mzFootprint

The mzFootprint indicator displays order flow data as a footprint (cluster) chart overlaid on NinjaTrader price bars. Each bar is broken down by price level, showing bid and ask volumes, delta, imbalances, absorption patterns, and more.

Data required: Level 1 (tick data)

Key Features

• Footprint ladder with bid/ask volumes at every price level
• 8 footprint styles — BidAsk, Volume, Delta, DeltaPercentage, TradesNumber, Bid, Ask, None
• Imbalance detection with configurable ratio threshold and S/R zones
• Absorption patterns with 5 concurrent detection levels
• Unfinished Auction highlighting
• Bar Volume Profile with POC and Value Area per bar
• Session/Daily Volume Profile Levels — developing POC and VA lines
• Statistics Grid — 16 real-time metrics per bar
• Bar Statistics — summary row with volume, delta, COT, ratio numbers
• Cluster Zones — horizontal zones projected from significant clusters
• Delta Divergence signals — built-in divergence detection
• Alerts and notifications — sound, email, per-metric thresholds

Footprint Styles

The indicator supports two independent footprint columns (Left and Right), each with its own style and settings.

Style	Description
BidAsk	Classical bid x ask footprint — shows volume on bid and ask sides
Volume	Total traded volume per cluster
Delta	Bid-Ask volume difference (positive = buying pressure)
DeltaPercentage	Delta as a percentage of total volume
TradesNumber	Number of individual trades per cluster
Bid	Only bid-side volume
Ask	Only ask-side volume
None	Column hidden

Cluster Visualization

Each footprint column supports three cluster rendering styles:

Style	Description
Brick	Solid color fill of the entire cluster cell
Histogram	Partial fill proportional to the cell's value relative to the bar/chart maximum
None	No color fill — text values only

Cluster Scaling

Controls how the histogram fill is calculated:

Scale	Description
Bar	Scaled relative to the current bar's maximum value
Chart	Scaled across all visible bars on the chart
All	Scaled across all loaded bars

Data Sources

Each column has three independent data source settings:

• Scale source — which data determines histogram fill size (Volume, Delta, or TradesNumber)
• Color source — which data determines cell coloring
• Gradient source — which data drives the gradient/heatmap intensity

Enable Auto sources to have these set automatically based on the selected footprint style.

Color Modes

Mode	Description
Solid	Uniform color for all clusters
Saturation	Color intensity scales with value — higher values are more saturated
Heatmap	Multi-color gradient from cool to hot
GrayScale Heatmap	Monochrome intensity gradient
Custom	4-level color thresholds — define volume breakpoints and assign a color to each level

Custom Color Thresholds

When using Custom mode, you define up to 4 color levels:

Setting	Description
Custom 'less' filter	Values below this get the "less" color
Custom '>=' filter #1	First threshold
Custom '>=' filter #2	Second threshold
Custom '>=' filter #3	Third threshold (highest)

Each threshold has a corresponding color brush.

Settings Reference

Filters

Setting	Default	Description
Ticks per level	1	Price level aggregation — set to 2+ to merge adjacent levels
Trade min	0	Minimum trade size to include
Trade max	-1	Maximum trade size (-1 = unlimited)

Presentation

Setting	Default	Description
Display volume filter	0	Hide clusters below this value
Bid	—	Color for bid-side background
Ask	—	Color for ask-side background
Bid/Ask relative scaling	true	Scale bid and ask sides relative to each other
Auto-scale values	true	Automatically adjust font size to fit cells
Bar border	false	Show border around each footprint bar
Bar marker	false	Show bar markers instead of candles
Bar space, px	100	Vertical space between bars
Bar width, px	3	Width of the bar marker
Bar outer margin, px	8	Horizontal space between bars
Control right margin	false	Let the indicator control chart right margin
Chart right margin, px	40	Custom right margin value

Bar Volume Profile

Per-bar volume distribution analysis.

Setting	Default	Description
POCs	true	Show Point of Control
POCs count	1	Number of POC levels to display (1–10)
Primary POC border	Yellow, 2px	Style of the primary POC marker
Other POCs border	DarkOrange, 2px	Style of secondary POC markers
Min width, px	0	Minimum pixel width for POC marker
VA	true	Show Value Area
VA, %	68	Value Area percentage
VA color	White	Value Area fill color
VA opacity, %	70	Value Area transparency

Volume Profile Levels

Session or daily developing POC and Value Area lines.

