SabrTrader Documentation

Custom Order Flow Setup: Footprint, Heatmap & DOM Workspace

This page documents how to build a custom order-flow workspace in SabrTrader from its three core components: the footprint chart (what traded inside each bar), the MBO liquidity heatmap (what limit orders are resting in the book over time) and the SuperDOM / depth of market ladder (what is resting right now). It explains every configuration surface involved — footprint templates and cell content, tick aggregation, volume bubbles, order flow event detection and markers, swing filtering, VWAP and volume profile session anchoring, DOM columns, heatmap contrast and panel linking — and then shows how to assemble, link and save the layout on a single monitor. There is no single correct configuration: the platform is modular, and this page describes the choices rather than prescribing one.

Overview: What a Custom Order Flow Setup Is

Order flow is the study of executed trades and resting limit orders to see how buyers and sellers interact at each individual price. A custom order flow setup is the saved arrangement of charts, panels and indicator settings a trader uses to read that interaction during a session.

In SabrTrader an order flow workspace is built from three components, each answering a different question:

Component	Question it answers	Data it shows
Footprint chart	What already traded, and who was the aggressor?	Executed volume split by bid/ask at every price inside each bar
Liquidity heatmap	What has been waiting in the book, and where?	Resting limit orders over time, coloured by size
SuperDOM / DOM	What is resting at this exact moment?	Live bid and ask quantities at each price level

The central design principle is modularity. Any chart can carry a footprint, any chart can carry the heatmap, and a DOM panel can be attached to, detached from and moved between charts. Panels can be linked so they share an instrument and update together. The whole arrangement fits on a single monitor, and the amount of screen space each component gets is a user decision, not a platform constraint.

All indicators referenced on this page — footprint, volume profile, market profile / TPO, cumulative delta, VWAP and the summary table — are part of the Trade Devils premium indicator suite included in SabrTrader's Pro package at no additional cost. The 14-day trial ships the full Ultimate/perpetual feature set; you supply your own market data connection and, if you want AI analysis, your own LLM credentials.

This page assumes no prior order flow knowledge. Every term is defined in the Trading Concepts section and in the glossary.

The Three Components of an Order Flow Workspace

Footprint chart — inside the candle

A footprint chart is a chart type that replaces the single open-high-low-close body of a candle with a grid of numbers: for every price level the bar traded at, it shows how much volume executed against the bid (aggressive selling) and against the ask (aggressive buying). It requires trade-by-trade tick data. Where a candlestick tells you where price went, a footprint tells you how it got there and who paid for it.

Liquidity heatmap — what is waiting

A liquidity heatmap is a time-based visualization of resting liquidity: limit orders sitting in the order book awaiting execution. Each price level is coloured by the size resting there, and that colouring is drawn continuously across the time axis, so you can see a large resting order appear, persist, be consumed or be pulled. Bright, persistent bands mark price levels that are defended. Richest results come from MBO / Level 3 data, which exposes individual orders rather than aggregated size per level — see Liquidity Heatmap & SuperDOM (MBO).

DOM — what is there right now

The depth of market (DOM) is a vertical price ladder showing bid and ask quantities resting at each price level around the current market. It is the instantaneous snapshot the heatmap draws over time. SabrTrader's SuperDOM also supports order entry, ATM brackets and configurable data columns.

Why traders combine all three

Footprint reads are inferences, not facts. A bar with very high volume and negative delta that does not go down may be absorption — large resting limit buyers soaking up aggressive sell orders — or it may simply be a bar that traded a lot. The footprint alone cannot tell you which. The heatmap and the DOM can: if a large resting bid was visible at that price, held, and was repeatedly refilled while aggressive sells hit it, the absorption read is supported. If nothing was resting there, the read is weak. The heatmap also reveals iceberg orders — large orders that display only a small slice at a time — through their characteristic refill behaviour.

Conversely, the DOM shows intent that may never execute. Size can be posted and pulled. Only the footprint confirms that trades actually occurred. The three components are complementary, not redundant.

Trading Concepts Used in This Setup

Aggression and delta

Delta is the difference between volume traded at the ask (buy aggressors paying up) and volume traded at the bid (sell aggressors hitting down) over a bar, price level or session. Positive delta means aggressive buyers dominated; negative delta means aggressive sellers dominated.

Cumulative delta is a running total of bar delta across the session. It answers "who has been in control since the open?" rather than "who was in control in this bar?".

Delta divergence occurs when price closes up on negative delta, or closes down on positive delta. It signals that aggression is not translating into price movement — usually because the opposite side is absorbing it passively.

Delta drop is a sharp fall in delta within a bar, marking a concentrated burst of aggressive selling.

Absorption, exhaustion and traps

Absorption is aggressive market orders being fully consumed by resting limit liquidity without price making progress. On the ladder it appears as heavy trading at one price while resting size is repeatedly refreshed and price does not move.

Passive absorption is absorption performed by passive limit orders rather than by aggressive counter-orders. It is commonly found at swing pivots, which is why pairing it with a swing filter is useful.

Exhaustion is a decline in aggressive participation at the end of a directional move: continuation attempts no longer generate follow-through volume. It frequently precedes a reversal.

Trap traders are participants who entered aggressively at an extreme — buying the high, selling the low — and are offside the moment price reverses. Their forced exits supply fuel for the move against them.

Imbalances

An imbalance is a diagonal comparison inside the footprint: ask volume at one price versus bid volume at the price one tick below (or vice versa). When one side exceeds the other by a configured ratio — commonly 3:1 or 4:1 — that level is flagged as imbalanced.

• Stacked imbalances: three or more consecutive price levels imbalanced in the same direction, indicating sustained one-sided aggression through a range.
• Inverse imbalance: an imbalance pointing opposite to the prevailing direction, often an early reversal clue.
• Imbalance reversal: an imbalance that flips direction at a bar extreme, flagged as a potential turning point.

Bid/ask fade is the loss of aggressive follow-through on one side of the book near an extreme — aggressors stop showing up where they previously were.

Volume location

Point of control (POC) is the price level with the highest traded volume in a bar, session or profile. A bar POC sitting high in the bar relative to the close is read differently from one sitting low. A POC momentum wave is a sequence of rising or falling bar POCs, used to read short-term momentum direction independently of candle colour.

Volume profile is a horizontal histogram of volume traded at each price over a chosen session. Market profile / TPO (time-price-opportunity) instead shows how much time price spent at each level. Volume profile weights size; TPO weights duration.

Fair value references

VWAP (volume-weighted average price) is the session's volume-weighted mean price, used as a fair-value reference. VWAP standard deviation bands plot statistical stretch at one and two standard deviations from VWAP. Repeated pushes outside the 2-sigma band that retrace to the 1-sigma band are a recurring intraday rhythm.

