Forex Factory (https://www.forexfactory.com/forum.php)
-   Trading Discussion (https://www.forexfactory.com/forumdisplay.php?f=11)
-   -   Auction Market Value Theory & Analytics (https://www.forexfactory.com/showthread.php?t=482744)

mzvega May 4, 2014 8:05pm | Post# 1

1 Attachment(s)
“Auction Market Value Theory” & “Auction Market Value Analytics”
Auction Market Value Analytics as per Cisco Futures:

Value Analytics combines market condition with market profile reference points to generate data for trading set-ups. Market condition identifies the market environment (balance or trend) within which all trades are made. Internal market information comes from profile reference points used as market flow variables, a new and more comprehensive way to find market bias and directionality. The goal continues to be to give the trader the 'edge' that comes from superior market knowledge.

Value Analytics, the Process
Value Analytics (VA) is a melding of the Market Condition analyses pioneered by CISCO with a unique form of Market Profile analysis, one oriented to quantitative evaluation of reference points. This is a radical departure from the standard Market Profile, a move from pattern recognition to analytical evaluation of the profile intra-day markers.

Contrary to normal profile procedure, Value Analytics starts with Market Condition as the framework within which all trading takes place. Profile analysis plays a subsidiary, but important, role, describing the infrastructure of the market, the internal details that identify market flow and market bias. Standard profile definitions are used, but not for profile day pattern analysis. In Value Analytics the market is viewed as a continuum, a flow through time. Profile variables are analyzed for their change over time, their relative values, rather than the less useful absolute numbers used in regular profile analysis.

By quantizing the profile variables, Value Analytics removes much of the mystery of profile trading; the pattern recognition and the holistic evaluation of the motivations of the market's players. Quantized profile data can stand alone. Dyed in the wool profile traders might enjoy a profile methodology that is more analytical..

Profile reference points in balanced markets can show internal market bias and directionality, information not available from the market condition analyses. The end result of a day's Value Analytics analysis is a knowledge base from which traders can construct a comprehensive trading strategy, their set-up for the next day.
Markets are not efficient, rather they are effective - Jones

Auction Market Value Analytics(tm)
Copyright CISCO Futures 2007

Since the beginning of Market Profile(tm) in 1985 the promise of true value based trading has remained attractive but elusive. The major difficulty comes in recognizing market situations as they are developing, using pattern recognition. There are 30 or so reference points. Few traders can juggle the lot, discarding those that are not applicable to the situation at hand. Normally, traders prefer some sort of hard, numerical evidence for their trading decisions. Value Analytics is the first methodology to tie profile analyses to quantitative values.

Auction Market Value Analytics (AMVA) is an analytical, measurements based approach that puts value trading technology within the reach of all traders. AMVA combines measures of overall market condition (balance or imbalance) with current market behavior (volatility, volume, market range, trade facilitation, value, activity at price extremes, etc.). This combination not only catalogs the current market situation but also indicates it's flow and directionality.

“Brief Word on Auction Market Value Theory “
“This point most traders run for cover. Who wants to talk about old dry theory, we just want to trade! You do not use market theory directly in your trading. But you ignore the theory at your peril. Here is why: Theory divides the market into positives (the kinds of analyses that are valid) and negatives (invalid analyses). If you trade from an invalid methodology, such as moving averages or oscillators, you are throwing darts or worse. How can this be? EVERYONE uses moving averages and oscillators. But wait, EVERYONE (or almost everyone) loses. That is not proof, but it is good evidence…...” -Jones

THIS IS NOT A "MARKET PROFILE" THREAD
We use the same price*time format for charting, however we use quantitative analysis for trading decisions rather than pattern recognition........

Mind Over Markets
http://www.4shared.com/office/ivp7jU...r_Markets.html

Value Based Power Trading
http://www.4shared.com/office/IosZ6z...WER_PRINT.html
.
Web archive CISCO-FUTURES
Home page https://web.archive.org/web/20131122143526/http://www.cisco-futures.com/
References https://web.archive.org/web/20151107023956/http://www.ciscofutures.com/References.html
Value Analytics https://web.archive.org/web/20130902181100/http://cisco-futures.com/amva_fs.html
Markets.and.market.logic.J.Peter.Steidlmayer.pdf

windpower May 4, 2014 10:23pm | Post# 2

Hi mzvega,

Just learn the MP these days and saw your post in another thread. Glad that you open a new thread here since that old one has 200+pages . And too many basic theory explanation...

