Footprint.Pro [Elykia]

OVERVIEW
The Footprint Pro is a comprehensive Order Flow and Footprint analysis tool designed to visualize buying and selling pressure inside each candlestick. Unlike standard charts that only show OHLC (Open, High, Low, Close), this script uses a proprietary Reconstruction Engine to reveal the internal volume distribution, allowing traders to see the interaction between aggressive buyers (Ask) and sellers (Bid) at every price level.

METHODOLOGY & DATA PRECISION
To achieve high-definition Order Flow without external data feeds, this script is designed to be applied on a 1-second (1s) chart timeframe.

• Reconstruction Engine: It harvests granular 1-second data to mathematically reconstruct and draw Footprint candles for higher timeframes (from 1 Minute up to 15 Minutes).
  
• Why 1-second? By processing 1-second intervals, the script captures the exact price levels where volume was traded with very high precision. This allows for the creation of accurate Volume Profiles and Delta calculations inside the candle, creating a granular view impossible to achieve with standard timeframe data.
  

CALCULATION MODES & STYLES
The script processes this data using distinct algorithms and visualization styles to adapt to different market conditions.

• Timeframe Mode: Reconstructs standard time-based footprints (e.g., viewing M5 candles while remaining on the 1s chart).
  
• Simulated Range Bars: Uses a custom volatility algorithm to ignore time and close bars based on pure price movement.
  
• Why use Range Mode? Unlike time-based charts, Range bars filter out "noise" during low volatility (choppy markets) and clarify market structure, allowing traders to see pure price action and volume distribution without the distortion of time.
  

VISUALIZATION TOOLS: HISTOGRAM, HEATMAP & POC

• Profile Style (Histogram): Instead of raw numbers, the script draws a volume profile inside the candle. This offers an instant visual reading to spot if volume is "heavy" at the bottom (support) or top (resistance).
  
• Heatmap (Dynamic Coloring):Function: The script dynamically adjusts the opacity (transparency) of each histogram bar based on Delta intensity relative to surrounding volumes. Levels with strong aggression appear opaque and vivid, while low activity zones remain transparent.
  Trader Benefit: This creates an immediate visual hierarchy. The trader's eye automatically ignores noise to focus only on "Hot Spots" where the real battle between buyers and sellers is taking place.
  
• POC (Point of Control): Indicates the exact price level where maximum volume was traded. Its position is crucial: a POC at the top of a wick indicates buyers were trapped (weakness/rejection).
  
• Show Data (Dashboard): Displays real-time Total Volume, Delta, and candle size to qualify volatility (e.g., distinguishing an anecdotal move from a real institutional impulse).
  

MAJOR SYNERGY: MULTI-TIMEFRAME SMT & FOOTPRINT
The script integrates an SMT (Smart Money Technique) engine that works in synergy with the Footprint to offer a comprehensive "Macro & Micro" approach.

1. The SMT Engine (The Structural Alert)
The module performs a background scan on 4 distinct timeframes simultaneously (e.g., 30s, 1m, 2m, 5m).

• Logic: It continuously compares the Pivots (Highs/Lows) of the current asset against a correlated comparison asset (e.g., NQ vs ES or EURUSD vs DXY).
  
• Signal: If Asset A makes a Higher High while Asset B makes a Lower High on ANY of the 4 monitored timeframes, a specific divergence label is plotted.
  
• Interest: It is an early warning signal indicating an institutional intention of reversal or exhaustion, often before price visibly turns.
  

2. Interaction with Footprint (The Confirmation)
An SMT divergence alone can be early. Combining it with Footprint offers surgical timing:

• Context: SMT warns that correlations are breaking and the move is running out of steam.
  
• Trigger: The trader then waits for the Footprint to display a Rejection Setup or Absorption at this SMT level.
  
• Result: This avoids entering too early and confirms that real orders (Micro-structure) validate the structural thesis (Macro).
  

SMART ASSISTANT: REAL-TIME CONTEXT
To assist traders, a logic engine analyzes the last 5-10 reconstructed candles to detect actor psychology:

• Liquidity Sweeps (Turtle Soup):Function: Price breaks a recent high/low to trigger stops, then immediately reintegrates.
  Trader Benefit: Allows identification of false breakouts and taking the counter-party (Reversal) with an excellent risk/reward ratio, once liquidity is captured.
  