RTH vs ETH: RTH is the regular cash trading session; ETH is extended/overnight hours. The same instrument produces materially different VWAP and volume profile values depending on which session anchors the calculation.

Structure and liquidity-seeking behaviour

Liquidity sweep / stop run is a probe below a prior low or above a prior high that triggers resting stop orders, after which price often reverses. It is the mechanism behind the common pattern of indexes dipping at the open before trending up.

Measured move is a projection in which the second leg of a move equals the first. Golden zone retracement is the 0.618–0.786 pullback band commonly used to time entries within a trend. Pre-market high is the session high before the regular open and is a frequently respected reference level. An area of interest is any pre-identified price level at which you intend to read order flow for a decision — order flow is read at levels, not continuously.

Bar construction

Range bars close after a fixed price range rather than a fixed time interval, so bar count expands in fast markets and contracts in quiet ones. A 15-range bar on ES closes after 15 ticks of range. Second-based bars (for example 5-second) are time bars at sub-minute resolution, useful for heatmap work. Tick aggregation groups N price ticks into one footprint row.

Trading style

Scalping vs higher timeframe trading: at any extreme, a scalper may take a counter-trend position for 2–10 ticks while accepting that they are fighting the day's trend; a trend trader reads the same signal as a cue to tighten stops or scale out of an existing with-trend position. The same marker produces two different, both valid, decisions. See Syncing Higher Time Frames for Better Entries.

Building the Workspace Layout

The layout is assembled from chart windows and docked panels. Every arrangement below is reachable without closing anything.

Panel operations

• Open a chart: from the Control Center's New menu, select the instrument and bar type.
• Attach a DOM panel: expand the chart's side panel and add the DOM. It docks to the chart edge and shares the chart's instrument.
• Detach the DOM: remove it from the panel to return the chart to full width, or move it to the other chart.
• Split into two charts: run one chart with the footprint and a second with the liquidity heatmap, typically on a faster bar type such as 5-second.
• Collapse/expand: panels can be collapsed to reclaim width and re-expanded without losing their configuration.
• Link panels: binding a DOM or heatmap to a chart so they share the instrument and update together.

Common layouts

Layout	Composition	Suited to
Footprint + DOM	One footprint chart with the DOM docked beside it	Traders who execute from the ladder and read context from the footprint
Heatmap + DOM	5-second heatmap chart with DOM docked	Pure book readers watching resting size build and pull
Footprint + Heatmap + DOM	Footprint on one side, heatmap on the other, DOM in the middle or on an edge	Full order flow desk on a single monitor

Screen real estate tradeoffs

Every panel added narrows the others. A compressed footprint plus a heatmap plus a DOM on one 1080p monitor is readable only if the footprint is in compressed mode and the DOM column set is minimal. On a wider or second monitor, an expanded footprint with full cell content becomes practical. Decide what you act on before deciding what gets width.

Save the finished arrangement as a workspace so it reopens identically. See SabrTrader Platform Setup: Workspaces, Charts, and Indicators for workspace and chart template management.

Liquidity Heatmap Settings

The heatmap draws resting book liquidity across time. Its settings control how loud that drawing is.

• Contrast / opacity: reduces the intensity of heatmap colouring so only genuinely large resting orders stand out. Lowering contrast is the standard remedy for a heatmap that visually overwhelms the price series.
• Overlay on/off: the heatmap colour overlay can be disabled while the liquidity panel itself remains active. This is a deliberate minimalism choice: you keep the ability to inspect resting size at a level without painting the entire chart background. Large resting orders remain visible in the panel, so nothing material is lost.
• Depth range: how many price levels away from the inside market are rendered. Wider ranges show stacked liquidity further out; narrower ranges focus on the actionable area.

Why the heatmap goes sparse

Late in the session — after the cash close, or in thin overnight hours — participants withdraw resting orders and the heatmap thins out or appears nearly empty. This is a true reflection of the book, not a fault. A sparse heatmap at 16:30 is the market telling you there is no liquidity to read, which is itself information: do not conclude the feed is broken, and do not conclude liquidity has permanently vanished.

Data requirement

The richest heatmap and DOM data comes from MBO / Level 3 feeds, which expose individual orders in the book rather than aggregated size per level. In SabrTrader this is obtained through a Rithmic connection. Level 1 (trades only) feeds cannot produce a liquidity heatmap at all; Level 2 (aggregated depth) produces a heatmap but cannot distinguish individual orders or reveal iceberg refill behaviour.

DOM Configuration

The SuperDOM is a configurable ladder. Columns are added and removed from the column picker; each column costs horizontal width, so the useful discipline is to add a column only when you can state what decision it changes.

Column	What it shows	When it earns its space
Bid size / Ask size	Resting quantity at each price level	Always — this is the DOM's core function
Volume	Traded volume at each price level in the current session or bar	Identifying where the session's business was done relative to current price
Delta	Buy-aggressor minus sell-aggressor volume at each price	Confirming whether a level is being bought or sold into as price sits there
MBO / order count	Number of individual orders composing the size at a level (Level 3)	Distinguishing one large order from many small ones; spotting iceberg refills
Last / trade prints	Most recent executions at each price	Tape reading directly on the ladder
Working orders / position	Your own resting orders and average price	Any ladder used for execution

Linking and placement

Panel linking binds the DOM to a chart so both display the same instrument and change together when the chart's symbol changes. An unlinked DOM keeps its own symbol — useful if you deliberately want to watch a correlated instrument, but a common source of confusion when it is accidental.

The DOM can be docked to the left or right of the chart, or moved between the footprint chart and the heatmap chart. Place it on the side your eyes travel to least often during execution; for most traders that is adjacent to the chart they take entries from.

For full ladder setup, order entry and ATM integration, see Setting Up the SuperDOM and Order Book Liquidity Heatmap and ATM Strategies: ATR Stops, Brackets & Auto Trailing.

Footprint Chart Configuration

The footprint indicator is the deepest configuration surface in the order flow suite. The practical approach is to start from a preconfigured template and change one thing at a time.

The 14 preconfigured templates

SabrTrader ships 14 footprint templates as starting points. They differ in what each cell displays and how it is drawn. Typical templates include:

• Bid × Ask: classic two-column footprint, bid volume left, ask volume right.
• Bid × Ask with delta profile: adds a delta histogram alongside the numbers.
• Delta only: a single net figure per price level — sparse and fast to read.
• Delta + volume profile: delta on one side, a per-bar volume profile histogram on the other.
• Volume profile / volume profile gradient: no numbers, colour-graded volume distribution only.
• Big trades: shows only trades above a size threshold, filtering out retail-sized noise.

Templates are editable. Apply one, modify it, and save it back as your own. Nothing in the template set is privileged — they exist to shorten the distance between installing the platform and having a readable chart.

