Imbalances and Stacked Imbalances in the Footprint

A footprint chart shows, inside every bar, how many contracts traded at each price and which side was the aggressor. That is a lot of numbers, and most of them are unremarkable. Imbalances are the footprint's way of pointing at the few that are not: prices where one side traded several times more aggressively than the other.

When several of those prices line up in a row, footprint traders call it a stacked imbalance, and many treat the zone it marks as a level worth watching when price comes back.

This guide covers how imbalances are calculated, why the comparison runs diagonally rather than straight across, how stacked imbalances form, and why your settings change what you see. If you are new to footprints, start with how to read a footprint chart.

A Quick Recap of the Footprint

Each row of a footprint bar is one price, and each row has two numbers:

• Bid volume: contracts traded when a seller was the aggressor and sold into a resting bid.
• Ask volume: contracts traded when a buyer was the aggressor and bought from a resting offer.

CME Group's market data identifies the aggressor for each trade: its trade summary messages carry an AggressorSide field that says whether the buyer or the seller was the aggressor, or that there was none. Footprints built from that field reflect what the exchange reported.

An imbalance compares these numbers. The question is which numbers to compare.

Why Imbalances Are Compared Diagonally

The intuitive approach is to compare the two numbers in the same row: ask volume at 5,809.50 against bid volume at 5,809.50. Most footprint traders do not do that, and the reason is how the spread works.

At any moment, the market has a best bid and a best offer, normally one tick apart. In ES, a tick is 0.25 index points, worth $12.50 per contract. Suppose the market is 5,809.25 bid and 5,809.50 offered:

• A buyer who crosses the spread trades at 5,809.50, the offer. That trade prints in the ask column at 5,809.50.
• A seller who crosses the spread trades at 5,809.25, the bid. That trade prints in the bid column at 5,809.25.

Both of those aggressors faced the same market at the same moment. They were choosing between the same two prices. The fair comparison of buying against selling at that moment is therefore ask volume at one price against bid volume one tick below.

Comparing the same row instead pits buyers at 5,809.50 against sellers at 5,809.50, and the sellers at 5,809.50 traded when the market was one tick higher, at a different moment. The diagonal comparison lines up the two sides of the same spread.

The Two Rules

With a ratio threshold (say 3 to 1, often written as 300%):

Buy imbalance at price P: Ask volume at P is at least 3 times the bid volume at P minus one tick.

Sell imbalance at price P: Bid volume at P is at least 3 times the ask volume at P plus one tick.

Buy imbalances are usually drawn on the ask side of the row, sell imbalances on the bid side, often in bold or a stronger color so they stand out from the rest of the bar.

Worked Example: Finding Imbalances in One Bar

Here is a single ES footprint bar. The numbers are an invented illustration, chosen to make the arithmetic clear. They are not from a real session.

Price	Bid (sold)	Ask (bought)
5,810.00	40	15
5,809.75	55	180
5,809.50	50	210
5,809.25	60	190
5,809.00	60	140
5,808.75	130	90
5,808.50	150	45
5,808.25	90	40
5,808.00	30	20

We will use a 300% ratio and a minimum of 20 contracts on the larger side, so tiny numbers cannot produce an imbalance on their own.

Buy Imbalances (Ask at P against Bid One Tick Below)

Ask at	Ask	Bid one tick below	Ratio	Imbalance?
5,810.00	15	55	0.27	No
5,809.75	180	50	3.60	Yes
5,809.50	210	60	3.50	Yes
5,809.25	190	60	3.17	Yes
5,809.00	140	130	1.08	No
5,808.75	90	150	0.60	No
5,808.50	45	90	0.50	No
5,808.25	40	30	1.33	No

The lowest row, 5,808.00, has no row below it inside the bar, so its ask volume has no diagonal partner.

Sell Imbalances (Bid at P against Ask One Tick Above)

Bid at	Bid	Ask one tick above	Ratio	Imbalance?
5,809.75	55	15	3.67	Yes
5,809.50	50	180	0.28	No
5,809.25	60	210	0.29	No
5,809.00	60	190	0.32	No
5,808.75	130	140	0.93	No
5,808.50	150	90	1.67	No
5,808.25	90	45	2.00	No
5,808.00	30	40	0.75	No

The top row, 5,810.00, has no row above it, so its bid volume has no diagonal partner.

