Volume Footprint

2023년 1월 19일

The Volume Footprint chart is analyzing volume data from inside the candle and split them into Up and Down Volume in the same way as Volume Profile analyzes the volume data from a fragment of the chart.
The visualization is little different:
Down Volume (sells) are shown on the left side of a candle.
Up Volume (Buys) are shown on the right side of a candle.

User can pick data precision used by Volume Footprint. We recomend to use the highest possible precision.
Unfortunatelly Trading View has many limitations.
If after adding script nothing is visible with error: "'The study references too many candles in history'" you need to use lower precision - It can be changed in script settings.

This script is a part of a toolkit called "Volume Footprint", containing few tools:
Volume Footprint - Scripts drawing Volume Footprint chart.
Volume Footprint Statistics - Script showing table with basic statistics about Up and Down volume inside the candles.
Volume Delta In Candle - Chart showing history of delta (difference between Up and Down volume) changes inside the current candle.
Volume Cumulative Delta - Chart showing history of cumulative delta (sum of difference between Up and Down volume in trading period equal to chart interval).

This script can be used by any user. You do not need to have PRO or PREMIUM account to use it.
Script with limited access, contact author to get authorization

User Interface:
Script is grouping Up and Down Volume into slots based on price. Slots height is controled by "Slot height" param in settings.
On left side of a candle Down Volume is shown and on right side Up Volume is shown.
Before Down Volume may appear imbalance symbols:
⠀↓ - 3 times
⠀↡ - 5 times
⠀⇊ - 10 times
After Up Volume may appear imbalance symbols:
⠀↑ - 3 time
⠀↟ - 5 times
⠀⇈ - 10 times

Above the candle we can show some basic statistics of that candle:
"V:" - Row with volume statistics:
⠀∑ - Total volume,
⠀Δ - Difference between Up and Down Volume.
⠀min Δ - Smallest difference between Up and Down Volume in that candle
⠀max Δ - Biggest difference between Up and Down Volume in that candle

Script settings:
Slot height = 10^ - Price slot height on the chart:
⠀ 0 - 1$
⠀ 1 - 10$
⠀ 2 - 100$
⠀ 3 - 1000$
⠀-1 - 0.1$
⠀-2 - 0.01$
⠀-3 - 0.001$

Data precision - One of 6 levels of data precision: ▉▇▆▅▃▁, where ▉ means the highest precision and ▁ the lowest available precision. On 15 minute chart highest precision should be available, but on 1D it will probably hit TradingView limitations and script will not be even launched by the platform with error: "'The study references too many candles in history'". The general recommendation is to use the highest available precision for a given instrument and interval.

Precise warnings - Option to show precise warnings about missing volume in candle footprint (warning connected with one of TradingView limitations).

Draw candles - Option of drawing candles fiting to volume labels and 2 fields for picking colors of up and down candles. The general recommendation is to hide chart candles and turn on this option.
Show stats - Showing stats over the candle: ∑, Δ, min Δ, max Δ. You can use 'Volume Footprint Statistics' script instead

Font size - Used to draw all the data over the chart: T(iny), S(mall), N(ormal), L(arge)
Centered - If checked volume labels are stick to candle (centered).

Color values - Option to draw labels with use of Up or Down color, depending which value (Volume Up or Volume Down) is bigger in the price slot.

Filter - Filtering option than allow hinding labels with small values:
⠀0 - filter turned off.
⠀1-5 - filtering with transparency
⠀6-10 - Filtering with hiding values.
Show zeros - It can show zeros or leave empty places

Highlight biggest slot - Option to highlight price slot with biggest volume in the candle.

Imbalances - Showing imbalance symbols before Down or after Up Volume
Only over average - Showing imbalances symbols only for volume not smaller than the average value.

Value area - Option to identify group of slots with biggest volume in each candle. A group is a smallest set of neighboring slots that have at least n(param) % of candle volume .
⠀ Value Area Minimal Volume (%) - Value area size as % of candle volume .
⠀ Color - Color of the Value area.
⠀ Show borders - Showing border lines of value areas over the candle.
⠀ Track - Option to track value areas. Potencial Support-Resistance zones.
⠀ Only active - Hide areas that were crossed by the price.
Show Values - Show volume value over tracked value areas.


Troubleshooting:
In case of any problems, send error details to the author of the script.

Known issues:
"The study references too many candles in history" - Change "Data precision" settings to some lower value.

2023년 1월 25일

릴리즈 노트

Added alerts connected with tracking value areas

2023년 1월 29일

릴리즈 노트

Package of improvements:
- Addition precision levels dedicated to 1W and 1M charts.
- Improved error reporting, filtering, candle drawing,
- Added settings sections
- Initial settings list limited to most important positions.
- Ticker and interval in alert messages.

2023년 1월 31일

릴리즈 노트

Package of improvements:
- Added "Instrument and Volume status" dialog
- Bug fixes

2023년 2월 15일

릴리즈 노트

Package of improvements

2023년 3월 7일

릴리즈 노트

Package of improvements:
- Possibility to pick what data are shown on the labels:
"-" - Hidden
D + U - Volume Up | Volume Down
ID = UI - Imbalance symbol, Volume Up | Volume Down, Imbalance symbol
V + V% - Slot volume | Slot volume as % of candle volume
Δ + Δ% - Delta | Delta as percent of slot volume
V + Δ - Slot volume | Delta
V% + Δ% - Slot volume as % of candle volume | Delta as percent of slot volume
- Possibility to pick what relation are mark with text color.
C - Color1
I - Imbalance
Δ - Delta
POC - Point of Control
VA - Value area
V - Compare slot's volumes in the candle
- Possibility to pick highlight area.
"-" - None
C - Candle
POC - Point of control
VA - Value area

2023년 3월 10일

릴리즈 노트

Fix bug with "ID + UI" values.

2024년 1월 13일

릴리즈 노트

Added "U" (Unfinished auction) option to text color and background selectors.

Unfinished auction appears when candle tops or bottoms are traded both ways (up and down). Expected situation (for slot height equal to the smallest price change) is that footprint high end with 0 value of down volume and footprint low end with 0 value of up volume.