Cluster Finder

What it does

The Cluster Finder scans the footprint candles and marks the clusters that meet what you ask for: groups of prices where a lot of volume traded, where one side dominated the other or where there was an imbalance, in the part of the candle, the type of candle and the time window you choose.

It doesn’t come with a fixed idea of what an important cluster is: you write it with its settings. With the defaults it marks the prices where at least 1,000 contracts traded in a candle, in ice if buyers were in control there and in pink if sellers were.

How it searches

What gets measured is a block: one or more consecutive prices (Prices per cluster) with what traded in one or more candles (Candles added together: the candle being checked and the previous ones). One block is measured for each price in the candle.

Each block goes through the conditions you have turned on, each with its checkbox and its limits:

• Volume: what traded in the block, with a minimum, an optional maximum and what share of the candle’s volume it makes up.
• Delta: buys at market minus sells at market in the block, on the side you choose, with a minimum, an optional maximum and what share of the block’s volume is delta.
• Buys and sells: what was bought or sold at market in the block, each with its own minimum.
• Imbalance: one side against the other, at the same price or diagonally, with a minimum ratio and a minimum volume on the dominant side.

With All conditions, the block has to meet every one that is turned on; with Any of them, one is enough. With none turned on, nothing is marked.

Then the filters are applied. They don’t look at the block but at the candle or the location:

• Candle: its direction (bullish, bearish or doji), its height and its body in ticks.
• Where inside the candle: at the high, at the low, in the body, in a wick, or within a few ticks of the high or the low.
• Schedule: only the candles in a time window, in New York time, UTC or your computer’s time. A window can cross midnight.
• Only the candle’s highest-volume price: on top of the above, the block has to contain the price where the most traded.

The imbalance in Diagonal compares the buys at one price with the sells at the price below, and the sells with the buys at the price above, which is how a footprint is read. In Same price it compares the two sides of each price.

How it draws it

Each cluster found is marked with a shape over its footprint cell: rectangle, square, circle, ellipse, diamond, triangle, hexagon or just the border of the cells.

• Color: by delta side, ice if more was bought than sold in the block and pink if the other way around, or a single color for all. The fill has its own transparency, so what’s underneath stays readable, and the border can be the same color, its own color or no border at all.
• Size: fixed, or by strength, between a minimum size for the weakest and a maximum size for the strongest of those in view. The strength is the value of the first condition turned on: the volume, the delta, the buys or the sells (with the imbalance, the volume). The size is in pixels, so it doesn’t change with the zoom.
• Written value: if you turn it on, each cluster shows its volume, its delta, its buys or its sells.
• Only the strongest of each candle: leaves one cluster per candle instead of all of them.

The alert

With Alert when a new one appears, Forge shows you an alert, with a bell if you want, each time a cluster appears in the most recent candle: the instrument, the price, its volume and its delta. It only alerts on what’s new: clusters that were already there when the chart opened don’t alert.

How many days it looks at

Days back (5 by default) is how many days with candles, counting back from the last one, are analyzed. A weekend doesn’t count. It doesn’t download anything: it works with the candles the chart already has. With Closed candles only, the candle that is still forming is not checked.

Built-in strategies

What the indicator already has inside and can mark for you on the chart. They show what has happened; they are not recommendations.

Adding it to the chart

In the chart bar, Indicators ▾ › More Indicators…. You’ll find it in the Volume / Order Flow category. It’s drawn over the footprint cells. How to add and adjust an indicator is in Indicators.

Settings

Open them with the ⚙ on its row in Indicators ▾. Each section collapses and expands on its own.

Settings belong to each chart: changing the Cluster Finder on one chart doesn’t change it on another.