Setting	Default	Description
Mode	Session	Session or Daily profile calculation
POC: enable	false	Show session/daily POC line
POC: developing	true	Show developing POC (updates on each bar)
POC: line	Orange, 8px	POC line style
VA: enable	false	Show session/daily Value Area lines
VA: developing	true	Show developing VA
VA: %	68	Value Area percentage
VA: line	RoyalBlue, dotted, 6px	VA line style

Imbalance

Imbalance detection highlights clusters where the bid/ask volume ratio is disproportionate, indicating aggressive buying or selling.

Setting	Default	Description
Show	true	Enable imbalance detection
Only Imbalance	false	Show only imbalanced cells (hide everything else)
Imbalance, %	200	Ratio threshold — e.g., 200% means one side must be 2x the other
Filter	0	Minimum volume on the imbalance side
Sell/Resistance zone	Red	Color for sell-side (bid) imbalance
Buy/Support zone	MediumSeaGreen	Color for buy-side (ask) imbalance
Highlight values	true	Color the text values of imbalanced cells

How Imbalance Works

mzFootprint calculates diagonal imbalance. A diagonal imbalance at the Ask side means the volume of filled Buy orders is greater by a given percentage than the volume of filled Sell orders at the price level just below:

Formula: (AskVolume / BidVolume_below - 1) × 100

Example: 71-lot Ask at 2384.50 vs 19-lot Bid at 2384.25:

(71 / 19 - 1) × 100 = 274%

With the default 200% threshold, this cluster is flagged as an imbalance.

Absorption is a diagonal imbalance combined with level rejection. The Depth parameter (in ticks) defines how far the price must bounce from the absorption level to qualify.

S/R zone logic:

• Imbalance levels on the Ask side create a support zone
• Imbalance levels on the Bid side create a resistance zone
• For absorption, the logic is reversed: Ask-side absorption creates resistance, Bid-side absorption creates support
• The more volume traded and the more consecutive levels in a zone, the stronger that zone is
• Zones can be canceled at session end (Break on session) or when price crosses and stays beyond the zone

Imbalance Markers

When footprint values are not visible (zoomed out), markers indicate where imbalances occur:

Setting	Default	Description
Marker: visibility	NoValues	When to show: None, NoValues, or Always
Marker: type	Dot	Shape: Dot or Cluster
Marker: position	Outer	Placement: Inner, Center, or Outer

Imbalance S/R Zones

Project horizontal support/resistance zones from consecutive imbalance levels:

Setting	Default	Description
S/R zones: enable	false	Enable S/R zone projection
S/R zones: consecutive levels	2	Minimum stacked imbalance levels to form a zone
S/R zones: volume filter	0	Minimum volume for qualifying levels
S/R zones: ended by	ByBarHighLow	Zone termination rule: ByBarHighLow, ByBarClose, ByBarPOC, or ByBarTouch
S/R zones: break on session	true	End zones at session boundaries
S/R zones: opacity, %	25	Zone fill transparency
S/R zones: alert	false	Sound alert when price approaches a zone

Absorption

Absorption detects levels where aggressive orders are being absorbed by passive limit orders. The indicator supports 5 independent absorption levels, each with its own threshold, depth, and colors.

Per-level settings (repeated for #1 through #5):

Setting	Default (#1)	Description
Show	false	Enable this absorption level
Absorption, %	68	Ratio threshold for absorption detection
Depth	1	Number of adjacent price levels to consider
Filter	0	Minimum volume filter
S/R zones: consecutive levels	2	Stacked levels required for a zone
S/R zones: volume filter	0	Volume filter for zone qualification
Sell/Support zone	Cyan, 3px	Sell-side absorption zone color
Buy/Resistance zone	Orange, 3px	Buy-side absorption zone color

Global absorption settings:

Setting	Default	Description
Only Absorption	false	Show only absorption cells
S/R zones: enable	false	Enable absorption S/R zones
S/R zones: ended by	ByBarHighLow	Zone termination rule
S/R zones: break on session	true	End zones at session boundaries
S/R zones: opacity, %	25	Zone fill transparency

Unfinished Auction

An unfinished auction occurs when a bar closes with non-zero volume at the high or low — indicating the market did not fully auction that price level.

Setting	Default	Description
Show	false	Enable unfinished auction highlighting
Color	Indigo	Cell background color
Opacity, %	30	Background transparency
Border	Indigo	Cell border style

Bar Statistics

Summary statistics displayed below or beside each footprint bar.