What the Bar Shows

• Three buy imbalances in a row at 5,809.25, 5,809.50 and 5,809.75. Through that range, buyers lifting offers outweighed sellers hitting bids by more than 3 to 1 at every step.
• One sell imbalance at 5,809.75, just below the bar's high. At the top, sellers hitting the bid at 5,809.75 outweighed the few buyers who paid 5,810.00.

Read together: buyers drove price aggressively up through the upper part of the bar, then at the very top the buying thinned out and sellers took over. That is a much more detailed story than the candle alone, which would show only a bar that traded from 5,808.00 to 5,810.00.

The Horizontal Comparison Would Disagree

Look at 5,808.50 compared straight across: 150 on the bid against 45 on the ask, a ratio of 3.33. A same-row comparison would flag that as a sell imbalance. Diagonally, the 150 sold at 5,808.50 is compared with the 90 bought one tick above at 5,808.75, a ratio of 1.67: not an imbalance.

The diagonal view says that at the moment sellers were hitting 5,808.50, buyers paying 5,808.75 were not far behind. The horizontal view exaggerates the selling because it compares sellers with buyers who traded at a different moment.

Stacked Imbalances

A stacked imbalance is a run of imbalances on the same side at consecutive prices. Three in a row is a common minimum. Some traders use two, some four or more.

In our example, the buy imbalances at 5,809.25, 5,809.50 and 5,809.75 form a stacked buy imbalance three ticks deep, covering 0.75 points of ES.

Why Traders Watch Them

A single imbalance can be one large order meeting a thin moment. A stack means the imbalance held across a range of prices. Aggressive buyers (or sellers) were not just present at one price; they kept pressing tick after tick.

The common reading is that this range is where one side was in control, so if price later returns to it, the same side may defend it. Many footprint tools mark a stacked imbalance as a zone that extends to the right until price trades back into it.

That reading is a convention, not a rule of the market. When price returns, one of three things tends to happen:

• The zone holds. Price reaches the zone and turns. The side that drove through it shows up again.
• The zone is tested and absorbed. Price trades into the zone, heavy volume prints there, and price stalls before a decision. The footprint at the retest is worth reading closely.
• The zone fails. Price trades straight through it. Whoever drove the original move is not defending it.

A failed zone is information too. If buyers who pressed aggressively through 5,809.25 to 5,809.75 earlier do not defend it on the way back, the earlier move may have been driven by something short-lived, such as stops being triggered, rather than by participants willing to hold the price.

Worked Example: Risk Around a Zone

An invented illustration of how a zone can frame a plan. It is an example of the arithmetic, not a recommendation.

Later in the session, ES pulls back toward the stacked buy imbalance at 5,809.25 to 5,809.75. A trader who wants to buy a retest of the zone, and to be wrong if price trades back below it, might place a buy limit at 5,809.75 (the top of the zone) and a stop at 5,809.00 (one tick below its bottom).

• Distance from entry to stop: 5,809.75 - 5,809.00 = 0.75 points = 3 ticks
• Risk per contract: 3 ticks x $12.50 = $37.50, before commissions and any slippage on the stop
• On 2 contracts: $75.00

The zone gives the trade a defined line where the reading would be wrong. Whether that line is the right one for any particular trader is a separate question.

Imbalances at the Extremes

Where in a bar an imbalance appears matters as much as whether it appears.

Imbalances in the middle of a move are often read as continuation: aggressive participants pushing price through a range.

Imbalances at the very top or bottom of a bar are read differently. Buy imbalances right at a bar's high, followed by price reversing lower in the next bars, can mean aggressive buyers entered at the top and are now holding losing positions. Traders sometimes describe that as trapped buyers, and watch whether those positions get closed as price falls. The same holds for sell imbalances at a bar's low followed by a rally.

In our example, the sell imbalance just below the high is the opposite case: sellers took over at the top of a bar that buyers had driven up. Combined with thin buying at the high itself (only 15 contracts bought at 5,810.00), it suggests the buying was running out at the top of this bar.

