A footprint chart replaces the candle with a ladder of prices, and at each price it prints two numbers: how much traded at the bid and how much traded at the ask. The word imbalance gets used loosely around these charts. It has a precise meaning, and knowing exactly what is being compared is the difference between reading the chart and decorating it.
Which two numbers
An aggressive buyer lifts the offer, so a buy prints at the ask. An aggressive seller hits the bid, so a sell prints at the bid. At any moment the best bid sits one tick below the best ask. That is why the comparison is diagonal: the ask volume at one price is set against the bid volume one tick lower, because those were the two sides of the same spread while that price was the market.
The comparison is a ratio. A common threshold is three to one: if the ask volume at a price is at least three times the bid volume one tick below, that cell is marked a buying imbalance, and the mirror case marks a selling imbalance. The threshold is a setting, not a law, and the number you pick decides how many marks you see.
What one mark means
One imbalance says that, while that price was the market, aggressive buyers did far more business than aggressive sellers. It does not say who won. Aggression that fails to move price is the subject of absorption, and a single imbalance is often exactly that: a burst of market buying that a passive seller was happy to fill.
What stacked marks mean
Three or more imbalances on consecutive prices, on the same side, are a different object. They say the aggressive side kept winning the spread as price moved, tick after tick, which is what a one-sided market looks like at the smallest scale. Those stacks are the levels that footprint traders draw, because when price returns to them the question is whether the same side is still there.
What the chart cannot tell you
- Whether the aggressor was opening or closing. A short covering into the ask prints exactly like a new long.
- Whether the passive side was one participant or fifty. The book is not on the footprint.
- What happened between prints. The cell is a total, and the order in which it was built is gone.
What to actually do with it
- Set the ratio and the minimum volume before you look at a single bar, and leave them alone for the session.
- Read single marks as aggression, and stacked marks as a level worth remembering.
- Judge a level on what price does when it comes back, not on how many marks it had when it left.