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CBOT Market Profile

  • #1
  • First Post: Jul 14, 2007 1:41am Jul 14, 2007 1:41am
Does anyone use Market Profile in the Forex market? Apparently it works well on Indexes. See reference: [ http://www.cbot.com/cbot/pub/page/0,3181,1184,00.html ]

I have coded my own interpretation of MP in OmniTrader Pro (see attached), but at a first glance I think that it would work very well on quiet days, but on a major news day it probably wouldn't.

I would appreciate your views.

PS. for some reason I cannot attach a picture, but check the reference for an idea.
  • #2
  • Dec 26, 2008 5:15am Dec 26, 2008 5:15am
I recently found this nice Ninja Trader version
of a Market Profile presentation for the charts.

Interesting stuff (IMO).

Seems like a reasonable way to help reveal potential
S/R areas. Maybe a MTF view of things using the setup
could be useful also.

Hope everyone is having a great holiday season!
Brent
Attached Image (click to enlarge)
Click to Enlarge Name: NTMP.png Size: 35 KB
  • #3
  • Dec 26, 2008 5:28am Dec 26, 2008 5:28am
Quoting FXSurfer
I recently found this nice Ninja Trader version
of a Market Profile presentation for the charts.

Interesting stuff (IMO).

Seems like a reasonable way to help reveal potential
S/R areas. Maybe a MTF view of things using the setup
could be useful also.

Hope everyone is having a great holiday season!
Brent
Can you upload the .mq4 for that please? Thanks.
  • #4
  • Dec 26, 2008 6:17am Dec 26, 2008 6:17am
Quoting FXSurfer
I recently found this nice Ninja Trader version
of a Market Profile presentation for the charts.

Interesting stuff (IMO).

Seems like a reasonable way to help reveal potential
S/R areas. Maybe a MTF view of things using the setup
could be useful also.

Hope everyone is having a great holiday season!
Brent
Am I assuming correctly, the larger green bars indicate higher concentration of activity at that level?

Leon

Ps. @pistoldave >> It is not an MT4 indicator, it is for the Ninja Trader platform.
Living the adventure in my head.
  • #5
  • Dec 26, 2008 6:35am Dec 26, 2008 6:35am
Quoting Leonlorenzo
Am I assuming correctly, the larger green bars indicate higher concentration of activity at that level?

Leon

Ps. @pistoldave >> It is not an MT4 indicator, it is for the Ninja Trader platform.
Hi Leon! How are you doing?

You are correct! It's letting you see how much time is being
spend at the different price levels.

Hi PistolD!

Leon speaks the truth. NT doesn't use .mq4 and I don't
use MT4 much.

I did find this Market Profile .mq4 but I can't get it to do
anything on MT4. I'll play with it to try and get it to work.
Meanwhile, here it is for you to try. If you find anything
else, maybe you can post it here for others.

Have a good one!
Brent
Attached File(s)
File Type: mq4 market profile.mq4   5 KB | 2,157 downloads
  • #6
  • Dec 26, 2008 6:47am Dec 26, 2008 6:47am
Quoting FXSurfer
Hi Leon! How are you doing?

You are correct! It's letting you see how much time is being
spend at the different price levels.

Hi PistolD!

Leon speaks the truth. NT doesn't use .mq4 and I don't
use MT4 much.
Brent
Im not too bad Brent, thanks for asking.

How are things going for you? Any new trading idea's your looking in to?

I can see how the 'market profile' would be usefull, at the end of the day though Its nothing that cant be seen on a Candle chart.
I quite like MT4, easy to use, all charts and Tfs in one window. Its a great bargain for free, lol.

You should stop by my journal and say hi. Are you Involved with Cyrox anymore?

Leon
Living the adventure in my head.
  • #7
  • Dec 26, 2008 7:04am Dec 26, 2008 7:04am
Quoting Leonlorenzo
Im not too bad Brent, thanks for asking.

How are things going for you? Any new trading idea's your looking in to?

I can see how the 'market profile' would be usefull, at the end of the day though Its nothing that cant be seen on a Candle chart.
I quite like MT4, easy to use, all charts and Tfs in one window. Its a great bargain for free, lol.

