Footprint Chart
A chart that shows, inside each bar, how many contracts traded at the bid and at the ask at every price. Vantedge Footprint draws it in NinjaTrader 8, and FlowPilot reads the footprint of the bar that is forming.
Reference
Order Flow Glossary
Plain definitions of the order-flow terms used by Vantedge FlowPilot, Vantedge BookPilot and their indicators.
Bid/Ask Imbalance
A price level where buying at that level is at least a set ratio times the selling one level lower (a diagonal comparison), or the other way round. FlowPilot uses 300% by default and needs at least 10 contracts on the stronger side.
Stacked Imbalance
Imbalances on several consecutive price levels in the same bar, showing that one side pushed through several prices in a row. FlowPilot triggers on 3 stacked imbalances by default.
Delta and Cumulative Delta
Delta is buy volume (trades at the ask) minus sell volume (trades at the bid) for a bar. Cumulative delta adds it up across the session. With Require Congruent Delta on, FlowPilot only trades a stack when the bar's delta agrees with it.
Trend and Regression Regimes
FlowPilot's Auto mode measures how closely price change follows delta over recent bars. A high correlation is a Trend regime, where it follows the stack; a low one is a Regression regime, where aggression gets absorbed and it fades the stack.
Level 2 / Market Depth
The resting limit orders waiting on each price level of the bid and the ask. BookPilot, BookScope and the DOM Pressure Matrix need a Level 2 data feed, live or in Market Replay.
Pressure Break
A BookPilot signal. It adds up the size on the first levels of each side of the book. When one side is at least 4 times the other and stays at least 2.5 times heavier for 250 ms, the signal fires in the direction of the heavier side.
Pulled Wall
A BookPilot signal. It tracks an unusually large resting order (a wall) as price approaches it. If most of the wall is removed without trading, it gets a spoof probability between 0 and 1; above the threshold BookPilot trades against it: a pulled bid wall means sell, a pulled ask wall means buy.
Spoofing
Placing large orders with no intention of letting them trade, to make one side of the book look stronger. Spoof probabilities in Vantedge software are diagnostics of book behaviour, not legal findings of manipulation.
Micro-Forecast
A logistic model of the probability that the next 2-tick move of the mid price is up, built from queue imbalance, microprice offset, recent trade flow and book pressure. It starts with built-in weights and refits to your instrument as it runs. BookPilot can require it to confirm a signal.
Microstructure Bias
Long, Short or None, derived from the micro-forecast. In BookPilot's With Bias mode, signals against the bias are refused.
Rules of Engagement
BookPilot's checks before any order: armed and flat, inside the trading hours, allowed by the mode (With Bias, Long only or Short only), under the hourly trade limit and not locked by the daily goal or max loss.
DOM Pressure Matrix
A SuperDOM column included with BookPilot that shows bid-ask pressure ratios and level thinning next to the price ladder.
Tick Replay
A NinjaTrader 8 data series option that replays historical ticks with their bid/ask detail. FlowPilot needs it for history and Strategy Analyzer backtests.
Market Replay
NinjaTrader 8's playback of recorded sessions including market depth. It is how you test BookPilot, because the Strategy Analyzer has no Level 2 history.