Left cell and right cell content

Each footprint row has two cells and you choose independently what each one contains. Options include bid volume, ask volume, delta, volume, volume profile, volume profile gradient and big trades. Common configurations:

Left cell	Right cell	Reads as
Bid	Ask	Raw aggressor split; required for manual imbalance reading
Delta	Volume profile	Net aggression plus volume location in one glance
Big trades	Delta	Institutional-sized participation plus net aggression, bid/ask detail removed
(none)	Volume profile gradient	Pure volume-location reading with no numbers

Visual controls

• Font size: smaller fonts fit more price levels per screen; too small becomes unreadable at normal viewing distance.
• Cell width: narrower cells compress the chart horizontally so more bars fit.
• Brightness / intensity: controls how strongly cell shading differentiates high-volume from low-volume levels.

Compressed vs expanded footprint

An expanded footprint shows every number at full size. It is maximally informative per bar and minimally informative per screen — once you fit thirty expanded bars on a monitor the numbers become a wall of digits with little analytical value. A compressed footprint collapses the cells so the chart reads like a normal price series with order flow colouring and markers layered on it. Compression is a one-click toggle, so the standard workflow is: read structure compressed, expand only at the specific bar you are evaluating.

Bar type and its interaction with templates

Bar type is set in the Data Series dialog, not in the footprint settings. Common choices:

• 15-range on ES/MES: each bar closes after 15 ticks of range, producing consistent bar sizes regardless of clock time and a clean footprint with a predictable number of price levels per bar.
• 1-minute: familiar time structure; bar height varies with volatility, so footprint density varies with it.
• 5-second: very fine resolution, normally paired with the heatmap rather than the footprint.

Template choice and bar type interact. A dense template that looks correct on a 15-range ES bar (roughly 15 price levels) becomes unreadable on a 1-minute NQ bar that may span 60+ ticks. Choose the bar type first, then pick a template whose density suits the resulting number of rows per bar.

Tick Aggregation

Tick aggregation merges N consecutive price ticks into a single footprint row. At aggregation 1, every tick gets its own row. At aggregation 2, two ticks share a row and their volumes are summed. At aggregation 4, four ticks share a row.

Setting	Effect	Typical use
1	Maximum granularity, maximum row count	ES/MES on range bars; precise imbalance work
2	Halves row count, sums adjacent volumes	ES/MES default for most readers; noticeably cleaner
4	Quarters row count	NQ/MNQ and other wide-range instruments

Choosing a value

The correct value is a function of the instrument's tick size relative to its bar range. ES moves in 0.25-point ticks and a 15-range bar contains 15 rows at aggregation 1 — readable. NQ moves in 0.25-point ticks too, but its bars routinely span many times the range, so at aggregation 1 a single bar can produce dozens of near-empty rows that are impossible to interpret. Aggregation 4 on NQ/MNQ restores legibility.

Guidance: use 1 or 2 on ES/MES, and 4 or higher on NQ/MNQ. Adjust upward whenever you find yourself squinting at individual rows carrying trivial volume.

Tradeoff

Aggregation trades granularity for readability. At aggregation 2, you can no longer see that 400 contracts traded at one specific tick and 20 at the next — you see 420 across the pair. If your method depends on tick-exact absorption identification, keep aggregation low and accept a noisier chart. If your method reads clusters and zones, raise it.

Volume Bubbles and Big-Trade Visualization

Volume bubbles are markers that highlight unusually large trades or volume clusters directly on the chart, independently of the footprint cell content.

Settings

• Enable/disable: turns the bubble layer on.
• Display mode: bubble draws a scaled circle; text prints the numeric size. Text is precise; bubbles are faster to scan peripherally. Switching to text mode makes bubbles disappear — if your bubbles vanished, check this setting first.
• Opacity: reduces the fill strength so bubbles do not obscure the price bars underneath. Set opacity low enough that you can still read the candle or footprint through the marker.
• Size / threshold: the minimum trade or cluster size required to draw a bubble, and how bubble radius scales with size.

Reading bubbles

Two recurring patterns:

1. Volume dump into the open: a very large bubble at or immediately after the cash open. This is normal — the open concentrates the session's queued orders — and is a reference point rather than a signal by itself.
2. Large-volume bar followed by opposite delta: a bar prints heavy aggressive buying, and the very next bar prints negative delta without price advancing. That is a candidate absorption read: the aggressive buying was absorbed by resting sellers. The footprint alone cannot confirm it. Move to the heatmap or DOM and ask whether a large resting offer was actually sitting there and being refilled. If it was, the read is supported; if not, treat it as ordinary two-way trade.

A big trades filter is a related but distinct tool: it is a footprint cell mode showing only trades above a size threshold, so the cell numbers reflect institutional-sized participation only.

Order Flow Events and Bar Markers

SabrTrader's footprint suite detects named order flow events and prints a marker for each. Every event can be independently enabled or disabled, recoloured, assigned a glyph and placed.

Detectable events

Event	Detection logic (plain language)	Typical interpretation
Passive absorption	Heavy aggressive volume at a price with no price progress, consumed by resting limit orders	Defence of a level; common at swing pivots
Delta drop	A sharp fall in delta within a single bar	Concentrated burst of aggressive selling
Trap traders	Aggressive entries clustered at a bar extreme that price immediately reverses away from	Offside participants likely to be forced out
Exhaustion	Declining aggressive participation at the end of a directional move	Move losing fuel; possible reversal
Delta divergence	Up-close bar with negative delta, or down-close bar with positive delta	Aggression not moving price — absorption on the other side
Bid/ask fade	Loss of aggressive follow-through on one side near an extreme	One side stops showing up
Imbalance reversal	An imbalance flipping direction at a bar extreme	Potential turning point
Inverse imbalance	Imbalance opposite the prevailing direction	Early counter-trend clue
Stacked imbalance	Multiple consecutive levels imbalanced the same way	Sustained one-sided aggression through a range
POC above / below close	Bar POC positioned above or below the bar's close	Where the bar's business was done relative to where it ended
Bullish / bearish POC	POC location classified directionally within the bar	Bar-level bias independent of candle colour
POC momentum wave	Sequence of rising or falling bar POCs	Short-term momentum direction

Bar markers panel

The bar markers panel controls which detected events are drawn and where. Placement options:

• Above bar: markers sit over the bar high. Readable, but crowds the upper chart area.
• Below bar: markers sit under the bar low.
• Top-right corner legend: all active markers for the most recent bars are listed in a compact corner block, keeping the price series clean.

Every marker supports a hover tooltip naming the event. This removes the need to memorize glyphs: hover an unfamiliar symbol and it identifies itself (for example, a circle glyph resolving to "delta drop"). Use tooltips during the learning phase rather than trying to memorise the legend up front.

