Unfinished auctions in footprint charts

An unfinished auction in a footprint chart is a bar whose high or low shows trades on both the bid and the ask. A footprint chart splits each bar into price rows and prints the contracts traded at each price. In a bid by ask footprint, one number in each row counts contracts sold at the bid, and the other counts contracts bought at the ask. The note on bid by ask, delta and volume footprint layouts covers that layout. This note reads only the top and bottom rows of each bar.

Finished and unfinished, defined

Auction market theory describes price as an auction that keeps moving until one side stops trading. A finished auction at a bar's high has a zero on one side of the high row. Trades printed at that price on one side only. An unfinished auction at the high has a number above zero on both sides. The same test applies to the low.

Platforms that mark these rows use different rules. Some call a high finished only when a specific side reads zero. Others let you set a threshold, a minimum size below which a side counts as zero. Read the rule in your platform's manual before you compare two charts.

Two example bars

Here are two invented five-minute bars for the E-mini S&P 500 future, ES. ES moves in ticks of 0.25 points. These numbers are an example of the reading, not a trade plan.

Bar A, 10:00 to 10:05

The high at 5,071.00 shows 14 on the bid and 9 on the ask. Both sides traded, so the high is unfinished. The low at 5,070.00 shows 23 on the bid and 0 on the ask, so the low is finished.

Bar B, 10:05 to 10:10

The high at 5,071.25 shows 0 on the bid and 6 on the ask, so the high is finished. The low at 5,070.50 shows 33 and 18, so the low is unfinished.

How the threshold changes the label

With a threshold of zero, Bar A's high is unfinished because 9 contracts traded at the ask. Set a threshold of 10 contracts and the platform treats the 9 as zero, so the same high reads finished. The trades are the same in both cases. Bar B's low has 33 and 18, so it stays unfinished under either setting.

Row size changes the label too. Suppose the platform groups two ticks per row and the top row of Bar A holds 5,070.75 and 5,071.00. That row reads 76 on the bid and 97 on the ask. The high is still unfinished, but the row now mixes two prices.

How the bar period changes the label

The label depends on where the bar starts and ends. Bar A's 5,071.00 row is a high only because the bar closed at 10:05. Merge Bars A and B into one ten-minute bar. Its high is 5,071.25, with 0 on the bid and 6 on the ask. Its low is 5,070.00, with 23 and 0. Both extremes of the ten-minute bar read finished, even though each five-minute bar had one unfinished extreme.

What an unfinished auction does not tell you

An unfinished high says that buyers and sellers both traded at the top price in that bar. It does not say that price will return there, and it is not an entry rule. Auction market theory treats an unfinished auction as a price the market may revisit, and this note does not test that idea.

Reading the bars in Liquivue

Liquivue draws footprints on its docked HTF chart. The HTF chart is a linked candle chart that sits beside the Liquivue heatmap, and it shares the heatmap's instrument and crosshair. It has footprint and delta footprint views on time, Renko and tick candles. For this example, set five-minute time candles with the footprint view on, then read the top and bottom rows of each candle.

Use the footprint view for this check. The delta footprint prints ask volume minus bid volume, so Bar A's high row reads -5 there. A row with 5 on the bid and 0 on the ask also reads -5, and that row is finished. The delta number alone cannot separate the two.

Move the crosshair to 5,071.00 at 10:04 on the HTF chart, and Liquivue moves the heatmap crosshair to the same price and time. The heatmap shows how much size rested on the offer at 5,071.25 while Bar A made its high. No trade bubbles print at 5,071.25 during Bar A, because no contracts traded there until Bar B.

Unfinished auctions on other platforms

ATAS, Sierra Chart and Jigsaw list footprints on this site. Sierra Chart needs its Integrated Advanced package 11 or 12 for footprints on live external or Denali data. Each platform names this pattern and sets its threshold in its own way. The note on stacked imbalances and how to set them shows the same issue with another footprint setting.

A check you can run

Pick ten five-minute bars from one session on your platform. Write down the bid and ask numbers at each high and low. Count how many extremes read unfinished with a threshold of zero, then count again with a threshold of 10 contracts. If the two counts differ by more than two, record the threshold next to any unfinished auction you note.