Metric	Description
Volume	Total bar volume
Delta	Net delta (ask volume minus bid volume)
Absolute Delta Average	Average absolute delta across clusters
Min/Max Delta	Minimum and maximum delta within the bar
Delta %	Delta as a percentage of total volume
COT	COT High and Low values
Ratio Numbers	NEUTRAL / REJECTED / DEFENDED classification based on configurable bounds

Setting	Default	Description
Values are x1000	true	Divide displayed values by 1000
Values divider	1	Additional custom divider for values
Negative Delta	Red	Color for negative delta
Positive Delta	Green	Color for positive delta
Font	Montserrat, 12pt	Statistics font

COT (Commitment Of Traders)

COT High and COT Low measure the cumulative delta from key price events:

• COT High — cumulative bid/ask delta starting from the moment the price makes a new high (or repeats the previous one). It reveals the buy/sell balance after a new high is reached.
• COT Low — the same logic applied at new lows.

Trading interpretation: A new high acts as a market test, and COT High is the reaction. If the price stays at highs while COT High is negative and growing in absolute value, this indicates strong support by buy limit orders.

Ratio Numbers

Ratio Numbers classify bar activity into three states based on configurable bounds:

Setting	Default	Description
Ratio Numbers: bounds low	0.71	Lower boundary for NEUTRAL
Ratio Numbers: bounds high	29.0	Upper boundary for NEUTRAL
NEUTRAL	Gray	Color when ratio is within bounds
REJECTED/DEFENDED	RoyalBlue	Color when ratio is outside bounds

Calculation: For an up-bar, the ratio is bid volume above bar low divided by the bid volume at the bar low. For a down-bar, the ratio is ask volume below bar high divided by the ask volume at the bar high.

Interpretation:

Ratio	State	Meaning
0.71–29.0	NEUTRAL	Market is facilitating trade at this level
> 29.0	REJECTED	Price is being rejected — below an up-bar means lower prices rejected; above a down-bar means higher prices rejected
< 0.71	DEFENDED	Price level is being defended by limit orders — below an up-bar means buyers supporting; above a down-bar means sellers defending

Statistics Grid

A detailed grid displaying up to 16 real-time metrics per bar, rendered alongside the footprint.

Available Metrics

Metric	Description
Trades	Number of trades
Volume	Total volume
Buy Volume	Buy-side volume
Sell Volume	Sell-side volume
Delta	Net delta
Delta %	Delta percentage
Absolute Delta Average	Average absolute delta
Delta Cumulative	Running cumulative delta
Min Delta	Minimum delta in bar
Max Delta	Maximum delta in bar
Delta Change	Delta change from previous bar
COT High	COT high value
COT Low	COT low value
Delta Rate	Rate of delta change (per tick or per millisecond)
Volume per Second	Volume arrival rate
Bar Duration	Time duration of the bar

Each metric can be individually shown/hidden and has a configurable highlight threshold for visual emphasis.

Setting	Default	Description
Show	false	Enable the statistics grid
Show legend	true	Display row labels
Legend position	Left	Label placement: Left or Right
Grid in front of Footprint	true	Render grid above the footprint
Predicted values: show	false	Show predicted values for incomplete bars
Values are x1000	true	Divide values by 1000
Cell height, px	24	Height of each grid row
Cell color scale	Chart	Scale color intensity: Chart or All
Auto-scale values	true	Auto-fit text to cell size
Auto-scale bars	true	Scale bars to fit cell
Font	Montserrat, 12pt	Grid font

Delta Rate

Delta Rate measures the rate of delta change over a chosen time interval (milliseconds) or tick interval. When delta changes, the price also changes — the indicator shows the price range at which the delta rate occurred.

Only the maximal (by absolute value) Delta Rate is recorded and displayed per bar in the Statistics Grid and optionally on the chart as a vertical line.

High Delta Rate indicates:

• Stop-loss triggers cascading
• Price reversals
• Breakouts

Predicted Values

Statistics values are extrapolated proportionally to bar time. A gauge shows the progress of the bar with a countdown to bar close. This feature is available for time-based intraday bar types only.

Projecting Values on Chart

Each Statistics Grid metric has a project toggle and a project threshold setting. When enabled, cells exceeding the threshold are projected directly onto the chart, highlighting bars where that metric is significant.

Example: Enable Volume: project and set Volume: project threshold to highlight bars with notable volume directly on the price chart.

Cluster Zones

Cluster zones project horizontal zones from significant volume clusters into the future, acting as potential support/resistance levels.

