How TradingView's volume footprint splits buys and sells
TradingView's volume footprint is built from lower-timeframe bars, and each bar's volume is classed as buy or sell from its close. Exchange trade data marks the aggressive side of every trade. Both are called delta; they are not the same measurement.
What TradingView's help page says
TradingView's own guide to the volume footprint chart describes two steps:
- Lower-timeframe bars, not single trades. For intraday charts the footprint is built from intrabar data, starting with 1-second bars (1-tick data on professional plans) and moving to 1-minute and then 60-minute bars where finer history runs out. The guide notes that recent candles are the most precise and that older candles use coarser data.
- Buy or sell from the close. Each intrabar's volume counts as buy when its close is above the previous intrabar's close, as sell when it is below, and goes to the same side as the previous intrabar when the closes are equal.
So a whole second (or minute) of trading lands on one side, decided by where that second closed. The Pine Script footprint data that scripts can request is described the same way: volume split into buy and sell based on intrabar price action.
On professional plans the intrabars can be single ticks. Going by the rule in the help page, the side is still decided by comparing each tick's price with the one before it, and a trade at the same price goes to the side of the previous one. That is much finer than a 1-second bar, but it is still a reading of price changes, not the aggressive side marked by the exchange.
What exchange trade data carries
On CME futures each trade comes from an aggressive order meeting a resting one. Many data feeds pass on which side was aggressive — the buyer who lifted the offer or the seller who hit the bid. A footprint built from those trades puts each trade's size on the side the feed marked. Some trades arrive with no side; what platforms do with those is covered in why footprint delta differs between platforms.
The two methods answer different questions. The close rule asks which way price moved during a second. The exchange mark asks who crossed the spread on each trade.
How far apart they land on CL
We applied TradingView's published rule to CL December 2026 (CLEZ26) trades recorded by Quantower over 16 regular sessions (09:00–14:30 New York time, 23 September – 29 October 2026), and compared it with the sides the data feed marked. Trades the feed left unmarked were removed from both, so the comparison is about the classification method only.
| Intrabar data used by the rule | Five-minute bars where delta had the same sign | Typical gap in delta, as a share of the bar's volume |
|---|---|---|
| 1-second bars | 69% | 9% |
| 1-minute bars | 65% | 35% |
1,006 five-minute bars with at least 200 contracts each. "Typical gap" is the median of
| delta by the close rule − delta from the exchange marks | ÷ the bar's volume. |
Read it as an illustration, not a measurement of TradingView itself: this is the published rule run on another feed's trade record, and TradingView's own seconds data may be stamped and grouped differently. What it does show is how much the method alone can move delta, and that the gap widens as the history falls back to coarser bars.
What this means when you read a footprint
- Volume at price can be close between the two methods: both count the size that traded.
- Delta, imbalances and anything built on buy versus sell depend on the classification. On bars where the two methods disagree on the sign, a footprint can show buyers in control on one platform and sellers on the other.
- Older bars on a lower-timeframe-based footprint rest on coarser data, so they are the least comparable.
Related
- Why footprint delta differs between platforms
- How to read a footprint bar
- How to set up a footprint chart in Quantower
- How to set up order flow in Quantower
OrderVane for Quantower builds its footprint from the trades your data feed sends, using the side the feed marks on each trade.
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