Vertical striping

Selected events can additionally paint a vertical stripe through the full chart height at the bar where they occurred. Striping makes an event impossible to miss and is appropriate for the one or two events you genuinely trade — trap traders, for example. Striping more than two events produces a barcode and defeats the purpose.

Order flow events can also drive alerts; see Alerts: Conditional Builder and AI-Generated Alerts.

The Swing Filter for Order Flow Events

With detection unfiltered, most order flow events print on nearly every bar. Markets produce small absorptions, minor delta divergences and local imbalances constantly. A chart where every bar carries three markers communicates nothing — the markers have no selectivity, so they cannot inform a decision.

A swing filter is a rule that only prints an order flow event when it occurs at a confirmed swing pivot. A 5-bar swing filter requires five bars to the left of the pivot to be higher (for a pivot low) or lower (for a pivot high) before the pivot is confirmed and the marker is allowed to print.

Why this works

Order flow events matter most where structure turns. The logical sequence a swing filter encodes is: a swing occurred, a retracement followed, and a new swing formed — meaning price has reached a decision point. Absorption at a random mid-range bar is routine. Passive absorption at a confirmed pivot low, after a measured move down into a golden zone, is a location where traders are actually making decisions.

In practice, enabling a 5-bar swing filter on passive absorption typically reduces marker count by an order of magnitude and concentrates the surviving markers at the day's pivot highs and lows — exactly the locations worth reviewing.

Tradeoff: confirmation lag

A 5-bar swing filter cannot confirm a pivot until five bars have formed to its left. Markers therefore appear with a delay and are inherently retrospective. They are review and context tools, not entry triggers. If you need real-time notification, use an alert on the raw event and apply judgement about location yourself.

Choosing a swing length

• 3 bars: more markers, earlier confirmation, more noise.
• 5 bars: the common default; a reasonable balance on 15-range ES bars.
• 7–10 bars: only major pivots survive; useful on fast bar types where bar count per swing is high.

Match swing length to bar type. A 5-bar swing on 5-second bars confirms a 25-second structure, which is not a meaningful pivot on most instruments; a 5-bar swing on 15-range ES bars usually is.

VWAP, Volume Profile and Session Anchoring

VWAP settings

• Session anchor: RTH, ETH or 24-hour. An RTH-anchored VWAP resets at the cash open and reflects only regular-session business. A 24-hour VWAP carries overnight trade into the calculation and will sit at a different price. Choose the session you actually trade.
• Standard deviation bands: enable bands at 1 and 2 standard deviations above and below VWAP. These mark statistical stretch from the session's volume-weighted mean.

Reading VWAP bands

A recurring intraday pattern on trend days: price pushes outside the 2-sigma band, retraces to the 1-sigma band, then pushes outside 2-sigma again. On a strong trend day price may never return to VWAP itself after the first expansion, oscillating between the 1 and 2 sigma bands while VWAP climbs beneath it all session.

Each 2-sigma excursion is an area of interest, not a signal. It is the prompt to switch attention to the heatmap and DOM and ask: is there absorption here? The answer determines the action, and the action depends on your style — a scalper may fade for 2–10 ticks accepting counter-trend risk; a trend trader reads the same stretch as a cue to tighten stops or scale out of a long taken on the prior retracement.

Volume profile settings

• Session scope: RTH, ETH or 24-hour, matching or deliberately differing from the VWAP anchor.
• Gradient display: colours the profile by volume intensity rather than drawing plain bars, making high-volume nodes visually obvious.
• Profile type: session profile, or a fixed-range profile drawn over a user-selected span for ad-hoc analysis of a specific move.

Keep the VWAP anchor and the volume profile scope consistent unless you have a specific reason to differ. Mixing an RTH VWAP with a 24-hour volume profile produces two references describing different populations of participants, and comparing them yields confused conclusions.

Market profile / TPO and the summary table

Market profile / TPO builds a time-based distribution showing how long price spent at each level, in contrast to volume profile's size-based distribution. Both are included. The summary table displays per-bar and per-session statistics — delta, volume, cumulative figures — in a compact block, useful when you want numeric confirmation of what the footprint colouring is implying.

Full profile documentation: Volume Profile Indicator.

AI Integration for Order Flow

The AI assistant is docked to the chart and reads the chart's instrument, timeframe and recent data. It is designed into the platform rather than appended to it, which is why it is available from the footprint chart, the heatmap chart and the DOM context alike.

Using it

1. Open the AI panel from the chart's side panel.
2. Select a model. Multiple LLM providers and models are selectable; see AI Setup: Connecting an LLM Provider to SabrTrader.
3. Use a default starter prompt, or write your own.

Default vs custom prompts

Default prompts ask general questions — direction, key levels, points of interest. They are useful for orientation but generic. Custom prompts are where the tool earns its place. Examples:

• Read the order flow for any absorption, exhaustion or trap traders.
• Mark on the chart where absorption has occurred and where exhaustion or trap traders may be located.
• Identify bars where delta diverged from price close and list their times and prices.
• Compare today's volume profile POC to the pre-market high and state which is nearer to current price.

Prompts that request chart annotation produce marked levels and zones on the chart itself, not only written text.

When not to use it

AI output is weak when there is little for it to read. In a quiet market, or in the final minutes of a session when volume has collapsed, a prompt asking for absorption and trap traders will return thin or generic results — correctly, because there is nothing meaningful happening. Run order flow prompts pre-market and around the open, when positioning is forming, rather than into the close on a Friday.

The governing rule: use AI when it is an efficiency enhancement, not because it is present. Much of what the model reports is visible on the chart to a trader who looks. Its value is in speed and in surfacing things you would reach eventually — not in substituting for reading the chart.

AI requires its own configuration: an API key from an LLM provider, entered in Preferences. It is not included in the data feed and is not enabled by default.

Step-by-Step: Building a Custom Order Flow Setup

1. Connect a data source. Order flow requires trade-by-trade tick data; the liquidity heatmap and MBO DOM columns additionally require Level 3 data. Connect via Rithmic (direct, prop firm or broker-routed). Verify in the Connections panel that the status is connected and that live trades are printing before configuring anything else.

2. Open the instrument chart and set the bar type. Create a new chart, select the front-month contract, and open the Data Series dialog. For ES/MES, a 15-range bar is a practical starting point. For a time-based alternative, use 1-minute. Set lookback to at least one full session so profiles and VWAP have data.

3. Apply a footprint template. Add the footprint indicator and choose one of the 14 preconfigured templates. Start with Bid × Ask if you want to learn to read imbalances manually, or Delta + Volume Profile if you want a lower-density view immediately.

4. Set tick aggregation. ES/MES: 1 or 2. NQ/MNQ: 4 or higher. Look at a single bar and count the rows — if most rows carry trivial volume, raise the value.