You should stop by my journal and say hi. Are you Involved with Cyrox anymore?

Leon
Going pretty well, Leon.

Yeah, just trying to examine different ways of scouting
out S/R and basing my trading on what the market is
doing. Instead of fabricating a bunch of nonsense. LOL!

Not doing much with any particular group right now.
J16 is where I'm trying to get a lot of my direction from.
Really good stuff there!

Thanks for the invite to your thread! I'll definitely drop
by and say hello.

Cheers!
Brent
  • #8
  • Dec 26, 2008 8:57am Dec 26, 2008 8:57am
If you don't mind me asking, did you get that off the ninja board?

I see TPO annotation in the top left, but is it really TPO count, or volume profile?
  • #9
  • Dec 26, 2008 7:11pm Dec 26, 2008 7:11pm
Hi Leon.... you look different these days, LOL.

Hi FXsurfer; got your message on my journal so I thought I'd pop by.

I thought the CBOT e-book had some good info, especially the background stuff about how long-term traders are looking for "unfair prices" while the short term traders are seeking a "fair" price, and how they trade with each other. I also liked the ideas about looking for how price reacts at critical points such as the edges of the value area and so forth.

On the downside, the thing was wayyyyyyyyy too long for the info that it had in it. Over a hundred pages to explain over and over again that the market alternates between trending periods and consolidation, and that it's hard to tell the difference at first. Errrm, I knew that 20 years ago LOL. Seemed like he was rehashing the same concepts with different terms, and I ended up skimming the last third of it.

If anyone happened to find any good gems in there that I probably missed, let us know! Maybe if others got more out of it than I did I'll go back through it more carefully.

Out for now...

  • #10
  • Dec 26, 2008 7:18pm Dec 26, 2008 7:18pm
Hi P#,

Yes. It's from the NT Forum.

There are a few Market Profile inspired creations floating
around there. I can't find the thread that I got mine from
but, a new version is here (if the link works):
http://www.ninjatrader-support2.com/...49&postcount=2

I'm not to well versed in the whole MP thing but, as I said, I'm
just more interested in the concept to apply some portions
of it, that may be applicable, to forex. The "volume" in forex
is obviously not the same. On the chart that I posted I think
it's TPO. The new version on the link that I just posted seems
to include tick volume as an option.

Just some stuff to play around with and maybe broaden our
horizons.

Cheers!
Brent
  • #11
  • Dec 26, 2008 7:43pm Dec 26, 2008 7:43pm
Quoting capitalist88
I also liked the ideas about looking for how price reacts at critical points such as the edges of the value area and so forth.
This is the main observation and area of interest to me.

It really seems to work pretty well to help identify pivot areas
and (at least potential) reactionary areas.

Thanks so much for the input and for stopping by!

All the best,
Brent
  • #12
  • Dec 26, 2008 7:53pm Dec 26, 2008 7:53pm
There's a whole slew of trading concepts related to market profile, the graphic itself means nothing if taken out of context, and is only a representation of higher-order concepts. You can trade w/ market profile concepts w/o ever using the graphic, or, sadly... you can trade w/ just the graphic, w/o any of the concepts, and fail miserably in the process.

The stuff at the CBOT is good, but the book "Mind over Markets" is much much better. The basic idea of applying time as a critical element of price analysis should not be overlooked. Both "when" and "how long" price occurs gives you meaningful information about the nature of where the market wants to go, and whether or not a burst is sustainable. The TPO count (and PoC) is just a way of representing this information.

The best part of the CBOT book doesn't begin till about 60% of the way thru the book. They cover basic stuff at first. Until you get into day types, the material is a complete rehash and not all that useful. But once you see how price tests and imbalances can tell you in advance when a day will range versus when it'll probably trend, the material starts being useful. For a free book written in the 80s, it's not bad... but there are better ones out there. Sadly most ppl will only cover the first 50 pages then zone out, missing the best stuff.
  • #13
  • Dec 26, 2008 8:21pm Dec 26, 2008 8:21pm
Hi Rabid!

There are so many interesting topics and concepts presented
in Mind Over Markets. A favorite of mine is how the market is
is constantly seeking trade facilitation and revealing itself
through acceptance and rejection.
I guess you have Steidlmayer and Koy's "Markets and Market Logic"?
I love that one.

