Guide 1 of 3
What a footprint shows
An ordinary candle tells you four prices: open, high, low and close. It doesn’t tell you who was trading. A footprint opens the candle up and lists every price it traded at, with the volume at each one split into two numbers.
Bid volume and ask volume
Every trade has a buyer and a seller, but only one of them crossed the spread to make it happen. If a buyer paid the ask, the trade counts as ask volume, bought aggressively. If a seller hit the bid, it counts as bid volume, sold aggressively. BackLab decides which side each print belongs to by comparing it with the best bid and ask at that instant.
Delta
Delta is ask volume minus bid volume. A candle with a delta of +300 had 300 more contracts bought aggressively than sold. Delta on its own isn’t a signal. It becomes useful when it disagrees with price, for example heavy selling that fails to push price lower.
Imbalances
An imbalance is a price where one side’s aggressive volume is several times the other’s. BackLab flags these levels on the footprint. Stacks of imbalances at neighbouring prices often mark where one side took control.
A footprint describes what already happened. It can show you where aggressive traders were active, not where price will go next.
Guide 2 of 3
Reading a liquidity heatmap
The order book lists the limit orders waiting to be filled at each price. A heatmap records that book over time: every second becomes a thin vertical slice, and each price in the slice is shaded by how much size is resting there.
What it shows
Bright horizontal bands are prices where a lot of size sat for a long time. When price reaches a band, it either trades through it, which means the resting orders were filled, or stalls there.
What it doesn’t show
Resting orders can be cancelled at any moment, and many are. A large band that vanishes just before price arrives was never going to be filled. That’s why the heatmap is most useful next to the footprint: the heatmap shows what was offered, and the footprint shows what actually traded.
Size in the book isn’t a commitment. Treat bands as information about intent, not as support or resistance that will hold.
Guide 3 of 3
Futures contracts in numbers
BackLab trades twelve CME futures. Each has a fixed minimum price move, the tick, and a fixed dollar value for each tick. Micro contracts are one-tenth the size of their E-mini or full-size partner, so the same move is worth a tenth as much.
| Contract | Market | Tick | Tick value | Point value |
|---|
| MNQ | Micro Nasdaq-100 | 0.25 | $0.50 | $2.00 |
| NQ | E-mini Nasdaq-100 | 0.25 | $5.00 | $20.00 |
| MES | Micro S&P 500 | 0.25 | $1.25 | $5.00 |
| ES | E-mini S&P 500 | 0.25 | $12.50 | $50.00 |
| MYM | Micro Dow | 1 | $0.50 | $0.50 |
| YM | E-mini Dow | 1 | $5.00 | $5.00 |
| M2K | Micro Russell 2000 | 0.1 | $0.50 | $5.00 |
| RTY | E-mini Russell 2000 | 0.1 | $5.00 | $50.00 |
| MGC | Micro Gold | 0.1 | $1.00 | $10.00 |
| GC | Gold | 0.1 | $10.00 | $100.00 |
| MCL | Micro Crude Oil | 0.01 | $1.00 | $100.00 |
| CL | Crude Oil | 0.01 | $10.00 | $1,000.00 |
Index contracts expire in March, June, September and December. Gold and crude have their own monthly cycles, and BackLab rolls each market to its front contract automatically.
Trading hours
All twelve trade on CME Globex nearly around the clock, Sunday to Friday from 5:00 p.m. to 4:00 p.m. Central Time, with a one-hour break every weekday from 4:00 to 5:00 p.m. CT. BackLab shades that break on the chart and splits trading days at 5:00 p.m. CT, the way the exchange does.
What a move costs
Multiply your stop distance in points by the point value and by your contract count, and you know what the trade risks before you place it. A 20-point stop is $40 on one MNQ, $400 on one NQ, and a $1.00 stop on one CL is $1,000.
Check your broker’s commissions and exchange fees too. On micro contracts they’re a meaningful share of each trade.
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