5. Choose left and right cell content. Decide what each cell shows. Resist filling both cells with maximum information; a two-value configuration you read reliably beats a four-value configuration you skim.

6. Add VWAP and volume profile with matching session scope. Enable VWAP, set the anchor to RTH if you trade the cash session, and turn on the 1 and 2 standard deviation bands. Add the volume profile and set the same session scope. Enable gradient display if you prefer colour-graded nodes.

7. Enable only the events you trade, and apply a swing filter. Open the order flow events list. Disable everything, then enable two or three — for example passive absorption, delta drop and trap traders. For each, set a 5-bar swing filter and assign a distinct colour.

8. Configure bar markers placement. In the bar markers panel, choose which events are drawn and where: above bar, below bar, or the top-right corner legend. The corner legend keeps the price series clean. Optionally enable vertical striping on a single high-priority event.

9. Attach and link the DOM. Expand the chart's side panel, add the DOM, and confirm it is linked to the chart so symbols stay in sync. Add only the columns you will use — bid/ask size always, volume and delta usually, MBO columns if your feed supplies Level 3.

10. Add the heatmap chart. Open a second chart on the same instrument, set it to 5-second bars, and add the liquidity heatmap. Reduce contrast until only large resting orders stand out, or disable the overlay and keep the liquidity panel if you prefer a clean chart.

11. Arrange and save the workspace. Position footprint, heatmap and DOM so all three fit on the monitor. Collapse panels you do not need continuously. Save as a named workspace so the layout reopens identically.

12. Review at end of day. Open the completed session and examine every pivot high and low. Ask what repeats: which markers appear at turns, and which appear everywhere. Remove the ones that appear everywhere. This review loop, run daily, converges your configuration on a small set of genuinely informative markers faster than any amount of up-front configuration.

For automated capture of the trades you take from this setup, see Automated Trade Journal & AI Coach.

Reading the Setup in Practice: A Worked Session

The following walks a typical ES trend day as it appears on this configuration. It is an illustration of how the components combine, not a trade recommendation.

1. The open: liquidity grab

Indexes commonly dip at the open before trending up. The mechanism is a liquidity sweep: price probes below the overnight or pre-market low, triggers resting sell stops, and the resulting forced selling is absorbed by buyers positioning for the session. On the chart this prints as a large volume bubble into the open followed by a down-move that does not continue. On the heatmap, large resting bids beneath the low become visible and are consumed rather than pulled.

2. Trend establishment

After the sweep, the session builds higher highs and higher lows. Retracements are bought. VWAP climbs steadily beneath price. Each push outside the 2-sigma VWAP band is followed by a retrace to the 1-sigma band — never back to VWAP itself. That rhythm is the day's signature and sets expectations for every subsequent extreme.

3. The decision point

Price retraces into a zone where three things coincide: a measured move projection (the retracement leg equalling a prior leg), the golden zone 0.618–0.786 retracement of the preceding impulse, and a prior volume node. A passive absorption marker prints at the pivot low — it survives the 5-bar swing filter, so it is at a confirmed pivot rather than a random bar. This is the decision point: the question is whether the retracement is an internal pullback within the trend or a change of direction.

4. Confirming with the book

The footprint says aggressive selling occurred and did not move price. The heatmap and DOM answer whether that was real absorption: was there a large resting bid, was it refilled as it was hit, did it hold? If yes, the absorption read is supported and the pullback is more likely internal. If the size was pulled rather than consumed, the read is weak.

5. Markers along the way

Below the pivot, a delta drop marker prints — a burst of aggressive selling into the low, consistent with stops being run. The subsequent rally targets the pre-market high, falls short, retraces, and reaches target on the second attempt. At the day's highs, the corner legend shows a cluster: bullish POC (POC high in the bar relative to close), delta divergence (up-close bar on negative delta) and bid/ask fade. Near the close this clustering is unsurprising — aggression naturally thins — which is itself a reason to weight late-session markers less heavily.

6. The scalper vs trend-follower decision

At each 2-sigma extreme with reversal markers, two valid responses exist:

Style	Action	Risk accepted
Scalper	Short the extreme for 2–10 ticks	Trading counter to the day's dominant trend; requires tight stops and fast exits
Trend trader	Tighten stops or scale out of the existing long	Giving back some open profit if the trend extends further

The same marker set supports both. The failure mode is not choosing — holding a with-trend position with no plan while simultaneously wanting to fade the extreme.

7. Why the pattern repeats

Automated participants seek liquidity. When resting orders above the current high are exhausted, the path of least resistance is back toward resting orders below. That produces the repeating cycle of expansion, sweep, retrace and continuation that defines the day. Each sweep is a location where order flow is worth reading; the space between sweeps usually is not.

Best Practices

• Start from a template and change one setting at a time. The footprint menu is deep enough that changing five things at once makes it impossible to attribute an improvement or regression to any one of them.
• Keep only the events you actually act on. If you have never taken a trade because of an inverse imbalance marker, turn it off. Markers you do not act on are visual cost with no return.
• Always apply a swing filter to event markers. Unfiltered events print nearly everywhere and lose all selectivity. A 5-bar filter is the standard starting point.
• Match tick aggregation to the instrument's range. 1–2 on ES/MES, 4+ on NQ/MNQ. Re-check it whenever volatility regime changes materially.
• Use the heatmap and DOM to confirm footprint reads, not to replace them. The footprint shows what traded; the book shows what was there to trade against. An absorption read without book confirmation is a hypothesis.
• Anchor VWAP and volume profile to the same session you trade. RTH for cash-session traders, 24-hour for overnight traders. Keep both indicators on the same anchor unless you have a specific reason to differ.
• Read compressed, expand selectively. Keep the footprint compressed for structure and expand only at the bar you are evaluating.
• Review pivots at end of day. Open the finished session and ask: what printed at each turn? This converges your marker set on what actually repeats on your instrument and bar type faster than any amount of theory.
• Use AI when it saves time. Pre-market scans and "mark where absorption occurred" annotations are efficient uses. Asking it to narrate a dead market is not.
• Save the workspace once it works. A configuration you cannot reproduce next session is not a configuration.
• Test the whole layout in replay before trading it live. Market Replay runs tick-by-tick, so markers, footprint and heatmap behave as they will in real time.

