating much of the educational material that is already out there on trading distributions we figured it would be good to just provide information on what is unique to MarketDelta We will focus on the delta distribution because it is very unique to the MarketDelta concept All delta distributions classify whether more selling or buying occurred at each price More selling is represented in red and more buying in blue In Figure 6 1 the blue bars are all to the right of the axis which represents more buying at those prices The red bars represents more selling at the respective prices Figure 6 1 is September 10th 2004 for ESZ4 It was a generally bullish day that formed a double distributi
97. uld have provided a great timing signal to exit longs or possibly play the t t t 648 558 391 155 40 162 879 289 763 348 Figure 4 2 O Copyright 2004 Malato Harnett LLC All Rights Reserved 33 Guide to MarketDelta Strategies Battle Price Line Price 9 36 00 9 40 00 9 45 00 9 90 00 9 55 00 10 00 00 10 05 00 10 10 00 10 15 00 10 20 00 10 26 00 10 30 00 10 35 00 10 40 00 10 45 00 10 50 00 10 55 00 11 00 00 11 05 00 11 10 00 11 15 00 11 20 00 11 25 00 id Ask Row Total 4 40050 40045 4004 0 40235 Settings 4002 5 Trading Style Trend Following Reversal 40022 Instrument DAX 4001 0 Footprint style Delta 9905 Column Shift 5 minute 3999 5 Thresholds 25 50 100 3999 0 3998 5 3998 0 3997 5 3997 0 3996 5 3996 0 39955 3995 0 3994 5 3994 0 3993 5 39930 3992 5 3992 0 39915 3991 0 1 39905 En total confirms the bullishness up until the point m where you see a distribution of volume This 39880 might make for a good time to take profits if you 39875 are long 39870 3986 5 3986 0 39855 3885 0 39845 12 39840 1 3983 5 32 39830 11 3982 5 wm 39820 3981 5 28 Notice how the delta Eun Footprint column total 39800 n confirmed the breakout 38785 3 from the congestion 3978 5 EE HEN E 1 near the low of the day 3978 0 9 n 3977 5 12 3 10 3977 0 ET mm 3976

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