Auction Market Theory and Market Profile

Any occurrence of trading in a period creates a TPO at that price. (A TPO is a Time Price Opportunity, or, for Meta-Profiles, That Price Occurred). So the profile is a frequency distribution.

Each x or letter signifies that that price was traded at least once in the specified half-hour. An x or letter is called a TPO (Time Price Opportunity, or That Price Occurred). No matter how many times a particular price trades in a specified half-hour period, only one TPO is recorded. A TPO has nothing at all to do with volume.

It doesn’t matter what you read, all authors from Steildmayer, CME MP, Dalton, all used tpo analysis, in “conjunction” with pattern recognition. Jones more analytical. He doesn’t subscribe to the “holistic” approach of pattern recognition. And approaches it from strictly an analytical perspective “Looking at a picture of the data” can’t tell you anything, about the market's condition.

Tpo's are a way of looking at the frequency in which prices are "used". A TPO is the smallest market "unit" used in AMVT. By breaking down the distribution into units you have quantifiable measures in which to do analysis. By counting top’s (looking at the frequency of prices used) above & below the POC is a way of measuring demand.

Frequency of “prices used” tell you where the auction begin & ends. Depending on whether or not you looking at the Minor auction (day TF) & Major Auction (LTF). By studying, in the minor auction, what % of the distribution range IB, tpo counts above the IB, etc., etc., give you a quantifiable measure of whose in control of the minor.TPO analysis within the balance etc., etc. The major auction doesn’t use a 70% value area TPO's. The frequency of prices used, determine where the auction begins & ends. You monitor the reference data for changes in it's relative position than, rather than its absolute values. This data is considered as "Market internals". There are other reference points used.

The major auction is also displayed as a rotational profile. Same concept, but each letter of profile is represented by a day. We are on the same page with tick volume being of no use. Because you can’t "assign" direction to it, you can’t quantify chart patterns. However, by breaking the distribution into units (TPO's) you can go from "qualitative", to "quantitative" analysis.


TPO analysis gives you a method for finding the market's stress and its directionality. Quantifiable measures of length of time & price range of the distributions. The amplitude, range & time as well. Trades aren’t based on what I think price “should” do. Rather I trade what the data supports.

It also offers a quantitative methodology for actually "testing" your ideas on the importance of balance dynamics. I’ll take a "quantifiable" guess, over pattern recognition guess any day.

TPO methodology removes dependence on the concept of volume. That’s why Tpo analysis has always been used in tick based markets that report no volume.

30 minute data is the only data needed and a set of basic math skills.
Last time I checked tick data was free………………….

“Steidlmayer on Markets Trading with Market Profile” 2nd edition page 51

“A TPO is a price that the market took an opportunity to trade at during a specific 30-minute period”

“Steidlmayer on Markets Trading with Market Profile” 2nd edition page 57

“The Market Profile presents a number of basic elements of
the market in a rapidly understood graphic form. The smallest possible unit is the TPO—a single letter representing a trade occurring at a given price at a given time”

“Steidlmayer on Markets Trading with Market Profile” 2nd edition page 73

"What is the internal time clock of the market? It is a tool de-
veloped to measure the recurrence of prices traded over time.
How does it work? It looks at the timeslots used or total number
of letters accumulated across the wide TPO point of the data
mass being measured and assigns that number to the structure"

CME Market profile Handbook page 11

“No matter what the character, each symbol in the profile graphic
represents a time/price opportunity-TPO for short. A TPO is an
opportunity created by the market at a certain time at a certain
price.”

CME Market profile Handbook page 35

“How do you find the imbalance? Look at page 38 on the left.
Use the fairest price in the value area—the price that trades in the most time brackets-as your reference point. If more than one price trades in the same number of time brackets, choose the one closest to the mid-point of the entire range.
We're taking the one closest to the mid-point of the entire range because, as you saw in the example we just went through, the market uses the entire range to find value. It establishes parameters and then negotiates along the entire range
Draw a line through the TPOs opposite the fairest price.
Now count all the double prints above the fairest price and all the double prints below it. (Double prints refer to any row of TPOs opposite a price in the day's range with two or more TPOs in it.) We're counting TPOs because they represent market activity. In this example, there are 70 above and 89 below.
The imbalance we are looking for is on the side with the least amount of activity because the longer-term trader is only a small percentage of total trade in the value area.”

“Mind over markets” page 11

"Organizing the Day
The basic building blocks of the Market Profile are called Time Price Oppertunities or IPO's. Each half hour of the trading day is designated by a letter. If a certain price is traded during a given half hour. the corr rsponndnn? letter. or TPO, is marked next to the price.”