Anyway, I am "listening" to the broadcast.

WP

mzvega May 4, 2014 11:16pm | Post# 3

@WP...... i appreciate the support

There is an enormous amount of research; the majority of my bias based is with the current research of Jones. However, any of the early reference materials may be used as a topic of discussion.

I will start this thread off by discussing theories. I will only start with the most popular, as most TA indicators & methodologies which perform “mathematical calculations on price” falls under “Capital Market Theory”. There is a lot of data, and I will try to keep it condensed, I will provide a link for those who chose to read the research article in its entirety. I don’t want to debate “Theories’”. Which theory is better than another, I just want to define what “Auction Market Value Theory” is NOT. To eliminated future “religious debate”

I want to first begin with

Auction Market Value Theory (AMVT) is NOT:

"Financial Market Theory (Financial Economics)
Modern financial market theory began with the studies of Markowitz in the 1950's. Sharpe completed the work in 1970 with the hallmark book, Portfolio Theory and Capital Markets Capital Market Theory, CAPM, developed in the book, assumes equilibrium markets and a Gaussian distribution of price range, with decisions being made by a 'rational investor'. CAPM defines market risk as the standard deviation of the distribution. A basic assumption is that investors consider only expected return and risk, an assumption shown to be incorrect by behavioral economists.

CAPM: An Equilibrium Theory of Financial Markets
Many commentators have criticized CAPM's assumption of equilibrium. The observable, daily high-low ranges, often appear to not be in equilibrium. Volatility is defined as the standard deviation of the price - time distribution and it is also defined as risk. This too, drew comment since opportunity is present and must somehow be related to price behavior. Actually, the very existence of a standard deviation requires a known distribution. The distribution assumed, Gaussian, is demonstrably not describing the market much of the time, hence the standard deviation is devoid of meaning at those times when the market is not in equilibrium. Most certainly, if the standard deviation is not defined, the volatility cannot be either.

The Normal distribution of the daily trading range is well understood, where the first moment is the mean and the second moment is the standard deviation. Analytical advances can be made with this distribution that would be impossible if the distribution were more complicated or not known at all. An example of such an offshoot is the Black Schools model for option valuation. A contributing factor in accepting the normal distribution for markets was the then prevalent Efficient Market Theory. If the market is efficient, discounting all new information instantaneously, no one could find an edge for trading profitably.

Although there has been much negative comment on the equilibrium market proposition, the econophysicists have done the best job of showing why the stock market is not stochastic.

Aside from the stochastic problem, the Sharpe book contains a theory with valuable insights for portfolio management and the afore mentioned options valuation. By and large CAPM does not describe real markets (they are not stochastic) and option valuation founders on the definition of volatility. Although CAPM is useful in balancing portfolios, it offers little help on the mechanics of buying and selling. If the market were truly stochastic and efficient, it should make no difference when the new stocks are bought and the old sold. But the market has been shown to not be efficient; so, theoretically at least, timing, denied by efficient market theory, can possibly be profitable. In the absence of a stochastic process, i.e. when the actual market is not in equilibrium, proofs based on stochasticity are invalid.

While it is now accepted that the stock market is demonstrably not a stochastic process and volatility is demonstrably not just risk, the real difficulty with CAPM is that markets are a complex process and CAPM is based on the exceedingly simple Gaussian distribution and rational investors. At times the market is well behaved and the Gaussian model is adequate. At other times, when a Gaussian is not appropriate, the dangers may be extreme. One has a devils choice: use a simplified picture (equilibrium) and be able to analyze the market (knowing there will be times when the analysis is wrong) or admit the market is complex and be able to analyze nothing within the distribution format. .

The field of Econophysics, addressing markets as complex systems, is making advances toward a market analysis that includes elements of reality, such as crashes. Further, the reality approach of Auction Market Value Theory offers a manner of dealing with complex markets based on an understanding of the principal elements of markets and how their reaction to feedback can be understood."

