X-Ray of a Candle

X-Ray of a Candle

The first encounter with a footprint chart can be overwhelming. Instead of familiar candles, you see a wall of numbers. Two columns at every price level, highlighted cells, yellow markers, percentages. Dozens of values inside a single candle. It looks like an aircraft cockpit: clearly useful, but where is the control stick?

In Module 1, we looked inside a candle and saw the key point: four OHLC values are not enough. A green candle can be filled with aggressive selling. A bullish breakout may turn out to be a trap. The matching engine records every transaction, while the candlestick chart hides all of it. A footprint does not. We have already seen that.

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 they are compared diagonally, what zeros at the edges of a candle mean, and how to distinguish a signal from noise. By the end of the module, the wall of numbers will turn into a readable map.

Building a Footprint from Scratch

In Module 1, we sent a single market order through the order book and saw how the matching engine recorded every transaction — price, volume, and side. The result was only a couple of rows. Now let’s examine a more complex example involving both market and limit orders.

Before the sequence begins, the order book has five levels on each side. Buyers place limit orders from 5524.75 to 5523.75, while sellers place orders from 5525.00 to 5526.00. The spread is one tick. Between them is the space into which market orders are about to flow.

There are 8 orders. A large market buy clears the first 2 ask levels. Sellers respond by placing a new wall of 10 contracts at 5525.25. Buyers continue applying pressure — they clear this level and the next one, moving toward 5526.00. Then sellers attack down to 5524.75. The wall is under pressure, but it holds. Go through this scenario order by order and watch how the order book changes and how each transaction forms the footprint:

What was the result? Open at 5525.00, close at 5524.75, low at 5524.75, and high at 5525.75. On a standard chart, this is a bearish candle with a long upper wick. The price moved up by 4 ticks, but sellers became aggressive at the final stage, leaving buyers trapped near the top.

Now let’s look at the X-ray. The right column, ask, shows aggressive buying: market orders executed against passive limit sellers. Total: 27 contracts. The left column, bid, shows aggressive selling: market orders executed against passive limit buyers. Total: 8 contracts. Total volume: 35 contracts. Delta: +19.

The candle is bearish, but the balance of aggression is +19, with buyers far ahead of sellers. How is that possible?

The candle direction is not the main point. What matters is what happened inside. In the upper wick, buyers attacked aggressively, but the aggressive seller ultimately changed the outcome: buyers became trapped at the top and ended up in an unfavorable position. A standard candlestick chart shows none of this. A footprint shows all of it.