How FlowPilot Trades Stacked Footprint Imbalances

Vantedge FlowPilot is an automated NinjaTrader 8 strategy that trades stacked bid/ask imbalances in the footprint of the bar that is forming right now. The easiest way to understand it is to follow one bar from its first trade to an order, checking each gate along the way.

Step 1: every trade lands in the footprint

Each trade printed on the exchange is classified as a buy (it hit the ask) or a sell (it hit the bid) and added to the forming bar's footprint at its price. FlowPilot sets Calculate to On each tick itself, because it needs every trade. This is also why it needs tick data with bid/ask, and why Tick Replay has to be on for history. It does not need Level 2.

Step 2: each price level is checked diagonally

At each price, FlowPilot compares buying at that level with selling one level lower. If one side is at least Imbalance Ratio times the other (3.0, or 300%, by default) and at least 10 contracts traded on the stronger side, that level is an imbalance.

A quick example on ES. At 5,000.25, 120 contracts were bought at the ask. One tick lower, at 5,000.00, 35 were sold at the bid. 120 is more than three times 35, and well over 10 contracts, so 5,000.25 is a buying imbalance. Had it been 12 against 5, the ratio would pass but the bar would still need more conviction across several levels to matter.

Step 3: imbalances have to stack

One imbalance is common. FlowPilot waits until at least Stacked Requirement levels in a row show imbalances on the same side, 3 by default. Buying imbalances make a bullish stack, selling imbalances a bearish one.

• Allow Gap in Stacked (on by default) lets one level without an imbalance sit inside a stack without breaking it.
• If the bar has a bullish and a bearish stack at the same time, FlowPilot does not trade it.
• The check runs on every trade, not just at the bar close, so an entry can happen mid-bar.

Step 4: delta has to agree

With Require Congruent Delta on (the default), the bar's delta, which is buy volume minus sell volume, has to point the same way as the stack. A bullish stack in a bar with negative delta is skipped. This filters out stacks that are being absorbed by heavier volume elsewhere in the bar.

Step 5: the mode chooses a direction

The stack says what happened. The Mode decides what to do about it. Follow trades with the stack, so a bullish stack means buy. Fade trades against it, so a bullish stack means sell. Auto, the default, uses Follow while the market is in a Trend regime and Fade while it is in a Regression regime. The FlowPilot user guide explains how the regime is measured.

Step 6: the gates have to be open

• The direction has to be armed: Arm Long, Arm Short or Arm Both. Auto arms Both by itself at each bar close.
• The trend filters have to allow it: Trend Long and Trend Short are both on by default.
• The daily gate has to be open: no daily goal or max-loss lock, and no cooldown running after a loss.
• There must be no open position and no working entry order.

Step 7: the order and its management

FlowPilot sends a market order with the bracket attached, then disarms, so each arm gives one trade at most.

Once the trade is 11 ticks in profit, the stop moves to entry plus 1 tick. On ES, 16 ticks is $200 per contract. On NQ it is $80, which is why the guide suggests a wider 16 to 40 tick range for NQ.

What to watch when you test it

Load the Vantedge Footprint chart template next to the strategy so you see the same imbalances it trades. Then ask of each entry: was the stack clear, did delta agree, and did the mode pick the direction you expected? If you see no trades at all in the Strategy Analyzer, Tick Replay is almost always the reason.

The FlowPilot product page lists what the $299 a month plan includes.

A clean stack is a setup, not a promise, and futures losses can be large. Backtest with Tick Replay and run FlowPilot on Sim101 for several sessions before any evaluation, funded or live account.