Footprint Statistic Studies

CQG Integrated Client and CQG QTrader version 2017 include Footprint® Charts and Studies, allowing customers to view the popular Delta Bar chart and related studies.

One study is the Footprint Bar Statistic applied to the Footprint chart. While we cannot pull in the bar data for the Footprint chart into Excel using RTD, we can pull in the collection of eight individual studies that are referred to as the Footprint Bar Statistic, which is displayed as a table at the bottom of the Footprint chart in CQG.

The Footprint Bar Statistic includes the following studies:

  • Volume = Total (bid traded plus ask traded) volume for the bar
  • Delta = Difference between ask traded volume and bid traded volume; indicates whether buying (positive value) or selling (negative value) is more aggressive
  • Delta Day = Net order flow for the day; a running total of delta used to look for inverse relationships in the market
  • Buy Volume = Bid traded volume
  • Sell Volume = Ask traded volume
  • Max Delta = Highest delta achieved for the bar
  • Min Delta = Lowest delta achieved for the bar
  • Delta Change = Change in delta from the previous bar

The FPBS study require the Footprint Charts and Studies enablement. For more details, read the Help file.

Here are the individual RTD formulas for 5-minute bars using symbol CLE?1, which are included in the sample Excel file. Only the closing values of the study are available.

Volume:

=RTD("cqg.rtd",,"StudyData","FPBSVolume(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

Delta:

=RTD("cqg.rtd",,"StudyData","FPBSDelta(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

DeltaDay:

=RTD("cqg.rtd",,"StudyData","FPBSDeltaDay(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

Buy Volume:

=RTD("cqg.rtd",,"StudyData","FPBSBuyVol(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

Sell Volume:

=RTD("cqg.rtd",,"StudyData","FPBSSellVol(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

Max Delta:

=RTD("cqg.rtd",,"StudyData","FPBSMaxDelta(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

Min Delta:

=RTD("cqg.rtd",,"StudyData","FPBSMinDelta(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

Delta Change:

=RTD("cqg.rtd",,"StudyData","FPBSDeltaChange(FootprintOp (CLE?1,0))", "Bar",, "Close","5","0","All",,,,"T")

The downloadable Excel files include the Footprints Statistics sample and four different theme versions of the CQG Footprint Statistics dashboard displayed in this post: Black, Stars, Earth, and Europe. The time frames of the charts can be changed. In the right-hand corner of each table you can select the study to be displayed over the bar chart.

Related Posts

Requires CQG Integrated Client or CQG QTrader version 17.10 or higher, Microsoft Excel 2010 or higher, and the Footprint Charts and Studies (MarketDelta) enablement.

Microsoft Excel is a registered trademark of Microsoft Corporation in the United States and/or other countries.