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OF_Footprint App
OF_Footprint is a Footprint style chart for Tradestation using TimeAndSales Provider. InsideBar chart generated from TandS provider is an figurative representation of flow of orders. InsideBar chart displays the following information
• Cumulative Bid / Ask
• Cumulative Delta
• Running Delta for each bar
• VPOC for each bar
• Running Volume for each bar
OF_Footprint can plot Bars based on TICK count or PriceRange.
The ELD consists of two apps
1) OF-FootPrint-V1.0 : This is the Footprint chart. It displays Orderflow in cumulative and configurable TICK intervals.
2) TickDataRecorder : This is the app that records Trade data for historic purpose. Since TandS data doesn’t go back beyond few bars , recording this data is essential for reloading the Footprint chart.
Input Options for OF-Footprint app
Sym : Stock, Futures etc Symbol name (@ES, @CL, FB etc ).
HistoryFilePath : Location of History files recorded by TickDataRecorder. The app automatically appends Symbol name to the path to avoid overwriting data files from multiple symbols. For e.g if C:/TickData/ is the path configured and @CL is the symbol name, the path to history files will be C:/TickData/@CL/.
FontSize: Font Size for text. Use this to adjust text size.
MinTradeSize : Use this setting to filter out small trades , usually retail players.
PlotMode : InsideBar may be plotted based on number of trades or Range of price.
BarTickCount: Use this to configure number of Trades per bar.
BarRange : This is used for PlotMode 2. Range of price for each bar. E.g 2 for ES or 0.2 for CL etc.
TrackPivots: Enable this option to get granular orderflow at Pivots. This will help to have a 10 tick range and 3 tick range at pivots in the same Footprint chart.
PivotRange: Pivots will use this range instead of the bar range configured.
RTHStartTime: Start of regular trading session, 0930 EST. Convert this to your local time. For e.g. for PST, RTHStartTime is 0630.
RTHEndTime: End of RTH session, 1315 EST. Convert this to your local time zone. For e.g this is set as 1615 in Pacific Time zone.
BidAskThreshold : Use this setting to highlight bid ask difference. This will aid to locate where buyers or sellers are active.
CumThreshold : Highlight big ask difference on the Cumulative plot. Since this is an aggregation of all trades, use a higher number.
DisplayBarVpoc : Display per bar VPOC
ColumnRotate: Enable rotating of columns. If this is enabled earlier columns will be visually hidden so that newer ones can fit the screen without scrolling. Use the expand button expand the hidden columns.
ColumnRotateCount: If column rotate is enabled, use this to configure the number of columns to be displayed on the screen. Configure this based on your screen size.
Following 3 options control the amount of historic data loaded into the chart when it is loaded or reloaded. Loading full history may lock TS platform for few minutes, so it is advisable to use the bare minimum history during trading to avoid locking up the platform for few minutes. Please note this only affect reload, if the charts are running for the whole day , it already have all the data populated.
If all 3 are false, no historic data will be loaded.
LoadFullHistory : Load full ETH and RTH history. This will use the maximum load time depending on the size of the files.
LoadHistoryLastHour : Load historic data from Last one hour
LoadHistoryRTH : Load historic data from the current RTH session.
HistoryCumOnly : Load historic data only in the Cumulative column. This will decrease screen size required for plotting footprint bars.
ETHCumOnly : Load ETH data only in the Cumulative column. This will decrease screen size required for plotting footprint bars.
PriceSeperator: Minimum tick size for the symbol. For ES it is 0.25, TF : 0.10 , CL 0.01 etc. Load the instrument in TS Matrix to obtain the minimum Tick size. This is used to prepopulate Price levels. Configuring this wrong will result in an exception.
PriceRange: Price range to pre populate from last close price for the symbol, depending on the instruments daily range. For ES populating 100 points above and below current price may be sufficient , CL may only need 10 points, YM may need 200 points.
LoadFilesOnly: This is for loading files from an older date , usually used for stydying older footprint chart.
LoadDate: Used when LoadFilesOnly mode is enabled. Use the ELDate format. Please note the datfiles must be present in the HistoryFilePath folder.
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Input Options for TickDataRecorder App
Sym : Stock, Futures etc Symbol name (@ES, @CL, FB etc ).
HistoryFilePath : Location of History files recorded by TickDataRecorder. The app automatically appends Symbol name to the path to avoid overwriting data files from multiple symbols. For e.g if C:/TickData/ is the path configured and @CL is the symbol name, the path to history files will be C:/TickData/@CL/.
RTHStartTime: Start of regular trading session, 0930 EST. Convert this to your local time. For e.g. for PST, RTHStartTime is 0630.
RTHEndTime: End of RTH session, 1315 EST. Convert this to your local time zone. For e.g this is set as 1615 in Pacific Time zone.
Following two entries dictate the amount of data written into historic files. It is highly recommended to avoid small trades (Trade size < 5 ) definitely not trade size 1 as it will bloat the file size and increase the load time of historic data for Footprint chart.
ETHTradeSize : Minimum trade size during ETH session. Recommended value above 3 for ES. I use 5 for ES which will filter most of retail trades.
RTHTradeSize: Minimum trade size during RTH session. Recommended value 5 for ES. I use 5 for ES which will filter most of retail trades.
Flush count: How often flush buffer to file. Recommended value around 10.
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How to get the Format window for App?
Please slect the format menu from top menu to format the application.
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ES Example InsideBar chart
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CL Example InsideBar Chart
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IMPORTANT TIP :
• Please create the historic data folder , including the symbol name. IF Historic datapath is C:/TickData and Symbol is @ES, then create C:/TickData/@ES folder
• If historic data is not recorded or loaded, start easy language errorlog. Look for filename exceptions , path may be configured wrong.
• PriceSeparator must be properly set to avoid exception. ES is 0.25 , CL is 0.01 , @US is 0.01 , AAPL (any stocks) 0.01 etc. Load the instrument in Matrix and see the minimum tick for that instrument.
• PriceRange must be set to average daily range of the instrument. For e.g AAPL around 50 , @US around 5 etc.
Contact Info:
If you have any questions or suggestions I would very much like to hear from you.
My email is: rahul_gopi@
Legal Information:
Disclaimer: The risk of trading can be substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of indicators, is not indicative of future results. All information provided in this document is for educational purposes only and is not intended to give you financial advice. Any statements about income, expressed or implied, does NOT represent a guarantee. Your actual trading may result in losses as no trading system is guaranteed. By accessing this document, you accept full responsibility for your actions, trades, profit and loss. You also agree to hold the developer of this program harmless in any and all ways. The usage of this document constitutes acceptance of these terms and the user agreement.
No Service Guarantee: You understand and agree that the developer of this program make no representation, warranty or condition that: (a) the TradeStation® indicators and services will be uninterrupted, timely, secure, reliable, accurate or errorfree; (b) the indicators and services will meet your requirements; (c) the services data obtained through the services will meet your expectations, be suitable for any purpose, or be accurate, complete, reliable, current, timely, adequate, or error-free. The developer of this program disclaim all liability for the use or interpretation of the services data. Services Data may be delayed, inaccurate or contain errors or omissions, the developer of this program will have no liability with respect thereto. The developer of this program does not endorse nor is responsible for the services data of any third party supplier. The summary is that the TradeStation® indicator could malfunction and the data that is provided may contain errors.
Commodity Futures Trading Commission (CFTC) Rule 4.41
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. 8
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
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