Common Mistakes

• Cramming every number into the footprint cells. Bid, ask, delta and volume in both cells on every row produces a wall of digits. Information density past a readability threshold reduces, rather than increases, what you extract from the chart.
• Enabling every order flow marker at once. Twelve event types all enabled means markers on virtually every bar. Enable two or three.
• Using tick aggregation of 0–1 on NQ/MNQ. The instrument's range relative to tick size makes per-tick rows unreadable. This is the single most common cause of "the footprint doesn't work on NQ".
• Treating a trap trader or absorption marker as a standalone entry signal. These are context markers at areas of interest. They identify where to look, not what to do. Confirmation comes from the book, structure and your own level.
• Mixing RTH VWAP with ETH volume profile unintentionally. The two references then describe different participant populations and any comparison between them is meaningless.
• Reading the heatmap at the end of the session and concluding liquidity is gone. A sparse heatmap at 16:30 reflects an emptying book, which is normal. Judge liquidity during the hours you trade.
• Relying on AI output instead of reading the chart. The assistant frequently reports what is plainly visible. If you only know what the chart says because the model told you, you cannot evaluate whether the model is wrong.
• Expecting markers in real time with a strict swing filter. Swing-filtered markers confirm retrospectively by construction. Using them as triggers guarantees late entries.
• Changing bar type without rechecking template and aggregation. A configuration tuned for 15-range ES will not read correctly on 1-minute NQ.
• Leaving the DOM unlinked. You will eventually read a ladder for a different instrument than the chart you are looking at.
• Building the whole layout on a delayed feed. Delayed data is adequate for arranging panels and testing settings; it cannot support order flow decisions.

Frequently Asked Questions

What are the three core components of an order flow setup in SabrTrader?

The footprint chart, the liquidity heatmap and the depth of market (DOM) ladder. The footprint shows executed volume split by bid and ask at every price inside each bar — what traded and who was the aggressor. The heatmap shows resting limit orders over time, coloured by size — what has been waiting in the book. The DOM shows the live bid and ask quantities at each price level right now. Traders combine them because footprint reads such as absorption are inferences that the book can confirm or refute.

How do I link a DOM panel to a footprint chart?

Expand the chart's side panel and add the DOM panel. Once docked, it inherits the chart's instrument and stays in sync when the chart symbol changes. The DOM can be detached, moved to a second chart (for example the heatmap chart), or docked on the left or right of the chart. If the DOM stops following the chart, panel linking has been turned off or the DOM was opened as a standalone window rather than as a docked panel.

What tick aggregation should I use for ES, MES, NQ and MNQ?

Use 1 or 2 for ES and MES, and 4 or higher for NQ and MNQ. Tick aggregation merges N price ticks into a single footprint row. ES/MES bars span a modest number of ticks, so per-tick rows stay readable. NQ/MNQ bars span far wider ranges, so at aggregation 0–1 a single bar produces dozens of near-empty rows that cannot be interpreted. The tradeoff is granularity: at aggregation 2 you see combined volume across two ticks rather than the exact tick where size traded.

How many footprint templates ship with SabrTrader and can I edit them?

Fourteen preconfigured footprint templates ship with the platform. They range from basic bid × ask, through bid × ask with delta profile, delta only, delta plus volume profile, volume profile gradient, and a big trades view. All of them are fully editable — apply one as a starting point, change left/right cell content, font size, cell width and brightness, and save it as your own. They exist to shorten the time between installing the platform and having a readable footprint, not as fixed presets.

What is the swing filter and why should I enable it for order flow events?

A swing filter is a rule that only prints an order flow event marker when the event occurs at a confirmed swing pivot. A 5-bar swing filter requires five bars to the left of the pivot to confirm it before the marker is allowed to print. Without it, events such as passive absorption and delta divergence print on nearly every bar, because small absorptions and divergences occur constantly. The filter concentrates markers at the day's pivot highs and lows — the locations where structure actually turns and where traders make decisions. The tradeoff is confirmation lag: swing-filtered markers are retrospective and are review/context tools rather than real-time entry triggers.

Which order flow events can SabrTrader mark on the chart?

Passive absorption, delta drop, trap traders, exhaustion, delta divergence, bid/ask fade, imbalance reversal, inverse imbalance, stacked imbalance, POC above close, POC below close, bullish POC, bearish POC and POC momentum wave. Each event can be independently enabled or disabled, assigned a colour and glyph, restricted by a swing filter, placed above the bar, below the bar or in a top-right corner legend, and optionally given a vertical stripe through the chart. Hovering any marker shows a tooltip naming the event, so glyphs do not need to be memorised.

How do I change what appears in the left and right footprint cells?

In the footprint indicator settings there are separate left-cell and right-cell content selectors. Each can be set independently to bid volume, ask volume, delta, volume, volume profile, volume profile gradient or big trades. Classic configurations are bid left / ask right (required for manual imbalance reading), delta left / volume profile right (net aggression plus volume location), or big trades left / delta right (institutional-sized participation only). You can also push all numbers to one side and use the other for a histogram.

Do I need a Rithmic connection to see MBO / Level 3 liquidity?

A Level 3 / market-by-order feed is required for the richest heatmap and for MBO columns on the DOM, and in SabrTrader this is supplied through a Rithmic connection (direct, via a prop firm, or via a broker that routes Rithmic data). Level 3 exposes individual orders in the book rather than aggregated size per level, which is what makes iceberg refill behaviour visible. Level 2 aggregated depth still produces a heatmap and a working DOM, but cannot distinguish one large order from many small ones. Level 1 trades-only feeds support the footprint but not the heatmap.

Can I anchor VWAP and volume profile to RTH only?

Yes. Both the VWAP indicator and the volume profile have a session scope setting offering RTH (regular trading hours), ETH (extended hours) and 24-hour. Setting both to RTH means the VWAP resets at the cash open and the profile counts only regular-session volume. Keep the two consistent: an RTH-anchored VWAP compared against a 24-hour volume profile describes two different participant populations and makes any comparison between them unreliable.

How do I turn the liquidity heatmap overlay off but keep the liquidity panel?

In the heatmap settings, disable the chart overlay while leaving the liquidity panel enabled. The chart background returns to a clean price series while you retain the ability to inspect resting size at each level in the panel. This is a common preference for traders who find full heatmap colouring distracting — large resting orders remain detectable in the panel, so nothing material is lost. The intermediate option is to keep the overlay on but reduce contrast/opacity so only genuinely large resting orders stand out.

Why is my heatmap empty after the close?

Because the order book is empty. As the regular session ends, participants withdraw resting limit orders, and the heatmap draws what is actually in the book. A sparse or near-blank heatmap at 16:30 or in thin overnight hours is a correct reflection of market conditions, not a platform fault. Before concluding there is a problem, check three things in order: is the session actually open, is the MBO/Level 3 feed connected, and is heatmap contrast turned down so low that existing liquidity is invisible.

What can the AI assistant do with order flow data, and when should I not use it?

The AI panel docks to a chart, reads the instrument, timeframe and recent data, and answers both default starter prompts and custom ones. Useful order flow prompts include "read the order flow for absorption, exhaustion or trap traders" and "mark on the chart where absorption has occurred and where exhaustion or trap traders may be located" — the latter annotates the chart directly. Do not use it when the market is quiet or the session is winding down: with little activity to read, output is thin and generic. Treat it as an efficiency enhancement. Much of what it reports is visible on the chart to a trader who looks, and if your only read comes from the model you cannot evaluate when it is wrong. It also requires its own LLM credentials.

