DAX footprint on tradingview

November 13th, 2022, 09:54 AM

Dear all,
currently I am testing available footprint indicators on tradingview. However, I have some doubts about the correctness of volume data shown at each price level. For example, in the screen shot from Nov. 11th 2022 10:15 CET, a one minute candle (O 14253, H 14265, L 14242, C 14242) for the DAX did not show any trade above the open price of 14253 while there was an unusual high amount (676 contracts) traded at 14249. It would be great, if someone could confirm (or invalidate) this data.
If my interpretation is correct, then the candle opened with a buy of a single contract at 14253. At this time the order book must have been empty on the ask side up to 14265 which makes the high of the candle. Then there was an aggressive sell at 14249 and price moved further down subsequently.

November 20th, 2022, 10:24 AM

I have done some testing to see the difference in footprint charts when using different software with different data feeds (NT with IQFeed and Lenz+Partner, Tradingview with EUREX real time data).
The table shows the same one minute candle for the different setups. Interestingly the volume is the same for all scenarios and appears to be correct. However, the number of contracts traded at each price level differs significantly. While NT/IQFeed/L+P show at least the same volume at the same price level there�s a noticeable difference between bid and ask side. Tradingview is obviously not the best choice when using footprint analysis.

DAX footprint on tradingview

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DAX footprint on tradingview