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I started studying Orderflow / footprint charts and realized there was no good footprint chart for Tradestation. Instead of switching platform, I decided to write one using MarketDepth and TimeandSales provider. Since timeandSales doesnt have historic data, added capability to record and store TandS data, so that it can be loaded on to Footprint chart as historic data. So far I have added support for Cumulative delta, VPOC , Running Delta, Per bar VPOC, per bar Volume etc. Looking to add velocity ( trades per sec / min a measure of activity / volatility from orderbook etc ). I will post this in TS appstore sometime soon , unfortunately works only for TS 9.5.
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