Thanks for sharing your thoughts!
Brent
  • #14
  • Dec 27, 2008 12:19am Dec 27, 2008 12:19am
Market Profile ey?

http://www.enthios.com/price_histogram.htm
Attached Image (click to enlarge)
Click to Enlarge Name: 6E 03-09 25_12_2008 (1 Min).png Size: 57 KB
  • #15
  • Dec 27, 2008 2:08am Dec 27, 2008 2:08am
Quoting hanz
Market Profile ey?

http://www.enthios.com/price_histogram.htm

That page was excellent! Very clear explanation of how to use the MP data in trading and it took only about 5 minutes to go through it.
  • #16
  • Dec 27, 2008 3:05am Dec 27, 2008 3:05am
Quoting hanz
Market Profile ey?

http://www.enthios.com/price_histogram.htm
Great Hanz!

Thank You!
  • #17
  • Dec 27, 2008 4:06am Dec 27, 2008 4:06am
Thanks.

What was the file name of the zip you imported?
I can probably find it that way.
I have the ninja MP from fin-alg on my main machine but was looking for something that was free that I could put on another machine in another office.

I have to respectfully disagree about the CBOT handbook, while Dalton's books were great(really great), I believe the handbook is equally important. I never looked at any section as a rehash because these were concepts that were presented for the very first time. I look at Steidlmayer's work(the handbook) as the base of the pyramid, any and everything after that was built off that base.
  • #18
  • Dec 27, 2008 5:13am Dec 27, 2008 5:13am
Quoting Prime#
Thanks.

What was the file name of the zip you imported?
I can probably find it that way....

Here your go: CalculateValueAreaHistoV6

Just a price histogram and not a true MP chart but, pretty nice!

BTW: If anyone has Kaufman's Trading Systems and Methods
check out the overview of MP on page 458 in the Price Distribution
chapter. Well written overview IMO.

This is great stuff to study on soggy cold Seattle winter nights!
Attached File(s)
File Type: zip CalculateValueAreaHistoV6.zip   4 KB | 2,212 downloads
  • #19
  • Dec 27, 2008 5:38am Dec 27, 2008 5:38am
Quoting Prime#
I look at Steidlmayer's work(the handbook) as the base of the pyramid,
Pun intended? LOL!
  • #20
  • Dec 27, 2008 7:49am Dec 27, 2008 7:49am
Quote
I have to respectfully disagree about the CBOT handbook, while Dalton's books were great(really great), I believe the handbook is equally important. I never looked at any section as a rehash because these were concepts that were presented for the very first time. I look at Steidlmayer's work(the handbook) as the base of the pyramid, any and everything after that was built off that base.
Ok.

The concepts of ranging and trending weren't new at all, I have books dating back from from the 60s w/ those concepts. And while the MP graphic was certainly new, the concepts of "where price is comfortable" and "average price" were certainly not new... daily pivot points were nothing if not an attempt to calculate the previous average day's price.

Not to say the book isn't good tho, it's definately a worthwhile read, and when taken in context for the time it was written I definitely agree that there's a lot of new material there overall. It's just that the CBOT version starts very dry, and is hard to get thru.

Steidlmayer's work is a worthwhile read too. I just figure most ppl would benefit from newer adaptations as their first read since they cover the dry stuff more quickly, and approach the method as a method (allowing ppl to refine their own systems from it), rather than a set of disjointed parts with systems for each.

Quote
http://www.enthios.com/price_histogram.htm
Hrm... I don't think that covers even a fraction of the profile concepts. The market auction theory is key to understanding a day's balance between time frames. Without that, there's no way you could make the graphic profitable over time. Simply put there are days you should be fading the PoC (or taking the high/low breakout) and days you should be fading the extremes.

Understanding how to read balance/imbalance is what's made me consistently profitable, and given me a greater than 50% win rate.

If I had to summarize what I've learned from the MP, it wouldn't be a "take a short here, take a long here" type thing. It'd be a "the market has a sentiment that eventually reflects itself as price, if you learn to read the sentiment first you'll be better prepared to see opportunities as they arise."
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