footprint

The footprint namespace reads a bar’s volume footprint: the buy and sell volume split by aggressor side, the delta between them, and the Point of Control, Value Area High and Value Area Low rows. A footprint object comes from request.footprint(), and the three row functions return volume_row objects.

PyneCore has no footprint data. A footprint is built from tick-level bid/ask order flow, and PyneCore works from OHLCV bars only, so request.footprint() always returns na. Guard every footprint read with na() and give the script a fallback path, as in the example below.

Quick Example 

from pynecore.lib import script, request, footprint, volume_row, na, close, open, volume, plot


@script.indicator(title="Footprint Delta")
def main():
    fp = request.footprint(100, 70)

    if na(fp):
        # No order-flow data: approximate the delta from the bar's direction
        bar_delta: float = volume if close >= open else -volume
        poc_price: float = (close + open) / 2
    else:
        bar_delta = footprint.delta(fp)
        poc = footprint.poc(fp)
        poc_price = (volume_row.up_price(poc) + volume_row.down_price(poc)) / 2

    plot(bar_delta, title="Delta")
    plot(poc_price, title="POC")

Getting a footprint

request.footprint(ticks_per_row, va_percent=70, imbalance_percent=300) requests the footprint of the current bar. In PyneCore it returns na of type Footprint on every bar. See request.

Functions

Every function takes the footprint object as its only argument.

ParameterTypeDescription
idFootprintA footprint object from request.footprint()

buy_volume()

Total buy volume of the bar.

Returns: float

sell_volume()

Total sell volume of the bar.

Returns: float

delta()

Volume delta of the bar: buy volume minus sell volume.

Returns: float

total_volume()

Total volume of the bar: buy volume plus sell volume.

Returns: float

poc()

The Point of Control row: the price row with the highest volume.

Returns: VolumeRow

vah()

The Value Area High row: the upper boundary row of the value area.

Returns: VolumeRow

val()

The Value Area Low row: the lower boundary row of the value area.

Returns: VolumeRow

fp = request.footprint(100, 70)
buy: float = footprint.buy_volume(fp) if not na(fp) else 0.0

Missing data

  • request.footprint() returns na on every bar, so na(fp) is always true and the guarded branch of a script is the one that runs.
  • Every footprint.* function called with an na footprint returns na instead of raising, and so does a volume_row.* function called with the na row that poc(), vah() or val() returns. An unguarded read therefore gives na, which propagates through arithmetic.
  • The Footprint and VolumeRow types exist so that scripts using them load and run. They hold no data, and calling one of their methods on an actual object raises NotImplementedError.

Compatibility

The footprint functions and the Footprint type have the Pine v6 signatures, so footprint scripts compile and run. There is no order-flow data source: request.footprint() returns na, and scripts produce output only through their na() fallback paths.