Volume bars
Volume bars are chart bars that close once a fixed number of contracts has traded, for example every 1,000 contracts, regardless of how many trades it took or how much time elapsed. Each bar therefore holds the same amount of business, which makes per-bar footprint measures such as delta directly comparable from bar to bar.
Senzoukria · Glossary · Updated September 2026
Construction
The engine accumulates the size of each trade since the last bar close. When the running total reaches the chosen number of contracts, the bar closes and a new one opens. A print that would overshoot the threshold belongs to the bar in which it arrived; volume bars are therefore equal in volume up to the size of the last print, not to the contract. On liquid futures with mostly small prints the difference is negligible; on a thin market with occasional large blocks, bars can overshoot noticeably.
- Threshold in contracts, chosen per chart.
- Duration and trade count vary from bar to bar.
- The footprint cells of a volume bar are built from the same prints that closed it.
What they change in a footprint reading
- Bar delta becomes a share of a known total. On 1,000-volume bars, a delta of +400 means the aggression split was 700 at the ask against 300 at the bid; on a time bar, the same +400 could come from a 450-contract bar or a 9,000-contract one.
- Delta % is still useful but less necessary, since the denominator is nearly constant.
- Bar POC and its migration describe where a fixed quantity of business was done, which is the natural unit for reading acceptance.
- During a news release, many bars print in a few seconds; during lunch, one bar can span half an hour. The chart shows activity, not the clock, so session landmarks need separate lines.
In Senzoukria
Volume is the third family of the grain menu on the footprint screen. Presets run from 100 to 10,000 contracts, and a custom size can be typed and pinned. Like tick, range and delta bars, volume bars are rebuilt tick by tick by the footprint engine, so they are available where the raw tape reaches it, Rithmic and the Binance feeds of the crypto screen, and disabled, with a note, on connectors that only forward pre-built bars and on Databento CME.
The Volume pane indicator on a volume-bar chart is nearly flat by construction; the indicators that remain informative are those on delta, trade count, average trade size and bar duration. Session CVD and CVD Slope work as usual since they sum bar deltas. The app's backtest panel notes that server bars carry OHLC, volume and delta but no footprint levels, so a strategy that decides on per-level imbalances still needs the tick drain.
Volume bars versus tick bars
| Volume bars | Close after N contracts | Sensitive to size: one large block can close a bar |
|---|---|---|
| Tick bars | Close after N trades | Sensitive to frequency: many small prints close a bar |
| Both | Duration varies with activity | Trade count or volume per bar is the constant |
Common mistakes
- Choosing a threshold on NQ and reusing it on MNQ. The micro trades a different tape, so the same number of contracts covers a different amount of market activity.
- Reading bar count as time. Ten consecutive bars may be ten seconds or an hour.
- Comparing volume-bar backtest results with time-bar results; the bar boundary is part of the strategy.
Related
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Frequently asked questions
- Why choose volume bars over time bars for a footprint?
- Because each bar holds the same amount of business, so the delta, the POC position and the imbalances of one bar are on the same footing as the next. Time bars are comparable in time, which is useful for session structure, but a quiet bar and a busy bar are not comparable inside. Many traders keep both charts open for the two views.
- Do volume bars work on the crypto screen?
- Yes, for Binance Spot and Perp: those feeds drive the same footprint engine tick by tick, so volume bars build live from the first closed bar. What is missing is history: the crypto cache keeps minute bars only, so a volume-bar chart does not extend into the past. On Databento CME the family is disabled with a note. The crypto screen remains analysis only, with no order routing.