Footprint cells

// A footprint inside each bar: what takers sold (left) and bought (right) in each price row, from
// every trade, with the candle as a thin strip beside it. A row whose buying is three times the
// selling one row below it (or whose selling is three times the buying one row above) is an
// imbalance, shaded deeper, as the footprint chart marks them. One switch shows each row's delta.
indicator('Footprint cells', { overlay: true, shortName: 'Footprint' });

const rowInput = input.float('Row size (0 picks one)', 0, { min: 0 });
const deltaOnly = input.bool('Delta only', false);
const ratio = input.float('Imbalance ratio', 3, { min: 1, step: 0.5 });

const chart = bars();
const profile = volumeProfile();
const rowSize = state.bar<number>(0);

const bidAsk = plot.cells('Sold × bought', { columns: 2, candles: 'side' });
const delta = plot.cells('Delta', { candles: 'side', sign: true });

/** 1, 2, 2.5 or 5 times a power of ten, near a 5,000th of the price: $10 rows for BTC at 64,000. */
function pickRow(price: number): number {
  const raw = price / 5000;
  const power = Math.pow(10, Math.floor(Math.log10(raw)));
  const steps = [1, 2, 2.5, 5, 10];
  let best = steps[0];
  for (const step of steps) if (Math.abs(Math.log(step * power / raw)) < Math.abs(Math.log(best * power / raw))) best = step;
  return best * power;
}

chart.onBar(() => {
  // One size for every bar, so each row is the same row across the chart.
  if (rowSize.value === 0) rowSize.value = rowInput > 0 ? rowInput : pickRow(chart.close);
  // Trades reach back to the start of the UTC day before yesterday; older bars keep their candle.
  if (!profile.available) return;
  const rows = profile.bar().rows({ rowSize: rowSize.value });
  if (rows === null) return;
  for (let i = 0; i < rows.length; i += 1) {
    const row = rows[i];
    if (row.total === 0) continue;
    if (deltaOnly) {
      delta.add({ low: row.low, high: row.high, weight: Math.abs(row.delta), value: row.delta, color: color.withAlpha(row.delta >= 0 ? color.up : color.down, 0.45) });
      continue;
    }
    const buyImbalance = i > 0 && row.buy > 0 && row.buy >= ratio * rows[i - 1].sell;
    const sellImbalance = i + 1 < rows.length && row.sell > 0 && row.sell >= ratio * rows[i + 1].buy;
    // An empty side has no number: a blank reads faster than a 0.
    bidAsk.add({ low: row.low, high: row.high, weight: row.sell, value: row.sell > 0 ? row.sell : undefined, color: color.withAlpha(color.down, sellImbalance ? 0.75 : 0.3), column: 0, align: 'right' });
    bidAsk.add({ low: row.low, high: row.high, weight: row.buy, value: row.buy > 0 ? row.buy : undefined, color: color.withAlpha(color.up, buyImbalance ? 0.75 : 0.3), column: 1 });
  }
});