Price level grouping (footprint step)
Price level grouping, also called the footprint step or price aggregation, is the number of instrument ticks merged into one row of a footprint cell. A step of 1 shows every tradable price as its own level; a step of 4 on a contract with a 0.25-point tick merges four ticks into a one-point row, which reduces the number of rows and increases the volume in each.
Senzoukria · Glossary · Updated September 2026
Tick size versus step
The tick size is a property of the instrument: the minimum price fluctuation published in the contract specification. For NQ and MNQ it is 0.25 index points. The grouping step is a property of the chart: how many of those ticks make one footprint row. The NQ/MNQ order flow guide gives the reference example, grouping four ticks per row so that each level is exactly one index point. The step does not change what traded; it changes how the trades are binned before they are displayed and before per-level indicators are computed.
- Step 1: one row per tick, the most detail, the most rows per bar.
- Step n: n ticks per row; each row's volume is the sum of the n ticks it covers.
- Bar POC, imbalances, migration in ticks and every per-level measure are computed on the grouped rows, so they change with the step.
Choosing a step
- Fast, wide-ranging contracts such as NQ produce tall bars at step 1; a wider step keeps the cells readable and the volume per row meaningful.
- Slow contracts with small ranges lose detail with a wide step: a two-row bar has no shape to read.
- Imbalance thresholds are sensitive to the step, because a ratio between two rows compares larger sums when rows are wider. A threshold tuned at step 1 does not carry over to step 4.
- Choose one step per instrument and keep it, so that readings are comparable from day to day.
In Senzoukria
On futures, the price grid comes from the instrument catalogue, which holds each contract's tick size; the chart warns when an instrument's grid is unknown, because history cannot be cached and per-tick measures cannot be expressed without it. The grouping is applied on the aggregated levels the Rust engine delivers, and the indicators that need it declare it in their data requirements, as in the note Aggregated price levels and instrument tick size.
On the crypto screen, the setting is called Step. Its hint reads: footprint grouping step, wider reads better zoomed out, finer shows where the aggression landed. The crypto page describes an automatic grouping step, a catalogue value per pair, since crypto pairs have no exchange-defined tick comparable to a CME contract and price ranges vary widely between BTC and a low-priced altcoin. That screen is analysis only.
Common mistakes
- Confusing the step with the tick size. Changing the step never changes the instrument's tick; it changes how many ticks a row covers.
- Comparing per-level volumes or imbalance counts between two charts at different steps.
- Reading POC Migration or POC Drift as contract ticks when the chart runs at a wider step; they are expressed in grid ticks.
- Using MNQ readings with a step tuned on NQ: the two share a tick size but not a tape, so volume per row differs.
Related
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Frequently asked questions
- What step should I use on MNQ?
- There is no single correct value, and the guide does not prescribe one. The NQ/MNQ guide's example is four ticks per row, which makes each footprint level one index point on a 0.25-point tick. A wider step reads better on a fast day; a narrower one shows where inside a point the aggression landed. Keep the same step across sessions so readings stay comparable.
- Does the grouping step affect indicators?
- Any indicator built on per-level data does: bar POC, POC Position %, POC Migration, imbalance counts, volume per level. Indicators built on bar totals, such as Delta Histogram, Volume or cumulative delta, are unchanged because the sum over a bar is the same whatever the row width.