Settings Change What You See

Imbalances are defined by your settings, and the same bar can look very different with different ones.

The Ratio

A 300% ratio is a common setting. Lower it to 200% and many more prices qualify, most of them less meaningful. Raise it to 400% or 500% and only the most lopsided prices remain. There is no correct ratio. A lower one shows more and filters less. A higher one shows less and is more selective.

The Minimum Volume

Without a minimum, a price with 4 contracts on the ask against 1 on the bid diagonal is a 400% imbalance. That is noise. A minimum volume on the larger side (or on both sides) keeps tiny numbers from producing marks. What minimum makes sense depends on the instrument and the time of day: a level that is busy in ES during regular hours would be extreme in a thinner contract.

Zero on One Side

If the diagonal partner is zero, the ratio is undefined. Tools handle this differently: some treat any volume against zero as an imbalance, some require the minimum volume, some skip it. A zero partner combined with a reasonable minimum is usually a genuine one-sided price. A zero partner with only a few contracts on the other side usually is not.

The Stack Count

Requiring three consecutive imbalances for a stack is common. Two produces many more zones. Four or more produces fewer, more pronounced ones.

The Bar Type

Imbalances are calculated within each bar, so how bars are built changes them. Time bars at the open hold far more volume than time bars at midday, so absolute thresholds behave differently across the day. Volume bars hold the same total volume every bar, which makes imbalance counts more comparable from one bar to the next. Range and Renko bars cover a fixed number of prices, which keeps the number of rows, and so the number of possible imbalances, steady.

How Imbalances Relate to Delta

A bar full of buy imbalances will usually have positive delta, but the two measure different things. Delta is one net number for the whole bar. Imbalances show where inside the bar the aggression was concentrated.

Two bars with the same delta of +300 can differ completely: one with that buying spread evenly across every price and no imbalances at all, another with it concentrated in a three-tick stack near the high. The second tells you exactly where buyers pressed hardest. For more on delta itself, see delta and cumulative delta explained.

Common Mistakes

Comparing rows straight across. The bid and ask in the same row traded at different moments against different spreads. The diagonal comparison is the standard for a reason.

Running without a minimum volume. Small numbers produce large ratios. Without a filter, the chart fills with marks that mean nothing.

Treating every stacked imbalance as support or resistance. Zones are worth watching, not trusting. Many get traded through without a pause.

Ignoring where the imbalance sits. Buy imbalances in the middle of a strong up bar and buy imbalances at the high of a bar that reverses say very different things.

Changing settings to find a signal. If a 250% ratio shows a stack and 300% does not, the stack was marginal. Pick settings that make sense for the instrument and keep them, so that what you see means the same thing from day to day.

Forgetting context. An imbalance at a level that mattered (the prior day's high, a value area edge, a level that held earlier) carries more weight than the same imbalance in the middle of nowhere.

A Practical Checklist

1. Set the ratio, the minimum volume and the stack count once, based on the instrument you trade, and leave them.
2. Check the comparison is diagonal: ask at a price against bid one tick below, bid at a price against ask one tick above.
3. Note where the imbalances are in the bar: through the middle of a move, or at an extreme?
4. Look for stacks: three or more consecutive imbalances on one side mark a zone where one side kept pressing.
5. Watch the zone on the return: does it hold, absorb or fail? Each outcome tells you something.
6. Read imbalances with delta and volume: where the aggression was, how much of it there was and whether it held to the close.
7. Weigh location most: imbalances at levels you already care about are the ones worth acting on.

The Bottom Line

Imbalances pick out the prices in a footprint where one side was far more aggressive than the other, measured across the same spread at the same moment. Stacked imbalances show that aggression held across a range, and the zones they leave behind are levels many traders watch on a return.

Neither is a signal by itself. Both depend on settings, and both mean more at prices that already matter. Used with consistent settings and read in context, they turn a dense grid of numbers into a few prices that deserve a closer look.

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NexTick360's footprint draws diagonal imbalances in bold and marks stacked imbalances as zones until price comes back, with each bar's point of control boxed, unfinished auctions dashed and statistics under the bars, on time, tick, volume, range and Renko bars built from your broker's trades. See the order flow tools