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I want a 3 foot high retaining wall built with block 8" x 3" x 5" (L x H x W), how deep will the footer be? Do you need to lay sand and stone first, or just pour in a ready mix concrete to lay the wall on?

A segmented block wall, especially a 3 foot high block wall must be properly based or it will fail.

First remove the soil from under your wall. Dig this area flat and level. Dig it 12" wider than the width of your wall material (6"+5"+6" = 16"). Excavate to a minimum depth of 6" plus the hieght of your wall material (6"+3" = 9"). This allows for 6" of comapacted gravel and at least one course of blocks below grade. Compact the subsoil before you place the gravel in the excavated trench. Use #8 or #9 gravel and compact this gravel after every 2" of gravel is added to the footing area. Add gravel up to 6", compacted. Use a plate compactor with at least a 6000 Lb./Ft. of centrifical force. Lay the first course on the gravel base and make certain this course is level. Each subsequent course should be offset into the hill by 1/2 - 3/4". This offset is called batter. Batter helps to offset the pressure of the soil behind your wall. You should place a drain tile behind the first course of block. Backfill with gravel for drainage. Use a landscape fabric between the backfilled garvel and soil so the gravel does not fill with silt. You do not want water pressure to build up behind the wall, so exit the drain tile to the other side (outside) of the wall.