Each footprint column (Left/Right) has independent cluster zone settings:

Setting	Default	Description
Cluster Zones: enable	false	Enable zone projection
Cluster Zones: on bar close	false	Only create zones after bar closes
Cluster Zones: filter min	0	Minimum cluster value to qualify
Cluster Zones: filter max	-1	Maximum cluster value (-1 = unlimited)
Cluster Zones: ignore bar high/low	false	Exclude clusters at bar extremes
Cluster Zones: ended by	ByBarHighLow	Termination rule: ByBarHighLow or ByBarTouch
Cluster Zones: break on session	false	End zones at session boundaries
Cluster Zones: style	Zone	Display: Zone, Line, or None
Cluster Zones: box	false	Draw a box around the zone

Use Cases

Cluster Zones can identify different types of significant price levels depending on filter settings:

• Low Volume Nodes (LVN): Set a small filter min and filter max range to isolate low-volume clusters — areas where price moved quickly and may act as future breakout/breakdown levels
• High Volume Nodes (HVN): Set a large filter min threshold to capture high-volume clusters — areas of price acceptance that often act as magnets or support/resistance
• Delta/Delta Percentage ranges: Filter by delta values to find clusters with strong directional bias
• Trades ranges: Filter by number of trades to spot institutional or retail activity clusters

Signals

Built-in delta divergence signal detection (licensed builds only).

Setting	Default	Description
Delta Divergence: enable	false	Enable divergence signals
Delta Divergence: volume threshold	-1	Minimum volume (-1 = any)
Delta Divergence: delta threshold	100	Minimum delta for signal
Delta Divergence: alert	false	Play sound on signal

Delta Divergence is a trend reversal signal triggered on bar close:

• LONG signal: Price makes a new low with a bullish candle and positive delta
• SHORT signal: Price makes a new high with a bearish candle and negative delta

Example: A bearish bar making a new high with -135 delta. When the next bullish bar closes, the signal fires for a short trade.

For full divergence analysis, see the dedicated mzDeltaDivergence indicator.

Use Cases for ES

The following presets demonstrate common mzFootprint configurations for E-mini S&P 500 (ES). Each use case lists only settings that differ from defaults.

Classic Bid/Ask Footprint

Standard order flow reading — see bid/ask volumes at every price level with visual emphasis on delta.

Setting	Value
Left: Footprint style	BidAsk
Left: Cluster style	Brick
Left: Color mode	Saturation
Left: Color source	Delta
POCs	true
POCs count	1
VA	true
VA, %	68

The default starting point for footprint analysis. Saturation mode highlights clusters where delta is strongest. POC and Value Area show where the most volume traded within each bar. Look for price rejection at Value Area boundaries.

Delta Heatmap

Instantly spot aggressive buying and selling clusters across the chart.

Setting	Value
Left: Footprint style	Delta
Left: Cluster style	Brick
Left: Color mode	Heatmap
Left: Scale source	Delta
Left: Color source	Delta
Left: Gradient source	Delta
Display volume filter	50

Delta-only view with heatmap coloring turns each cell into a heat signature. Hot cells = aggressive activity. Filter out noise below 50 contracts. Useful on 5–15 min charts to find bars with hidden aggression that candlesticks don't reveal.

Volume Clusters with Custom Thresholds

Highlight institutional volume levels on ES using fixed thresholds.

Setting	Value
Left: Footprint style	Volume
Left: Cluster style	Brick
Left: Color mode	Custom
Custom 'less' filter	500
Custom '>=' filter #1	500
Custom '>=' filter #2	1000
Custom '>=' filter #3	2000

Four color tiers make institutional activity stand out: cells under 500 get a muted color, 500+ first highlight, 1000+ second, 2000+ brightest. Adjust thresholds based on current ES average volume — these values work for regular trading hours.

Imbalance Detection

Find price levels with aggressive one-sided order flow.

Setting	Value
Imbalance: Show	true
Imbalance, %	300
Imbalance: Filter	10
Imbalance: Highlight values	true
Imbalance: Marker: visibility	Always
Imbalance: Marker: type	Dot

A 300% threshold (3:1 ratio) ensures only strong imbalances are flagged. Filter of 10 removes noise from thin price levels. Dot markers visible at any zoom level. Stacked buy imbalances at bar lows indicate support; stacked sell imbalances at bar highs indicate resistance.

Imbalance S/R Zones

Project support and resistance zones from consecutive imbalance levels.

Setting	Value
Imbalance: Show	true
Imbalance, %	200
Imbalance: Filter	10
S/R zones: enable	true
S/R zones: consecutive levels	3
S/R zones: volume filter	10
S/R zones: ended by	ByBarClose

Three consecutive imbalance levels required — produces fewer but higher-quality zones. ByBarClose termination is more conservative than ByBarHighLow: a zone survives wicks and only ends on a decisive close through it. Green zones = support, red zones = resistance.

Absorption Pattern Detection

Detect where passive limit orders absorb aggressive market orders — exhaustion and reversal points.