• Absorption (Iceberg Orders):Function: Massive volume traded without price progression (Strong Delta but small candle).
  Trader Benefit: Signals a "Wall" of passive limit orders. The trader knows not to bet against this wall (protection) or can enter in the direction of the defense.
  
• Traps (Delta Divergence):
  • Function: Divergence between candle color and its Delta (e.g., Red Candle with massive Green Delta).
    
  • Trader Benefit: Indicates aggressive participants are "trapped" (underwater). The trader profits from their pain (Pain Trade) when these trapped traders have to liquidate positions.
    

THE 6 ALGORITHMIC SETUPS (TRIANGLES & MARKERS)
The script monitors every tick to generate 6 specific signals, reducing trader mental fatigue:

• Setup 1: Rejection (Validated Rejection) Signal: Large wick + Delta confirming rejection.
  Interest: Filters profit-taking to keep only real counter-trend aggression.
  
• Setup 2: Exhaustion Signal: Sharp volume drop at high/low + POC at extreme.
  Interest: Indicates end of a healthy trend (no one left to push price).
  
• Setup 3: Failed Aggression Signal: Explosive volume (>2x avg) but price stalls.
  Interest: Sign of institutional hand blocking the market (Absorption). Powerful reversal signal.
  
• Setup 4: Trap Signal: Strict divergence between candle color and cumulative Delta.
  Interest: Exploiting the "Squeeze" of trapped traders.
  
• Setup 5: Stacked Imbalances (The Wall) Signal: 3 consecutive price levels with buy/sell imbalance > 300%.
  Interest: Materializes a very strong Support/Resistance zone (displayed by a box). If price tests this zone again, it's a high-probability bounce opportunity.
  
• Setup 6: Absorption Pattern (Zero Prints / Block)
  • Signal: Presence of "Zeros" in footprint (lack of liquidity) vs large volume (block).
    
  • Interest: Fine microstructure detection often indicating immediate stop of current move.
    

VWAP INTEGRATION & COMBINED STRATEGY
The script calculates and plots an anchored VWAP (Volume Weighted Average Price), based on the reconstructed data.

• Interest of VWAP (The "Fair Value"): The VWAP is the absolute reference for institutional algorithms. It represents the average price paid by all participants during the session. If price is above, the trend is bullish (buyers in control); below, it is bearish. It often acts as an invisible dynamic support/resistance.
  
• VWAP + Footprint Interaction (Context + Trigger): The VWAP provides the level of intervention and the Footprint provides the confirmation via volume.
  Instead of trading every Footprint signal randomly, the trader uses VWAP as a probability filter:
  1. In uptrend: Ignore sell signals. Wait for price to pull back to VWAP.
  2. Confirmation: At that precise moment, look at the Footprint.
  
  
• Concrete Trade Example (The "Defensive Bounce"):
  • Scenario: Price is in uptrend and corrects to touch the VWAP line.
    
  • What Footprint must show: Look for an Absorption or Failed Aggression Setup. For example, aggressive sellers attack the VWAP (very negative Delta, big red volume), but price refuses to close below VWAP (rejection wick or green candle).
    
  • The Order: This is the signal that institutions are defending their average price (passive buy limits absorbing sells). The trader buys with a short stop below the absorption wick, aligning with "Big Players".
    

AUTHOR'S INSTRUCTIONS
IMPORTANT: CONFIGURATION REQUIRED
This script uses a granular reconstruction engine. To work correctly, you MUST set your chart timeframe to 1 second (1s).

Step-by-Step Setup:

• Open your chart and select the 1-second (1s) timeframe.
  
• Hide the original candles: Right-click on the chart, Settings, Symbol, uncheck the "Body", "Borders", and "Wick". This removes the clutter of the 1s bars so you can see the reconstructed Footprint clearly.
  
• Add the indicator to the chart.
  
• The script loads with a default 1-minute configuration. You can change to Range Bars or other timeframes in the Settings.
  

DISCLAIMER
This tool is for informational and educational purposes only. It does not constitute financial advice or a signal service. Past performance of the detected patterns (SMT, Imbalances...) does not guarantee future results. Trading involves a high level of risk.

ACCESS
This is an invite-only script. To obtain access, please use the link provided in the Signature field below.