CBOT Market Profile

There's an MP indicator here for Ninja Trader:

http://http://www.ninjatrader-suppor...ad.php?p=35427

Not real fancy but, it works pretty darn well...and it's free! LOL.

You will have to play around with it a bit to set it to your liking.

Enjoy!

Great MP info here in this review of Dalton's Markets In Profile:

http://www.traderslaboratory.com/for...view-3605.html

Rabid, or anyone else who knows MP well...

I'm trawling through Mind over Markets. Slowly, it has to be said but at least not as slow as the CBOT manual. I've got a couple of questions though as I'm working my way through. MP is based on the futures market, and while there's obviously similarities, because spot FX doesn't rely on dealers so much as brokers, isn't the role of the locals diminished? Does the difference in market structure make a difference to the theory?

Also, there's a lot of significance around the open. That leaves a toss up of using 00:00GMT or the start of the European or London session (7 or 8amGMT). What have you found to be most effective?

good thread btw.

There are distinct differences, but they don't invalidate the approach. The biggest difference is the 24 hour market, versus a single session market, but you can adjust to that. Each pair also has a particular skew to it that will change things a little. There are still locals in FX, they're the guys that make the spread. Altho sometimes even the locals stand aside, and you get a 0 timeframe market. That's very telling if you ever see it (usually happens right before a huge news release and can tell you the relative importance of certain news events).

Don't get hung up on the specifics of the graphic or it's application, the core concepts of price thru time, imbalance, context and reversal areas are what matter the most.

For instance the "single print" concepts in the market profile work, but I've found half hour sessions to be less reliable. Either 15 minute sessions or 60 minute sessions seem to work the best. So a single print on the M15 or M60 while price is making new rotational highs can be very telling. While double or triple prints indicate the market is accepting the value and might be entering a rotational period.


Depends on the pair you're using. It seems that the first session of high volatility should be the "open" ... well, atleast for the european pairs which I'm most familiar with. I basically break down the market into 4 sessions. 4pm eastern to around midnite eastern, midnight to 7am GMT, 7am GMT to the US open at 7am/8am EST and then 7am EST to 4pm EST.

When I get ready to trade I take a look at the pairs I trade and find the strongest and weakest pairs. Take a look at the context of those 2 on the daily to look for ranging action, look at the 2-day patterns (well, closer to 36 hours probably) then look at how the previous "session" behaved. Based on that I can determine the level of imbalance and whether the day will likely range, stairstep, trend, etc. It also gives me a clear direction to start with, and the pair I should be using for that direction.

As the day progresses I pay less attention to the last session and more attention to this session. I carefully watch whether breakouts have follow thru, whether one particular side is taking a breather, if price is stalling, whether we've gone too far and are pricing in excess, etc, etc. Combined with the day type I can take a trade that matches. Shorter TPs and smaller ROIs for ranging days, longer TPs and exit conditions on trend days, etc. If I think the market is getting too funky (like if the price falls way short of a small TP in a ranging day) I'll usually close profits quickly and be done for the session.

The next session starts all over again. If price is going to reverse it's going to do so going into the new session, and then sometimes after that session has opened and reached equilibrium. If price is moving sideways you might get a breakout followed by a double distribution trend day, etc, etc. So basically you start all over again each session and watch for signs.

Thanks for sharing your approach to a typical trading
day, Rabid! That's really helpful.

More people need to check into what's being examined
in our thread here. Speaking for myself, it's really helping
to turn things around for me. It's really liberating, too.
You only need your eyes and brain...actually the less
brain the better. LOL! After you use the graphic a bit
and see what's going on, in terms of auction activity,
you can completely get rid of the graphic. How sweet
is that?

Good Trading Everyone!
Brent

I'll echo that, a great insight into how you're trading Rabid and useful, generous advice.
And Brent - sounds very promising - I'll drop by once I've had a bit of time to apply all this to my trading.

Big news release before 8am, right? ECB rate change and all that. Price kicks out below the previous day's low, but what happens? It doesn't follow thru. It rejects the daily low w/ a strong tail. That's a sign of excess, it's the market going "ok, this is too low."