Are the Trade Devils footprint, volume profile and cumulative delta indicators included?

Yes. The Pro package includes the full Trade Devils premium indicator suite at no extra cost: footprint, volume profile, market profile / TPO, cumulative delta, VWAP and the summary table. Purchased individually for another platform, that indicator set would cost more than SabrTrader's perpetual licence. No additional purchase is needed to configure any setting described on this page.

Can I run footprint, heatmap and DOM on a single monitor?

Yes — this is a core design goal of the modular panel system. A practical single-monitor arrangement is a footprint chart on one side, a liquidity heatmap chart on the other, and a DOM docked between or beside them. Readability depends on keeping the footprint compressed and the DOM column set minimal. The DOM can be moved between the footprint chart and the heatmap chart at any time, and panels can be collapsed to reclaim width. Save the result as a workspace so it reopens identically.

What do I get in the 14-day trial and do I need my own data feed?

The 14-day trial is fully functional and delivers the Ultimate/perpetual feature set — the same product, with no feature restrictions. You must supply your own market data connection: a prop firm feed, a brokerage feed, or a direct data vendor. Order flow specifically requires trade-by-trade tick data, and the liquidity heatmap plus MBO DOM columns require a Level 3 feed such as Rithmic. If you want to use the AI assistant, you also need to configure your own LLM provider credentials.

What is the difference between a footprint chart and a liquidity heatmap?

The footprint shows executed trades — volume that actually transacted, split by whether the aggressor bought at the ask or sold at the bid, at each price inside each bar. The heatmap shows unexecuted resting limit orders sitting in the book over time, coloured by size. One is a record of completed business; the other is a map of intent. A footprint bar with heavy volume and no price progress suggests absorption; the heatmap confirms whether there was a large resting order there to do the absorbing.

What is the difference between a compressed and an expanded footprint?

An expanded footprint renders every cell number at full size — maximum detail per bar, but only a handful of bars fit on screen and the display becomes a wall of digits. A compressed footprint collapses the cells so the chart reads like a normal price series with order flow colouring and markers layered on top, letting you see structure across many bars. Compression is a toggle, so the standard workflow is to read structure compressed and expand only at the specific bar you are evaluating.

When should I use range bars instead of time bars for order flow?

Range bars close after a fixed price range rather than a fixed clock interval, so every bar contains the same number of price levels. That makes footprint density consistent and footprint templates predictable — a 15-range ES bar always produces roughly 15 rows. Time bars vary in height with volatility, so the same template can look sparse in quiet periods and overcrowded in fast ones. Use range bars when you want consistent footprint legibility; use time bars when your analysis depends on clock-based structure such as session opens or scheduled news.

What is the difference between an imbalance, a stacked imbalance and an inverse imbalance?

An imbalance is a diagonal comparison inside the footprint where ask volume at one price exceeds bid volume one tick below (or vice versa) by a configured ratio. A stacked imbalance is three or more consecutive price levels imbalanced in the same direction, indicating sustained one-sided aggression through a range. An inverse imbalance points opposite to the prevailing direction and is often an early reversal clue. An imbalance reversal is an imbalance that flips direction at a bar extreme and is flagged as a potential turning point.

Why do my volume bubbles not appear on the chart?

Three common causes. First, display mode is set to text rather than bubble — the data is being shown as numbers instead of circles. Second, opacity is set so low that the bubbles render effectively invisible. Third, the size threshold is set above anything the instrument actually trades, so no trade qualifies. Check display mode first, then raise opacity, then lower the threshold until bubbles appear and tune back up.

Troubleshooting

The liquidity heatmap is sparse or completely empty

Check in this order: (1) Is the session open? Resting orders are withdrawn after the cash close and in thin overnight hours, so an empty heatmap late in the day is accurate. (2) Is an MBO / Level 3 feed connected? A trades-only Level 1 feed cannot produce a heatmap. Verify the connection status in the Connections panel. (3) Is contrast or opacity turned down so far that existing liquidity renders invisible? Raise contrast temporarily to confirm. (4) Is the depth range set too narrow to include where liquidity is resting?

No Level 3 / MBO columns are available on the DOM

MBO columns require a market-by-order feed. If your connection is not Rithmic — or your Rithmic plan does not include MBO entitlement — only aggregated Level 2 columns will be offered. Confirm the connection type in the Connections panel and confirm the data entitlement with your prop firm, broker or data vendor. See Connecting SabrTrader to Rithmic.

The DOM is not following the chart's instrument

The DOM is not linked to the chart. Confirm it was added as a docked chart panel rather than opened as a standalone SuperDOM window, and that panel linking is enabled. A standalone DOM keeps its own symbol by design. If you want an independent ladder on a correlated instrument, that is the expected behaviour — but for a synced order flow setup, dock and link it.

Order flow event markers are not appearing

Work through four possibilities: (1) The event is disabled in the order flow events list. (2) The swing filter is too strict for the bar type — a 7 or 10-bar filter on a slow bar type may permit only one or two markers per session. Lower it to 3–5 and confirm markers reappear. (3) Marker placement is set to a position that is hidden or scrolled out of view; switch placement to the top-right corner legend to verify detection is working. (4) The chart is missing the tick data the detection requires — confirm the feed supplies trade-by-trade data and the lookback period has loaded.

I cannot find a specific setting in the footprint menu

The footprint indicator has an unusually deep settings tree. Use the settings search box if available, and otherwise expand and scroll the full event list — order flow event settings such as passive absorption sit in their own group below the display and cell-content groups, and are easy to scroll past. Settings are grouped by function: data/bar settings, cell content, visual style, events and markers, and bar markers placement.

Volume bubbles are invisible

Check display mode first — if it is set to text, numeric sizes are printed instead of circles and there will be no bubbles. Then check opacity: a very low opacity value renders bubbles effectively transparent. Then check the size threshold: if it is set above anything the instrument trades, no bubble qualifies. Lower the threshold until bubbles appear, then raise it until only genuinely large trades are marked.

The AI assistant returns nothing useful

Four causes. (1) The market is closed or winding down — there is no activity to read and the model correctly returns little. Run order flow prompts pre-market or around the open instead. (2) No AI provider credentials are configured; set an API key in Preferences > AI (see AI Setup). (3) The prompt is too vague — "what do you think?" produces generic output; "identify bars where delta diverged from price close and list their times and prices" does not. (4) The selected model is weak for the task; try a different model from the selector.

The footprint is unreadable — just a wall of numbers

Three remedies, in order of effect: (1) Raise tick aggregation — 2 on ES/MES, 4 on NQ/MNQ — which cuts row count directly. (2) Simplify cell content: reduce from four values per row to two, for example delta plus volume profile instead of bid, ask, delta and volume. (3) Toggle to compressed footprint for structural reading and expand only at the bar you are evaluating. Also reduce font size and cell width if horizontal space is the constraint.