So any indicator, or trading methodology that “assumes equilibrium markets and a Gaussian distribution of price range”, (e.g. Volume Profile) clearly states is a methodology belonging “Capital Market Theory”. It is also a methodology used by long-term “Investors”. The concept & methodology wasn’t intended to be used to trade the “Intraday Timeframe”. The religious debate ends with me here. And has nothing to do with “Auction Market Value Theory” or “Analysis”.

Using a TPO chart for anything other than what it was intended for (auction market analysis), does not mean it has anything to do with “Auction Market Value Theory”. All it means is that you’ve place an indicator in a box labeled “Capital Market Theory”.

One of the basic fundamental principles of “Auction Market Value Theory” is that it is not “Capital Market Theory”

For those who would like to read the article in its entirety
http://www.ciscofutures.com/auction_...ue_theory.html

mahimahi May 5, 2014 12:18am | Post# 4

enjoy!

http://www.cmegroup.com/education/st...ips-video.html

mzvega May 5, 2014 1:42am | Post# 5

I appreciate the post, however its old news, Bandung created a similar indicator. If you would like my comments about it, you wont find them here. You should go to the previous thread.
The thread topic is AMVT as it applies to "Tick Based" markets FX. Tick volume & Futures contract volume are not the same thing. CME & Spot Forex are different exchanges. But anyway, TPO data is required for AMVT analysis in tick based markets. Your post is off topic. however the folks at "Futures Factory" may find it of value & on topic.................

mzvega May 5, 2014 1:45am | Post# 6

For the AMVT & MP traders who actually perform “Auction Market Value Analysis”, will find Bandung created an indicator that works with the Build 600 that has a handy export feature to export profile data used to perform “Directional Performance Analysis” as per Dalton in “Mind over Markets”, which is the same data tracked daily & used for AMVT “Flow Analysis”.
It is not a Volume Profile. Nor will he be turning it into one. TPO’s are “frequency” data, not “tick volume”. He has done some work on an “overlays” profile. However, I’m not sure if he has plans to make it available to the public. But anyway, it’s made to simplify the task of gathering EOD profile data for AMVT & MP analysis

http://www.mql5.com/en/market/product/3033

zenseven May 5, 2014 2:18am | Post# 7

{quote} I appreciate the post, however its old news, Bandung created a similar indicator. If you would like my comments about it, you wont find them here. You should go to the previous thread. The thread topic is AMVT as it applies to "Tick Based" markets FX. Tick volume & Futures contract volume are not the same thing. CME & Spot Forex are different exchanges. But anyway, TPO data is required for AMVT analysis in tick based markets. Your post is off topic. however the folks at "Futures Factory" may find it of value & on topic.................
Auction theory is really tradable concept! I use MP.

Hope you understand, that MMs (banks) have access to volumes and watch real volumes(not tick volumes). Futures (at least 6e) are correlated to FX markets, so it is easy to use FUTURES markets volumes to build MPs, delta, or just watch futures volumes to understand intentions of well-informed participants of market.

mzvega May 5, 2014 3:45am | Post# 8

{quote} Auction theory is really tradable concept! I use MP. Hope you understand, that MMs (banks) have access to volumes and watch real volumes(not tick volumes). Futures (at least 6e) are correlated to FX markets, so it is easy to use FUTURES markets volumes to build MPs, delta, or just watch futures volumes to understand intentions of well-informed participants of market.
Thanks for posting,
I'm very aware and I understand very well
AMVT analysis is for trading "tick based markets" Im not trying to imply that it uses tick volume for analysis, rather it uses TPO's instead.

May I ask if you trade Futures or Spot? And if you trade spot may I ask what methodology are you using to perform analysis that you base your trading on? And how are you applying MP analysis & concepts to a 24 hour tick based market?

zenseven May 5, 2014 3:54am | Post# 9

{quote} Thanks for posting, I'm very aware and I understand very well AMVT analysis is for trading "tick based markets" Im not trying to imply that it uses tick volume for analysis, rather it uses TPO's instead. May I ask if you trade Futures or Spot? And if you trade spot may I ask what methodology are you using to perform analysis that you base your trading on? And how are you applying MP analysis & concepts to a 24 hour tick based market?
I trade spot, but I analyse 6e (2-3 pips difference does not matter).
I use MP day by day to watch value area and important levels.
I use mp for ranges to understand key price for reversal.
I use volumes to understand activity cycles and key s/r.
GLOBEX is 24h market. But volumes are growing from 6GMT.