Price opened in balance with no leading movement.

If you look carefully you'll notice that the 30m bar (which worked extremely well here, just goes to show how important it is to pay attention to multiple TFs) has a nice tail, followed by a range rejection and price coming right back to the center of the range... aka the PoC.

Put a buy stop slightly above the bar, put the SL at the end the bar, put the TP at the PoC. Classic MP trade.

Nice, looking at the same at the moment.
Wouldn't placing TP at the top of the range (blue arrow) been a reasonable assumption (harry hindsight talking here), given that the past few sessions have all been showing balance around the same levels and there was a test earlier on of the same area?

Nod, you can. It's a matter of personal taste, I only set TPs in ranging conditions and then prefer to set them where I know they'll get hit. In this case it would've worked well, not sure how well that change would forward test tho.

Right now price is playing around the low. Could prove to be a very nice day.

Good call, Rabid!

Question:

Would you say that more of your trading is
Range Extension or Intra-Profile?

For myself, Range Extension is much easier
to trade. Seems like MP books tend to favor
regression-style trades though.

Have a good one!

Here's an updated link to the MP Tutorial:
(you may need to provide e-mail to view it though. I'm not sure)

http://www.cmegroup.com/education/in...ile/index.html

The more I use MP and study auction theory the more I like it!

"The Auction" at the beginning of Mind Over Markets is opening my eyes.

...Duh!

Oh well, I never claimed to be a fast study...or be aware of the 600 lb. gorilla in the room. LOL.

MP and VP are great, which platform do u use?

Lubo.

Hi Lubo,

I use mostly Ninja with either the Market Profile-ish Calculate Value Area Histogram, MarketProfile1.2 or (best yet) no MP graphic...just application of the auction theory. As a MP (and otherwise) neophite I can't really say much more. Maybe Rabid or others can say more. Rabid's already really spelled things out nicely on this thread. You no doubt have much more experience than me with it. I am happy though to be replacing the current "foundation" of my trading - past data - with auction theory.

I am not really too familiar on auction theory, I read some parts of the handbook on MP, but it seemed to me littel intricate, and i give up the full theory on MP.
I like more to trade with VP looking at high volume area for support & resistence, low volume area for price rejection, adding to it the VSA.
I tried a lot of platforms that included MP and VP, like Market Delta, an out of the box platform, that provides also the volume Footprint (there's a version also fo NT), but those platforms generally are not so user friendly, and needed a datafeeder to work good, and generally those complex tools work fine with an instrument that provide a bid ask quote, so not so useful with forex data.
So I went back to NT,(more simple and with free data) and use dValueArea, and calculate value are, with some change. I also use an indi that provides the delta bars (or eventually tick bars), called GomCD, that i come across on NT fourum.
Finally, I try to use a comprehensive Volume system.

Lubo.

P.s Where I can, I use future currencies data, like Euro Future, cause all volume indis work better if there are traded contracts.

The thing about MP, it's an intra-day strategy. That means you need to "qualify" the day a bit by focusing on high potential days, and ignoring lower potential days.

A lot of classical day trading approaches work w/ MP. Gap trading, a well-tested approach to trading stocks, is such an example.

There's a lot of ways you can "qualify" your trading in FX. Bar patterns, trend line placement, overnight action, previous-day reversals, etc. But doing so means giving up slower trading days, an act that by itself, will dramatically improve your results.

Hell oRabid

I just want to ask you how you determine strongest and weakest pairs...?

Thank you

Lot of ways you can do it. You can look at momentum and compare a "triangle" to get the strongest and weakest. Or you can just trade off shorter term patterns and wait for a good setup. Depends on how your brain works.

hello

mates you who know and understend market profile, could you please more often post the chart with those market profile indicators and comment so rest of us can learn from you?

Thank you in advance

If u like to trade with MP indicator, go here http://www.traderslaboratory.com/forums/f6/mp-for-the-metatrader-4-platform-5668.html#post63811.

It looks great.

Lubo.

P.s. He's is from Italy!!