Zero prints at the high or low of a bar

Zero prints at the high or low of a bar are footprint rows where one side traded no contracts. 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 counts contracts sold at the bid and the other counts contracts bought at the ask. The note on unfinished auctions in footprint charts labelled extremes as finished or unfinished. This note looks at which side holds the zero, how often each kind appears in one session, and what order book events produce each one. The example runs on the Liquivue HTF footprint.

How a price at the high gets traded

ES moves in ticks of 0.25 points, and the spread between the best bid and the best offer is usually one tick. Call the bar's high H. A trade at H can happen in two ways.

1. A buyer lifts the offer at H. The footprint adds those contracts to the ask side of the H row.
2. The bid moves up to H and a seller hits it. The footprint adds those contracts to the bid side of the H row.

For the bid to reach H, the offer at H must leave the book first. Trades fill it or its owners cancel it. If buyers lift it, the ask side of H is above zero. A high with zero on the ask needs a longer sequence. Every seller at H cancels the offer. A buyer then joins the bid at H, and sellers hit that bid. No buyer lifts the next offer, one tick higher. That sequence is uncommon in a one-tick market.

A high with zero on the bid is simpler. Buyers lifted the offer at H, the bid never reached H with a seller hitting it, and price came back down. The same logic, turned upside down, applies to the low. A zero on the ask at the low is common, and a zero on the bid at the low is rare.

The example count

All numbers below are invented for the example. They cover 60 five-minute ES bars from one session.

The common zero appears at about one extreme in three. The rare zero appears at 5 of 120 extremes. A chart that marks every zero print draws about 45 marks in this session, so a single mark carries little weight on its own.

Volume at the zero row

The size on the traded side matters too. Of the 21 highs with a zero bid, 12 had 5 contracts or fewer at the ask. A high that traded 2 contracts at the ask and none at the bid differs from a high that traded 140 at the ask and none at the bid. Both read as zero prints. Write the traded size beside each zero you log.

How the bar period changes the count

Shorter bars have more extremes, and each extreme holds fewer contracts. In this example, the same session split into one-minute bars gives 300 highs, and 123 of them, or 41 percent, show a zero bid. The five-minute count was 35 percent. A longer bar merges extremes, so a zero at one five-minute high can sit in the middle of a fifteen-minute bar and stop being an extreme at all.

Reading zero prints 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 shares its instrument and crosshair. Set five-minute time candles and turn on the footprint view, not the delta footprint. The delta footprint prints ask minus bid, so a high with 9 at the ask and 0 at the bid reads +9, and a high with 14 at the ask and 5 at the bid also reads +9. Only the footprint view shows the zero.

Take one bar from the example with a high of 5,072.50, reading 0 at the bid and 31 at the ask. Move the crosshair to that row, and Liquivue moves the heatmap crosshair to the same price and time. On the heatmap, read the band at 5,072.75, one tick above. If the band held 180 contracts the whole time and no trade bubbles printed on that row, the offer above the high stayed in place while buyers lifted 31 contracts at 5,072.50. If the band shrank to nothing just before price turned down, someone cancelled that offer. A footprint alone cannot tell you which of those happened. In Liquivue the heatmap shows the resting size at 5,072.75, and the HTF footprint shows the 31 contracts traded at 5,072.50.

Zero prints on other platforms

ATAS lists cluster charts, Sierra Chart lists Numbers Bars, and NinjaTrader lists volumetric bars in Order Flow+. Bookmap adds Footprint in its Global+ plan at US$99 a month. Each platform sets its own row size and threshold for a zero, so a 1-contract row can read as zero on one chart and as 1 on another. The note on bid by ask, delta and volume footprint layouts covers the views. The cost audit lists Liquivue at €20 a month with market data extra.

A check you can run

Take 60 five-minute bars from one session on your platform. At each high, write down whether the bid or the ask reads zero, or neither. Do the same at each low. If the rare zero shows up more than 10 times in 120 extremes, check your zero threshold setting. A threshold above zero counts small rows as zero, so a row with 2 contracts on the ask can read as a rare zero.