Volume-Based Chart
Order Flow Analysis glossary · Footprint & Delta Analysis
Definition
A chart that closes a new bar after a fixed number of contracts have traded, independent of clock time. For example, a 5,000-volume chart in the ES closes a bar every 5,000 contracts. The advantage is that each bar carries approximately equal volume, making cross-bar footprint comparison meaningful and making absorption (lots of volume in a narrow price range) easy to spot; the disadvantage is that the price range per bar varies enormously. Typical settings: ES 3,000–10,000; CL 1,000–5,000; 6E 2,000–8,000.
Volume-Based Chart in plain English
Most charts start a fresh bar on a timer — every 5 minutes, say — no matter how busy or quiet the market is. A volume-based chart throws out the clock and starts a new bar every time a fixed number of trades have gone through instead (for example, a fresh bar every 5,000 contracts). The payoff is that every bar contains about the same amount of trading activity, so comparing one bar to the next is fair — like measuring each chapter of a book by word count rather than by how many minutes you spent reading. That evenness makes it easy to spot "absorption," where a huge amount of trading happens but the price barely moves; the trade-off is that some bars will cover a tiny price range and others a huge one.
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