VWAP and the volume profile disagree about where value is

Check that both are anchored to the same session. An RTH-anchored VWAP calculates from the cash open only, while a 24-hour volume profile includes overnight trade — they will legitimately point at different prices because they describe different participant populations. Set both to the session you actually trade, normally RTH for cash-session traders.

Markers appear everywhere and tell me nothing

Two fixes. First, apply a swing filter — a 5-bar filter is the standard starting point and typically reduces marker count by an order of magnitude, concentrating survivors at pivots. Second, disable events you do not act on. If you have never taken a trade because of an inverse imbalance marker, turn it off. Keep two or three events maximum, and stripe at most one.

Everything works on the trial but I have no live prices

The 14-day trial is fully functional software but does not include market data. You must connect your own source: a prop firm feed, a brokerage feed, or a direct data vendor. Order flow requires trade-by-trade tick data; the liquidity heatmap and MBO DOM columns additionally require Level 3. Delayed data will load charts but cannot support order flow decisions.

The footprint looked right yesterday and looks wrong today

Most often the contract has rolled, the bar type was changed, or volatility regime shifted. Confirm you are on the current front-month contract. Confirm the bar type and interval in the Data Series dialog are unchanged. If volatility has expanded materially, the tick aggregation that was correct last week may now be too low — raise it one step and re-evaluate.

Glossary

Absorption

Aggressive market orders being fully consumed by resting limit liquidity without price making progress. On the ladder it shows as heavy trading at one price while resting size is repeatedly refreshed and price does not move.

Area of interest

A pre-identified price level or zone at which order flow is read for a trading decision, rather than reading order flow continuously.

Bid/ask fade

A loss of aggressive follow-through on one side of the book near an extreme — aggressors stop showing up where they previously were.

Big trades filter

A footprint cell mode that displays only trades above a configured size threshold, removing small-size noise so institutional participation is isolated.

Cumulative delta

A running total of bar delta across a session, showing whether aggressive buyers or sellers have been in control since the session opened.

Delta

The net difference between volume traded at the ask (buy aggressors) and volume traded at the bid (sell aggressors) over a bar, price level or session. Positive delta indicates aggressive buyers dominated; negative delta indicates aggressive sellers dominated.

Delta divergence

A condition where price closes up on negative delta, or closes down on positive delta, signalling that aggression is not translating into price movement — usually because the opposite side is absorbing it passively.

Delta drop

A sharp fall in delta within a single bar, marking a concentrated burst of aggressive selling.

Depth of Market (DOM)

A price-ladder view of resting bid and ask limit orders at each price level around the current market, used for order-flow reading and precise order entry. It requires a depth-enabled feed rather than a trades-only feed.

Exhaustion

A late-trend condition in which aggressive participation declines and continuation attempts fail to produce follow-through, often preceding a reversal.

Footprint chart

A chart type that displays traded volume split by buy and sell aggressor at each individual price level within each bar, used to read absorption, imbalance and delta. It requires trade-by-trade tick data.

Golden zone retracement

The 0.618–0.786 pullback area of a prior impulse, commonly used to time entries within an established trend.

Iceberg orders

Large orders that display only a small portion of their total size in the book at a time, identifiable through repeated refill behaviour visible in MBO data.

Imbalance

A diagonal comparison inside the footprint of bid volume at one price against ask volume at the adjacent price, flagged when one side exceeds the other by a configured ratio such as 3:1.

Imbalance reversal

An imbalance that flips direction at a bar extreme, flagged as a potential turning point.

Inverse imbalance

An imbalance that appears opposite to the prevailing direction of the move, often an early reversal clue.

Liquidity heatmap

A time-based visualization of resting limit orders in the order book, with each price level coloured by the size resting there and drawn continuously across the time axis.

Liquidity sweep / stop run

A probe below a prior low or above a prior high that triggers resting stop orders before price reverses, typically driven by participants seeking liquidity.

Market profile / TPO

A time-price-opportunity distribution showing how long price spent at each level, in contrast to volume profile's size-based distribution.

MBO / Level 3 data

Market-by-order data that exposes individual orders in the book rather than aggregated size per price level, enabling detection of iceberg refills and distinguishing one large order from many small ones.

Measured move

A projection in which the second leg of a move is expected to equal the length of the first leg.

Order flow

The study of executed trades and resting limit orders to see how buyers and sellers interact at each individual price level.

Panel linking

Binding a DOM or heatmap panel to a chart so they share the same instrument and update together when the chart symbol changes.

Passive absorption

Absorption performed by passive limit orders rather than by aggressive counter-orders. It is commonly found at swing pivots.

POC momentum wave

A sequence of rising or falling bar points of control, used to read short-term momentum direction independently of candle colour.

Point of control (POC)

The price level with the highest traded volume in a bar, session or profile.

Pre-market high

The session high established before the regular cash open, frequently acting as a reference level and target during the regular session.

Range bars

Bars that close after a fixed price range rather than a fixed time interval, producing consistent bar sizes and consistent footprint row counts regardless of clock time.

Resting liquidity

Limit orders sitting in the order book awaiting execution, as opposed to market orders that execute immediately.

RTH vs ETH session

Regular trading hours (the cash session) versus extended or 24-hour trading hours, used to anchor VWAP and scope volume profiles.

Scalping vs higher timeframe trading

Scalping takes small counter-trend targets of roughly 2–10 ticks while accepting trend risk; higher timeframe trading holds with the dominant trend and uses extremes as cues to tighten stops or scale out.

Stacked imbalances

Three or more consecutive price levels showing imbalance in the same direction, indicating sustained one-sided aggression through a price range.

Swing filter

A rule that only prints an order flow event marker when the event occurs at a confirmed swing pivot, for example requiring five bars to the left of the pivot before confirming it.

Tick aggregation

A footprint setting that groups N consecutive price ticks into a single footprint row, reducing row count and improving readability on wide-range instruments at the cost of granularity.

Trap traders

Participants who entered aggressively at an extreme — buying the high or selling the low — and are offside the moment price reverses, supplying fuel for the move against them.

Volume bubbles

Chart markers that highlight unusually large trades or volume clusters, displayed either as scaled circles or as numeric text, with adjustable opacity and size threshold.

Volume profile

A horizontal histogram of volume traded at each price over a chosen session or range, used to locate high-volume nodes and value.

VWAP

Volume-weighted average price — the session's volume-weighted mean price, used as a fair-value reference.

VWAP standard deviation bands

Bands plotted at one and two standard deviations from VWAP, marking statistical stretch from the session's volume-weighted mean.

Related Documentation