Plain-English definitions for the order flow, footprint, and volume terms used across the TrackTicks suite — no jargon left unexplained.
Order flow trading means reading the actual trades printing on an instrument — individual buys and sells, their size, and the speed they occur at — instead of relying only on candlestick price and volume totals. Traders use order flow to see who is aggressively buying or selling at a given moment, rather than inferring it after the fact from a completed bar.
A footprint chart (also called a volumetric chart) shows the buy and sell volume traded at each individual price level inside a single bar, rather than just one total volume number per bar. This lets a trader see exactly where inside a bar the buying or selling pressure was concentrated, including one-sided prints that a normal candlestick can't show.
A footprint chart breaks down volume by price inside each individual bar, so the detail resets every bar. A volume profile aggregates traded volume by price across an entire session or custom time range, producing one shape that shows where the most and least trading activity happened over that whole period — including the Point of Control and Value Area. They answer different questions: a footprint chart shows what happened in this bar, a volume profile shows where volume concentrated over this whole session.
Delta is buy volume minus sell volume over a given period — a positive Delta means more aggressive buying (trades hitting the ask) than selling, a negative Delta means the opposite. It's a real-time read of which side is currently more aggressive, distinct from price direction alone.
Cumulative Delta is a running total of Delta added up over time (typically reset at the start of a session), rather than the Delta of just one bar or one print. Watching Cumulative Delta rise or fall over an extended move shows whether sustained buying or selling pressure is actually building, or fading, as price moves.
VWAP is the average price an instrument has traded at over a session, weighted by the volume traded at each price rather than a simple time average. It's commonly used as a reference line: price trading above VWAP is considered relatively expensive versus the session's volume-weighted average, and below VWAP relatively cheap, with deviation bands often added around it to show how far price has stretched from that average.
Point of Control is the single price level where the most volume traded over a given session or range on a volume profile. It's often treated as a magnet or reference level, since it represents where the market spent the most time in agreement on price.
The Value Area is the price range containing a set percentage (typically 70%) of the total volume traded in a session, centered around the Point of Control. Price trading outside the Value Area is considered relatively extreme for that session, while price inside it is considered the range the market has broadly accepted as fair.
Tape reading is watching the live stream of individual executed trades (the "time and sales" tape) to gauge real-time buying and selling pressure, trade size, and speed — a practice that predates modern charting software and is the manual root of what order flow indicators automate visually.
A big print (or block trade) is a single trade, or a fast cluster of same-side trades at one price, large enough relative to normal trade sizes on that instrument to suggest a bigger participant is active. What counts as "large" varies by instrument and is typically defined by a size threshold a trader or indicator sets based on that instrument's normal volume.
A bid/ask imbalance is a significant, lopsided difference between buy volume (trades hitting the ask) and sell volume (trades hitting the bid) at a price level or over a short window, suggesting one side is currently far more aggressive than the other at that specific point.
Volumetric Bars are NinjaTrader 8's own built-in bar type that stores bid/ask volume at each price level inside every bar, powering NinjaTrader's native footprint chart display and Delta calculations. Indicators that read real order flow, rather than reconstructing it independently, commonly pull directly from this same underlying data.
Order flow indicators that classify individual trades as buys or sells generally need Level 1 (bid/ask) data at minimum, since that's what lets a trade be compared against the prevailing bid and ask to determine which side it hit. Historical accuracy on older bars additionally depends on Tick Replay being enabled, since that's what lets NinjaTrader rebuild tick-by-tick history rather than relying only on live data going forward.
No — while order flow tools are strongly associated with fast, short-term scalping, the underlying information (where real buying/selling pressure concentrated, whether a level held or failed under volume) is relevant context for swing and position traders too, typically used to refine entries and exits around levels already identified through other analysis, rather than as the sole basis for a trade.
Every term above is exactly what the TrackTicks suite reads and displays live on your own charts.
This glossary is provided for general educational purposes only. It does not constitute financial, investment, or trading advice, and none of the terms defined above are a recommendation to take any particular trading action. Trading futures carries a substantial risk of loss and is not suitable for everyone. See the full site disclaimer for complete terms.
