X-Ray of a Candle

Your first encounter with a footprint chart is a shock. Instead of familiar candlesticks, you see a wall of numbers. Two columns at every price level, highlighted cells, yellow markers, percentages. Dozens of numbers per candle. It looks like an airplane cockpit: probably useful, but where is the steering wheel?

In Module 1 we looked inside a candle and discovered the key insight: four OHLC numbers are not enough. A green candle can be packed with aggressive selling. A bullish breakout can turn out to be a trap. The matching engine records every trade, yet the candlestick chart hides all of it. The footprint does not hide anything. We have already seen this.

Seeing is one thing. Reading is another.

We will break down every element of the footprint: what POC is and why it matters, how imbalances are calculated and why diagonally, what zeros on candle edges mean, and how to tell signal from noise. By the end of this module, the wall of numbers will become a readable map.

Building a footprint from scratch

In Module 1 we sent a single market order through the order book and watched the matching engine record each trade — price, size, side. That produced a couple of rows. Let us look at a more complex example and see the impact of both market and limit orders.

The order book before we begin: five levels on each side. Buyers are resting with limit orders from 5524.75 down to 5523.75; sellers are resting from 5525.00 up to 5526.00. The spread is one tick. Between them — empty space where market orders are about to fly.

Thirteen orders. A large market buy sweeps the first ask level. Sellers respond by hitting the bids. Buyers push further and clear the next level. Someone places a limit wall: 18 contracts at 5524.50. Sellers attack the wall — once, twice. The wall cracks but holds. Buyers seize the initiative at the top. The wall finally collapses — and immediately a powerful buy blasts through 5525.50 to 5526.00.

Step through this scenario order by order. Watch how the order book changes and how each trade builds the footprint:

What is the result? Open 5525.00, close 5526.00, low 5524.25, high 5526.00. On a regular chart — a bullish candle with a long lower wick. A decent 4-tick rally.

Now — the X-ray. The right column (ask) shows aggressive buys: market orders that hit resting limit sellers. Total: 47 contracts. The left column (bid) shows aggressive sells: market orders that hit resting limit buyers. Total: 46 contracts. Total volume: 93 contracts. Delta: +1.

One contract. The candle rallied 4 ticks, yet the aggression balance is essentially zero. How is that possible?

Because the main event of this candle is not direction — it is absorption. At the 5524.50 level, 30 contracts traded on the bid side — more than at any other level. A limit buyer placed a wall of 18 contracts and absorbed two waves of selling (12 + 10). The wall eventually broke, but it did its job: it stalled the sellers and gave buyers time to break through at the top. A regular candlestick chart would show none of this. The footprint shows everything.