NinjaTrader Order Flow+ Footprint Charts: How to Read Them on ES and NQ

What a footprint shows that a candle does not

A standard candle gives you open, high, low and close. A footprint bar shows how many contracts traded at each price within the bar, split into trades at the bid (seller-initiated) and trades at the ask (buyer-initiated). In NinjaTrader 8, this comes from the Order Flow+ add-on, which is a separately licensed paid product. Check NinjaTrader's current pricing and requirements before you buy, since they change.

One data point matters before anything else: footprints are built from tick-level data with bid and ask information. If your data provider or historical tick download is incomplete, the footprint will be wrong or empty in places. Confirm that history loads fully before you trust what you see.

Setting up a footprint chart

In the NinjaTrader 8 desktop platform, open a chart and use the Data Series window to choose the Order Flow+ volumetric bar type, then set the bar period you want (for example 15 minutes on ES). The key settings are row size, which is how many ticks each row spans, and the imbalance threshold, which is the ratio that triggers a highlight. For ES, a row size of 1 tick equals 0.25 points and shows every price. The official NinjaTrader 8 help guide at ninjatrader.com/support/helpguides/nt8 has the exact menu names for your version, so check there rather than relying on a screenshot you saw once.

Volume delta

Delta is ask volume minus bid volume. Hypothetically, a bar with 1,200 contracts at the ask and 1,500 at the bid has a delta of negative 300. A bar that closes higher but has negative delta rose even though more volume hit the bid than the ask. That is a divergence worth noting, not a verdict. Delta describes who was aggressive inside the bar. It does not tell you what the next bar does.

Imbalances

An imbalance compares ask volume at one price to bid volume one tick below. Hypothetically, 450 contracts at the ask at 5010.50 versus 120 on the bid at 5010.25 is a ratio of 3.75 to 1, which crosses a 300% threshold and gets highlighted. Several highlighted levels in a row is called a stack. Traders watch stacks as possible zones where aggressive participants were active. Whether price respects them on a retest varies, so treat them as places to look, not guaranteed support or resistance.

Absorption

Absorption is heavy volume at a bar's extreme without price progressing. If a lot of contracts trade at the ask at the high and price does not rise, buyers were met by sellers willing to take the other side. It is a descriptive observation, and it can fail: price may break through the next bar. Do not assume the opposing side will push price back.

Using it alongside KPL levels

KPL levels are fixed reference prices anchored to the regular session opening print. The footprint does not generate them, and it does not predict anything about them. The footprint is a reading tool you can use when price reaches one. A reasonable routine:

1. Mark the KPL level you are watching. The map is not complete before the regular session opens at 9:30 a.m. ET.
2. When price approaches, look at delta and imbalances in the bar touching the level.
3. Note whether the footprint shows aggressive buying or selling continuing into the level, or whether it fades.
4. Decide your entry, stop and size from your own plan. The footprint is one input, not the signal.

For the full definition of what KPL levels are and are not, see KPL trading.

Limits to keep in mind

A busy 15-minute ES bar can have dozens of price rows. Looking at every row is how traders freeze, so concentrate on the bar's extreme rows and the rows at your level. Simulated Playback shows what happened, but a fill in simulation is not the same as an exchange queue position or slippage. Test your reading on recorded data for several weeks and keep notes on where it misled you. If you cannot show that footprint reads improved your results in your own journal, treat them as extra context, not an edge.