“Mind over markets” page 15

"The longest line of TPOs closest to the center of the range is
called the point of control. This is the price where the most activity
occurred during the day, and it is therefore the fairest
price in the day timeframe. The greatest amount of time was
spent trading at that price, signifying greatest value. This concept
will be further developed later, for it is of great importance
in monitoring other timeframe activity in the day
timeframe."

“Markets in profile” page 24

“The value area mentioned previously, a fundamental element of the
market profile, is defined as the range of prices that includes 70 percent of
all TPOs in a profile—the prices that saw the most activity, as witnessed
by the greatest accumulation of individual time-period letters.

“Markets in profile” page 22

As the market passes through various
price points, the letter designating the current time period appears beside
those prices. Over time, the letters (known as time-price opportunities
or TPOs) accumulate, creating a graphic view of the day’s distribution
curve. Once again, this concept is the same for any of the timeframes mentioned above”

And now we come full circle, Yo' Daddy says that if you an indepth review ask Jones.

“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."

Don Jones Cisco-Futures
"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, 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.”

You can’t assign direction to “tick Vol”, only Cleared volume. LDB Volume Report is released once a day, unless you purchase it, through the exchange, you’ll never see it. It’s not available in real-time. None of the experts say that “it is” volume, it says that TPO “Analysis” is a methodology used to measure activity, not that a TPO “represents” volume “itself”. Auction Market Analysis is called “Analysis” for a reason. Pattern recognition doesn’t apply……………..This is a tick only based market, the CME MP concept of volume doesn’t apply here. TPO analysis does. You don’t use volume; you’re looking at a picture of it. Pattern recognition isn’t “Analysis”……………

You use the word “Volume” but are clueless to its context. Read the text in between the words. All you see is the word “volume”, but refuse to continue to see how it’s “used”. If you read the book you’ll see it’s not, TPO’s are for analysis. Nowhere does it say a TPO equals volume. Its shows you how to use TPO’s. You don’t analyze data, you’re just looking at it. What type of “Analysis” are you actually performing? You look & guess. “Analysis” requires the “use” of data.

A “way of looking” at volume, does not mean “it is” volume.

{quote} Infinitus and I are right. You admit that you were wrong when you said that TPO methodology removes dependence on the concept volume. END/ [/quote]

Stop being schizophrenic, your multiple personality disorder caused you to forgot to tell the other one, that Don Jones at Cisco-Futures made that quote. I just posted it along with its source, reason for the "Quotation" marks http://www.forexfactory.com/showthre...00#post7461400​

If you're not dependent on it, and you dont use it, it is irrelevant. Auction Market Anaysis uses TPO's. Frequency is not cleared VOLUME.
I forgot you can only read "pictures"

After updating mt4, I can't get any MP indicators to load, especially the ex ones. Help please?

Thanks.

“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."

MsVega, I sent you a PM, but I will post it here too. I want to look at this in the following weeks. Are there MT4 indicators that I use for this? Thank you for your patience in dealing with the bickering. The information you post is relevant and I hope you do not stop.

Thanks, appreciate the template. I've been looking for decent volume indicators for some time.

When all is so clear, well, explainable with the AMT, and the wisdom MzVega shares here,

so please, everyone, why is it, that the following of the words (word by word) of her god-fathers lead to a draw down in her portfolio of over 50% in a short order of time?

Yep, right, eventually she is right at the end and prices do her a favour by mean reverting.......

Her max. return drawdown is nearly 80%. Ridiculous.....

Nice strategy

I’m sure I’m not the only one affected by some of the recent changes at mq4. If you followed the thread you’d know I started that explorer to test my “analysis”.
http://www.forexfactory.com/showthre...97#post7177497

With the mq4 debacle I lost my ability to do analysis, as it was dependent on data from v1.32. So until I get my spreadsheets, recalculated to fit a different data type, that account is the least of my concerns. So that explorer has served its purpose, I know how I trade using a strictly analytical approach, and without.

But you’re right that’s neither here nor there. However that “Gaussian” assumption of mean reversion” of yours belongs to “Capital Market Theory” not “Auction Market Theory”.
Without using much effort it still, beats the hell out of your absolute NOTHINGNESS,……..at least I trade.

Hi All, sorry if it sounds abit silly, am new to these indicators. What's the difference between TPO and TPO-range, that are being posted. I have the same settings on 43200, but it looks very different.