1. What does Min Diff represent?
Min Diff is a level of volume that must be present in order for the Threshold algorithm to be considered. It represents a minimum difference in volume between the bid traded volume and ask traded volume on the imbalance footprint chart.
2. What does Threshold represent?
Threshold is the percentage difference between the bid traded volume and ask traded volume on the imbalance footprint chart. It represents a minimum difference in percentage terms between the bid traded volume and ask traded volume on the imbalance footprint chart.
So if the ask traded volume is 1,000 and the bid traded volume is 200, a Threshold of 600 would not draw a level. If the threshold was reduce to 500 it would draw a level because 1,000 is 500% greater than 200. Learn more about the imbalance methodology in this video.
3. Should the Threshold be set similar across markets ?
It is totally up to you. Some traders use the same settings across the various markets. The Threshold represents a percentage, so this normalizes things since it is not based on volume like the Min Diff.
Rule of thumb: use the the same threshold across markets. Set it high enough to minimize the number of levels that draw on the chart.
4. Should the Min Diff be different across markets?
Yes, the higher the volume in a given market the higher Min Diff you should use.
For lower volume markets, use a lower Min Diff setting.
Rule of thumb: the more volume a market has the higher the min diff you will want to use. This will create fewer levels and provide a better qualification of each level displayed.
5. Do I have to vary the settings according to time frame and market ?
Yes, you will want to dial the Min Diff up and down as you move around to other time frames, but sometimes not that much.
See this FAQ on how to add Edge Zones to a Footprint chart.