Choosing the granularity: ticks, range, volume

The problem with time bars on the DAX

The footprint slices the flow into price cells inside bars. On the NQ, where flow is roughly steady from 3:30 pm to 10 pm, 5 minute time bars produce comparable cells from one bar to the next. On the DAX, the flow is not steady: it alternates between phases where nothing happens (11 am to 2 pm) and minutes where everything happens (9:00, 2:30 pm, 3:30 pm). A 5 minute candle at 9:05 contains ten times the volume of a 5 minute candle at 12:05.

Reading those two candles with the same thresholds makes no sense. The first rule of the footprint on the FDAX is therefore: bars that close on a quantity of activity, not on a duration.