Setting	Value
Absorption #1: Show	true
Absorption #1: Absorption, %	100
Absorption #1: Depth	2
Absorption #1: Filter	20
Absorption #2: Show	true
Absorption #2: Absorption, %	200
Absorption #2: Depth	1
Absorption #2: Filter	50
Absorption: S/R zones: enable	true
Absorption: S/R zones: ended by	ByBarHighLow

Two absorption levels work together: Level #1 (100%, depth 2) casts a wider net for moderate absorption, Level #2 (200%, depth 1) catches only strong absorption events with 50+ contracts. Absorption at bar extremes often precedes reversals. S/R zones project these levels forward.

Unfinished Auction

Find bars with incomplete price auction — potential continuation or revisit levels.

Setting	Value
Unfinished Auction: Show	true
POCs	true
POCs count	1
POC: enable	true
POC: developing	true

An unfinished auction means the bar closed with volume still at the high or low — the market did not fully reject that price. These levels often get revisited. Combine with developing session POC to see whether unfinished levels align with the session's value center.

Cluster Zones — High Volume Nodes

Project horizontal S/R zones from high-volume clusters.

Setting	Value
Left: Footprint style	Volume
Left: Cluster style	Histogram
Cluster Zones: enable	true
Cluster Zones: filter min	500
Cluster Zones: ignore bar high/low	true
Cluster Zones: on bar close	true
Cluster Zones: ended by	ByBarHighLow
Cluster Zones: style	Zone

Zones project from clusters with 500+ contracts, excluding bar highs/lows (which are often just wicks, not genuine support/resistance). "On bar close" prevents false zones from forming mid-bar. High-volume clusters act as magnets — price tends to revisit them.

Delta Divergence Signals

Detect potential trend reversals using delta divergence.

Setting	Value
Delta Divergence: enable	true
Delta Divergence: volume threshold	5000
Delta Divergence: delta threshold	200
Delta Divergence: alert	true

A LONG signal fires when price makes a new low but the bar closes bullish with positive delta above 200 contracts — sellers failed to drive the close lower. Volume threshold of 5000 ensures the signal occurs on bars with enough participation to be meaningful. Works best on 5–15 min timeframes.

Statistics Grid for Scalping

Real-time metrics dashboard for ES scalping — monitor volume, delta, and pace at a glance.

Setting	Value
Show	true
Show legend	true
Grid in front of Footprint	false
Cell color scale	Chart
Values are x1000	true

Enable these metrics: Volume, Delta, Delta %, Delta Cumulative, Delta Rate, Volume per Second.

Six key metrics per bar: Volume and Delta for size, Delta % for context, Cumulative Delta for session trend, Delta Rate for speed of flow, Volume per Second for tempo. Grid behind footprint keeps clusters readable. Color scale per chart view — hot cells show where the action is relative to visible bars.

Performance Tips

mzFootprint is a tick-level indicator processing market data on every tick. To keep charts responsive:

Reduce loading time:

• Use Tick Replay for maximum historical precision (requires additional PC resources)
• Set Days to load to the minimum value you need
• Remove unused indicators from the chart — use the visibility toggle (eye button) to temporarily hide indicators you need only periodically
• Close unused shadow workspaces

Optimize live rendering:

• Set MaximalRenderMs to 20–50 ms (under General > Optimize render performance). The chart may flash briefly but will remain responsive
• Set Ticks per level to 2 or more for instruments with many price levels
• This indicator supports OnBarClose mode for further optimization of system resources

Non-Bid/Ask Data Support

Some markets (Forex, cryptocurrencies, NSE/Indian stock market) do not provide historical bid/ask data. Without it, all historical trades appear on the Bid side only.

Solution: Set Orderflow > Calculation mode to UpDownTick for these instruments.

Hybrid mode (NSE): NSE market data providers do not transmit historical bid/ask data. Use Hybrid mode, which applies UpDownTick calculation for historical data and BidAsk calculation for real-time data (100% accurate attribution for live trades).

Recommendation: For Forex pairs, use the relevant futures contract (e.g., 6E for EURUSD) to enable all order flow features including DOM analysis.

Notifications

Configurable alerts for any metric crossing a threshold. Each alert supports:

• Enable — turn the alert on/off
• Threshold — trigger value
• Sound — alert sound file (see Sound Files)
• On bar close — fire alerts only on completed bars
• Email — send email notifications (for imbalance/absorption alerts)

Available alert metrics: Trades, Volume, Buy Volume, Sell Volume, Delta, Delta %, Absolute Delta Average, Cumulative Delta, Delta Change, Delta Rate, COT High, COT Low, Left/Right Cluster, Imbalance, Absorption.