zenseven May 5, 2014 3:59am | Post# 10

{quote} I trade spot, but I analyse 6e (2-3 pips difference does not matter). I use MP day by day to watch value area and important levels. I use mp for ranges to understand key price for reversal. I use volumes to understand activity cycles and key s/r. GLOBEX is 24h market. But volumes are growing from 6GMT.
To use volumes for 6e one needs Multicharts SE and demo from CQG or Rithmic

mzvega May 5, 2014 4:11am | Post# 11

I trade using Auction Market Value Analytics. It uses TPO's & other profile variables for analysis that are used trade deciscions.

mzvega May 5, 2014 4:19am | Post# 12

Auction Market Value Analytics as per Cisco Futures:

Value Analytics combines market condition with market profile reference points to generate data for trading set-ups. Market condition identifies the market environment (balance or trend) within which all trades are made. Internal market information comes from profile reference points used as market flow variables, a new and more comprehensive way to find market bias and directionality. The goal continues to be to give the trader the 'edge' that comes from superior market knowledge.

Value Analytics, the Process
Value Analytics (VA) is a melding of the Market Condition analyses pioneered by CISCO with a unique form of Market Profile analysis, one oriented to quantitative evaluation of reference points. This is a radical departure from the standard Market Profile, a move from pattern recognition to analytical evaluation of the profile intra-day markers.

Contrary to normal profile procedure, Value Analytics starts with Market Condition as the framework within which all trading takes place. Profile analysis plays a subsidiary, but important, role, describing the infrastructure of the market, the internal details that identify market flow and market bias. Standard profile definitions are used, but not for profile day pattern analysis. In Value Analytics the market is viewed as a continuum, a flow through time. Profile variables are analyzed for their change over time, their relative values, rather than the less useful absolute numbers used in regular profile analysis.

By quantizing the profile variables, Value Analytics removes much of the mystery of profile trading; the pattern recognition and the holistic evaluation of the motivations of the market's players. Quantized profile data can stand alone. Dyed in the wool profile traders might enjoy a profile methodology that is more analytical..

Profile reference points in balanced markets can show internal market bias and directionality, information not available from the market condition analyses. The end result of a day's Value Analytics analysis is a knowledge base from which traders can construct a comprehensive trading strategy, their set-up for the next day.

mzvega May 5, 2014 4:38am | Post# 13

Value Analytics (tm): A New Paradigm in Profile Analysis

Donald L. Jones
CISCO Futures©
September 10, 2007

The First Market Profile
The profile era was introduced via a product announcement by the CBOT in 1985 (CBOT Market Profile) Accompanying the announcement was a user's manual also named CBOT Market Profile. Profile analysis came from reading a price-volume chart, a 'market profile'. A profile chart for a run of the mill trading day formed a quasi-bell shaped curve of price on the vertical and trading volume on the horizontal, The central 70 percent of the day's volume was defined as the 'value area' (VAU to VAL) to conform with the first standard deviation of a gaussian (normal) distribution. Other chart elements were defined, such as the initial balance (price range of the first hour of trading), range extension (trading beyond the initial balance), tails (the high and low extreme price area of the profile), several day types, and more. The manual estimated that it would take six to twelve months to master the profiles and to trade effectively. The Market Profile, as advertised, is pattern recognition combined in a holistic shell. A later release of CBOT Market Profile (1991) is much more extensive than the 1985 version, but the holistic thrust is the same.

The impact of the profile concept in 1985 was huge. Many traders, this author included, felt they were getting an inside look at the details of markets. The profiles' creator, J.P. Steidlmayer, had developed an eminently readable graphic of a day's market activity. the viewer only needs to know that the letters (TPOs) represent half-hour time frames to be able to read the market's activity. Every trader was empowered by this new information.

By the late 1980's, early 1990's a reaction had set in. Many traders were saying "the profile does not work". What they meant was that the profile did not offer them a trading model. Profile was never sold by Steidlmayer as a trading model in any of his numerous publications. It is an information base. That means the user must still develop a model, a trading methodology from the valid, market generated data. Most found it difficult to take the step from the data to the holistic interpretation of that data. At CISCO we had difficulties of a more technical nature, the solutions of which ultimately led to Value Analytics and incidentally benefitted all profile traders.

