With the addition of the Footprint® Charts and Studies by MarketDelta to CQG Integrated Client and CQG QTrader, customers can pull volume data traded by price into Excel.
To pull in the data, we used the RTD formula:
=RTD("cqg.rtd",,"StudyData","FPVol(FootprintOp (EP, 0),2200.50)", "Bar",, "Close","D","0","all",,,,"T")
We used the EP symbol, a price of 2200.50, and a daily bar time frame. The 0 next to EP is a volume threshold.
The total volume for the daily bar will show if the market trades at 2200.50.
Two additional functions are available: FPMax and FPMin. The first will return the price with the most traded volume for the time frame of the bar and the second returns the price with the smallest traded volume for the time frame of the bar. Here are two RTD syntax examples using the Symbol EP and daily bar (D):
=RTD("cqg.rtd",,"StudyData","FPMax(FootprintOp(EP,0))", "Bar",, "Close","D","0","all",,,,"T")
=RTD("cqg.rtd",,"StudyData","FPMin(FootprintOp(EP,0))", "Bar",, "Close","D","0","all",,,,"T")
We added the Footprint study to the E-Mini TFlow Dashboard as a working example. You can download it below. The price column uses the high for the day, as a starting point, down to 20 points below the high. The last price is highlighted in silver. The top five volume levels are highlighted in light red with the highest volume being bright red. The data histogram bars reflect the relative volumes.
In addition, you can download a Footprint sample spreadsheet below. In the spreadsheet, you can enter the symbol and time frame. Excel will then build a table with the previous close of the time frame bar using the tick size ten prices above and below the previous close.
Requires the Footprint Charts and Studies enablement, CQG Integrated Client or CQG QTrader version 17.11814 or higher, data enablements for all symbols used in the spreadsheet, and Excel 2010 or higher.