Problems with Market Profile and their Resolution
The author's background in money management (1972 - 1988) generated a real appreciation for any method like Market Profile that could open up intra-day market anlaysis. But there were serious problems.

The first hitch came with the definition of Market Profile value. Value area is the price range defined by the central seventy percent of a day's (cleared) volume. In order to find value, we needed the volume: this was only available for CBOT markets (LDB data). We traded a portfolio of 24 futures, only a fraction of which were CBOT. I discussed the problem with an owner of the Market Logic School (an early source of training on Market Profile) and was assured that indeed, value could come only from volume. Nevertheless, we explored other avenues. By 1987 we had developed the Tick-TPO, or Meta-Profile methodology which proved valid for value determination in all auction markets .

Meta-Profile removed our dependence on CBOT LDB data and also became the industry de-facto standard for day value. Meta-Profile is reported in the subsequent 1991 Market Profile manual, (Ref 4, P33 "Steidlmayer says....") and in Mind Over Markets 1990 in Appendix 1, also without attribution. The examples of Market Profile we have seen from the wire services all use value area found from TPO's, not cleared volume.

Then we ran into a bigger snag--we could not find valid market condition from a single day's data, as claimed in the 1985 CBOT manual. We found a surprising variation in profiles from day to day, even in balanced markets. The intra-day movement was sometimes so large that a five day set of data could look like three days of down and then three days up or vice versa. Linearly combining the five days into one large profile (overlay) might well show balance (see figure 2a. in the Appendix). These findings led to development of the Overlay Demand Curve

Our studies of Overlays showed that recognizing and measuring balance required a minimum of three sequential days of profiles. An unanticipated benefit from the studies is that balance also locates the upper and lower limits of value, i.e. the classical resistance and support levels. These market turning points are time frame sensitive, having different values for different balance periods. The importance of market condition, balance in particular, is that without this information one is trading blind. You need to know that your market is congesting if you are a responsive trader (who wants to fade a trend?). Trend trading in a congestion is equally unrewarding.

As a researcher first and a trader second I became sidetracked. I saw that condition was the starting point, not the profile. Balanced markets should be traded one way, while movement out of balance required trading another way. In fact, for the average trader, a knowledge of market condition is the most important piece of information possible.

For some years CISCO has offered training courses based on market condition. We assumed that self professed "profile traders" who took our courses and bought our trading data were competent in profile methodology, needing only intra-day generation of meta-profiles to exercise their strategies. Queries from customers ultimately led to our realization that few of these traders followed the original profile holistic model. We are continually being asked for quantitative ways of understanding the profile reference points. We have lately come to believe that the requirements of the holistic profile model are beyond the capabilities of the majority of traders.

Thus was born Value Analytics: The keystone is market condition. Market internals, the reference points (some 30 of them), are the the filler, the elements showing a market's stress and its directionality. Value Analytics does require a certain trading maturity to learn and master. It is not the pie-in-the-sky method sought by many beginners. It is a professional, logically based way to obtain the market information on which to build a systematic trading strategy, as detailed below.

Value Analytics and Market Condition
Value Analytics first finds market value (Part 1) and then, in Part 2, quantitizes the profile reference points so they can be used to determine the market flow. There are limitations. Many profile reference points are poorly defined in unbalanced (trending) markets. For instance, value area has little meaning in a trend. The standard definition of value area (the central seventy percent of volume or TPOs) fails in a trend, in part, because there is no central grouping about which to locate the middle price (point of control).

Within a certain time period, say ten days, the ten day time frame may be in balance, while the most recent four days are trending. There is a value area for the ten day period, none for the four.

you can read the article in its entirety here
http://www.ciscofutures.com/value_analytics.html

Jer21 May 5, 2014 6:20pm | Post# 14

Hello,

I just wanted to say sorry for putting you in a tough spot in the other thread. I've definitely done my homework on this complex issue but words just came out wrong when I needed to justify my self. I rather trade/backtest than go into a unproductive debate. But I'm very honored to be a part of this learning process and I'm here to listen/improve.

Thank you very much!

mzvega May 6, 2014 12:35pm | Post# 15

Hello, I just wanted to say sorry for putting you in a tough spot in the other thread. I've definitely done my homework on this complex issue but words just came out wrong when I needed to justify my self. I rather trade/backtest than go into a unproductive debate. But I'm very honored to be a part of this learning process and I'm here to listen/improve. Thank you very much!
Thanx, I appreciate the support
That thread hasn’t been on topic for quite awhile. I’m trying to lure a few of the old members back. We’ve continued discuss the topic, they too have done the same research and use AMVT as applies to tick only based markets. They also understand that the MP “70% area” concept of value does not apply for “overlays” or merged profiles. As well as the other differences in analysis. But you can’t debate with someone who won’t provide a reference.

This Quote comes from the forward page of:
“Steidlmayer on Markets Trading with Market Profile” 2nd edition…..The “Forward”

“Market Profile is the product of a professional floor trader's ability to communicate the pit trading experience symbolically in chart form.
Here is how this is accomplished.

The standard 30-minute bar chart automatically moves to the right to start a new bar every 30 minutes. The horizontal dimension in this chart is automatic, dictated by “chronological time”, not market activity.

The involuntary nature of this action “inhibits the ability of the bar chart to communicate market activity in the horizontal”. This limitation is analogous to trying to communicate detail or nuance using only nouns and verbs but no adjectives or adverbs—less than adequate communication.

Market Profile has no “chronological restriction”. It expands horizontally only when prices repeat. Horizontal expansion of the chart reflects only market activity, never chronological activity (the passage of time). Market Profile more clearly illustrates to the trader a new directional move beginning in a dead market or a directional move losing momentum. The feel of the market is objectively illustrated using the horizontal dimension.”
Jim Mayer—President
Mayer Investments"

The horizontal dimension (nature) of Bar charts is automatically dictated by “chronological time”, not market activity. Anything & everything plotted “at price” on a MT4 time series chart is dictated by “chronological time” This includes vol/ticks plotted “at price”

Market Profile/AMVT TPO’s have no “chronological restrictions”.

This is why you can’t manipulate volume profiles (histograms) in the same manner as you do TPO’s.
TPO’s (Frequency of occurrence) frequency data is not the same type of data that “tick vol at price” is. They are governed by a different very different set of rules.

That’s what ran off the creator of the indicator (Bandung) from the thread, all the impossible indicator requests. You can’t manipulate “tick volume at price” data, the way you do frequency data. One is governed by time the other is not
No matter how you try to explain it, they don’t want to hear it. You can’t argue with them however, it is amusing to watch them try………sshhhh they don't get it yet

mzvega May 6, 2014 2:58pm | Post# 16

There is a Chapter in the same book called:
“Understanding Volume @ Time”.

I like the way that sounds “Understanding Volume @ Time”.
Just to clarify, it says “Volume at Time” it does NOT say:
Volume at Price

“Volume @ time analysis”
“Steidlmayer on Markets Trading with Market Profile” 2nd edition page 106

“Volume @ time analysis” throws out the volume information for inside and outside half-hours. Volume for inside and outside half-hour bars is not direction calculated because it is not assignable. It defines a half-hour rotation up as money flow into the stock or commodity, and a half-hour rotation down as money flow out of the stock or commodity. Thus, from a daily Market Profile perspective, one can look at all the half-hour rotations up/down with their corresponding volume and define a net money flow for the defined unit. Figure 7—5 is a printout of the “volume @ time” information generated from Capflow32. In the upper left hand corner of the spreadsheet is the name of the underlying (in this case CAT, Caterpillar stock). In this printout, focus on the column heading Vol($), which gives us “volume dollars over” the past 22 units (each line bottom to top represents a profile 22 units back to the most recent).

“Steidlmayer on Markets Trading with Market Profile” 2nd edition page 98

“Owing to the fact LDB is available only on CBOT contracts, I offer only a cursory overview of the topic. A great deal of information is generated from the LDB report; however, I cannot justify dedicating a great amount of time and space to something that has such a limited scope. For those interested in getting an in-depth review of this topic please refer back to the original Steidlmayer on Markets or contact Don Jones @Cisco-futures.com."

Cisco-Futures has established that Volume analysis is not applicable to tick-only based markets (e.g. Foreign Exchange)

“Price + Time” & “Volume @ time”(contract volume) is used for CME/MP analysis.

A “volume at price” histogram” isn’t using the concept of volume in the same “context” described in
The book. It’s used for “off-chart analysis” not to be displayed on a chart. And even if it is, you can’t plot it “at price”.
I don’t debate that you can use it to trade, I my argument is that it’s not AMVT/MP related.

“Steidlmayer on Markets Trading with Market Profile” 2nd edition page 25
“Price + Time = Value”
He did not say Time = Vol

He uses “Volume @ Time” not “Volume @ Price”

CurrencyAnalyst May 6, 2014 2:59pm | Post# 17

according to the CME the spot currency market is slowly being overtaken by currency futures. I trade currency futures as the spot world at the retail level still to this day is broker manipulated at the customer execution level. I bring this up as I see this type analysis relies on the futures data. Trading cost for the futures is not that bad with the big brokers, and you don't have to be concerned with the typical spot problems. Also having access to raw futures data is superior to EOD free providers.

mzvega May 6, 2014 4:08pm | Post# 18

1 Attachment(s)
according to the CME the spot currency market is slowly being overtaken by currency futures. I trade currency futures as the spot world at the retail level still to this day is broker manipulated at the customer execution level. I bring this up as I see this type analysis relies on the futures data. Trading cost for the futures is not that bad with the big brokers, and you don't have to be concerned with the typical spot problems. Also having access to raw futures data is superior to EOD free providers.
Thanks for posting......
If you are trading a Futures Contract or a Volume based market, yes, your analysis would be dependent to Futures Data. However, if your trading in a tick-only based market such as FX your analysis is dependent only on tick data. It uses tick/price data, not tick volume.

I do agree with you in the sense that it can be "broker manipulated at the customer execution level". However, I'm not one of those that think my Broker is out to get me. Its in his best interest that I'm profitable.

I somewhat disagree that futures will be overtaken. However, I cant say I've done any research lately. I posted an article in a previous thread "Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?"

In a nutshell, imo, the CME in total, only has a few Billion dollars worth of volume total. imo, I don't think that a few big fish, in a pond of a few billion dollars, hardly make enough waves to affect or determine how the tide flows in a trillion dollar Ocean.
I formed that opinion awhile ago.......however, please feel free to share any info you might have about the subject. I only trade FX, AMVT is more about "Frequency" not volume. I'm not dependent on the use of volume.
Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets.pdf

CurrencyAnalyst May 6, 2014 4:33pm | Post# 19

What I found between the two Spot Vs Futures is as far as Lead Lag function goes. It is normal to have a 10 PIP/TIC differential most of the time. Remember futures is thinking with forward in time price participation with the exception of the front month being the 10+/- roughly lag lead area. It is also of value to see when the figures get real close together. Most of the time this indicates some sort of close attention action is ready to unfold.

The funny thing for example is to have all the majors visible up on a big screen and watch the price magnetism polarity all these individual subsets engage with an orchestrated entanglement related by base currency marriage constantly day and night. Humans simply are not trading all the time.

This is obviously the HFT server racks at work all the time. even with virtually no indicated volume you will see the chase push pull price mechanism in action.
The reason the traded dollar value of off exchange is so high is that its virtually a private entanglement of buys and sells with only the most obvious participants feeding the disclosure of price flow to the rest of us. The CME is the physical part of this virtual dealing.

mzvega May 6, 2014 5:27pm | Post# 20

What I found between the two Spot Vs Futures is as far as Lead Lag function goes. It is normal to have a 10 PIP/TIC differential most of the time. Remember futures is thinking with forward in time price participation with the exception of the front month being the 10+/- roughly lag lead area. It is also of value to see when the figures get real close together. Most of the time this indicates some sort of close attention action is ready to unfold. The funny thing for example is to have all the majors visible up on a big screen and watch the price...
I apologize for my ignorance, as a lot of that went way beyond my scope of knowledge. I never thought Id say this but, I appreciate the simplicity of "Auction Market Value Analytics" for FX. "Price Time" data is all that is needed to perform analysis. Cisco Futures stopped providing LDB data a long time ago, that after examining years of data established it didn't provide any informative insight or edge in AMVT analysis. So the concept of volume is non issue in AMVT. Don Jones is a "scientist". One of the fundamental differences of Auction Market Theory from Capital Market Theory & Mathematical Fundamentalism, is that it views & analyzes the market using scientific methods rather than the methods used in Financial Theory. We view the market from two very different perspectives......


© Forex Factory