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Auction Market Theory and Market Profile

  • #1,541
  • Apr 4, 2011 11:17am Apr 4, 2011 11:17am
Quoting mzvega
Good analysis!
I appreciate you sharing that view of the chart. For some reason I cant view the yearly that way. Interesting.... As per the basic MP set ups. I keep track what levels to look for and this was the analysis the info came up with the first day of the year on the open. I do this for yr, q, mon, wk,. But, its uncanny how traders did buy previous years val as per basic MP set up
I apolgize for my mistake I forgot to update the vol. But the years directional bias is Mod. Weak
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Markets are not efficient, rather they are effective - Jones
  • #1,542
  • Apr 4, 2011 11:21am Apr 4, 2011 11:21am
Quoting tgwhbb
here's the same chart but with the text height adjusted as per bandung's instructions. (that solved the sluggishness problem as well as read-ability).
Thanxs!!!! Ill print it up until I can figure it out. I have to go back and re read Bandungs instructions.
Markets are not efficient, rather they are effective - Jones
  • #1,543
  • Apr 4, 2011 11:56am Apr 4, 2011 11:56am
Quoting tgwhbb
here's the same chart but with the text height adjusted as per bandung's instructions. (that solved the sluggishness problem as well as read-ability).
I hope you dont mind, I sent you an email, I had an idea about IB range after I did alittle reasearch. Im curious about your opinion about the math, as I am no math wizard.
Markets are not efficient, rather they are effective - Jones
  • #1,544
  • Apr 4, 2011 12:55pm Apr 4, 2011 12:55pm
Quoting mzvega
I hope you dont mind, I sent you an email, I had an idea about IB range after I did alittle reasearch. Im curious about your opinion about the math, as I am no math wizard.
based on what i've found so far, the general consensus on IB extensions is the following:

IB = High - Low of first hour of trading
IBH = IB high
IBL = IB low

150% extensions: IBH + IB/2, IBL - IB/2 (aka half IB extension - HIBH, HIBL)
200% extensions: IBH + IB , IBL - IB (aka Double IB - DIBH or DIBL)

You could extrapolate the math and also have:

300% extensions: IBH + 2*IB, IBL - 2*IB
nth% extensions: IBH + (n-1)*IB, IBL - (n-1)*IB

the current version of my indi is plotting IBH, IBL, DIBH, and DIBL.

I plan to add HIBH and HIBL, and also plan to make it less cluttered but with that many lines it will be a challenge to keep it clean on anything above 5M charts - i'm playing around with vertical representation but still not liking it at the moment.

I also plan to add the same formulas to weekly IBs and extensions, and then eventually monthly, quarterly and even yearly...but one thing at a time as we are all mostly day/swing traders here.

Now, I have also come across another formula, apparently used by Steidlmayer in 'Steidlmayer on Markets'. I don't have the book, but the math is apparently as follows:

IB: same as above
A = IB/0.85
B= A-IB
Extension 1: IBH + B, IBL - B
Extension 2: IBH + A, IBL - A

I may add an option to plot those lines as well.
Change is the only constant
  • #1,545
  • Apr 4, 2011 1:34pm Apr 4, 2011 1:34pm
Quoting tgwhbb
based on what i've found so far, the general consensus on IB extensions is the following:

IB = High - Low of first hour of trading
IBH = IB high
IBL = IB low

150% extensions: IBH + IB/2, IBL - IB/2 (aka half IB extension - HIBH, HIBL)
200% extensions: IBH + IB , IBL - IB (aka Double IB - DIBH or DIBL)

You could extrapolate the math and also have:

300% extensions: IBH + 2*IB, IBL - 2*IB
nth% extensions: IBH + (n-1)*IB, IBL - (n-1)*IB

the current version of my indi is plotting IBH, IBL, DIBH, and DIBL.

I plan to add HIBH and HIBL, and...

Wow ! You really have done your homework, very impressive. If you can find the time to sit and view the 3 hour video, in the last hour he goes into discussing these measured moves. He saying the math out loud, I just cant put it in “expression”. The methodology is worth looking into imo. If I could figure it out, I would. @ 1h 40m into it he has an opinion about the history of the IB . Interesting little story.
Anyway, its great to hear you’re still working on the indicator. Your hard work and effort is much appreciated! I look forward to any updates you may share.
Markets are not efficient, rather they are effective - Jones
  • #1,546
  • Apr 4, 2011 1:43pm Apr 4, 2011 1:43pm
Hi all

Great thread, really interesting.

When I drag indicator onto 30m chart, nothing happens (I have enabled dll imports and downloaded the microsoft attachment) I am with FXCM

Any advice?
  • #1,547
  • Apr 4, 2011 3:11pm Apr 4, 2011 3:11pm
besides the crappy weather over here, and besides no trades taken, today is an excellent day for EU IMO! A normal distribution day with buying and selling tails (circled area), signaling no major threat to the current move, so the upside targets should still remain intact.

In fact, to further support that, today's VA was above last thursday's and even the buying tail was above Friday's VAH and thursday's POC. And on the bar chart with volume, today is looking like a no supply/test day.

There is a very nice long opportunity waiting down below around 4160, Friday's naked POC, and this level also coincides with the weekly VAH from last week, and weekly POC from 2 weeks ago.

There's important news coming out tomorrow apparently so a reasonable expectation is a dip to complete the structure and then move on similarly to Friday...the question which is how strong would that move be. Given the last 2 full weeks of balancing, its not unreasonable to think the move out of here will be strong. I'm hoping so, as i'm curious to see the reaction at 1.44 due to it being a LVN on the long term structure (see Sunday's post).
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Change is the only constant
  • #1,548
  • Apr 4, 2011 4:36pm Apr 4, 2011 4:36pm
Based on everything i've read, it appears double distribution days are quite rare. But could this be one of those rare occurences on USDJPY on Friday?

Based on the definition of a DD day, if the single print in between started getting filled, that signals a move back to the first distribution and maybe more given the apparent lack of a buying tail near Friday's first distribution's VAH, and the formation today of a non-trend structure.

That is what appears to be happening today on UJ, and that would make the naked POC below around 82.80 a nice looking target.

Full disclosure, i'm not trading this pair due to the interventions, using this more as a learning exercise.

Anyone have experience with DD type days?
Attached Image (click to enlarge)
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Change is the only constant
  • #1,549
  • Apr 4, 2011 5:32pm Apr 4, 2011 5:32pm
Quoting tgwhbb
Based on everything i've read, it appears double distribution days are quite rare. But could this be one of those rare occurences on USDJPY on Friday?

Based on the definition of a DD day, if the single print in between started getting filled, that signals a move back to the first distribution and maybe more given the apparent lack of a buying tail near Friday's first distribution's VAH, and the formation today of a non-trend structure.

That is what appears to be happening today on UJ, and that would make the naked POC below around 82.80 a nice...
I enjoy your analysis! I dont trade that pair at the moment, I just wanted to respond about "any experience about DD". Not so much experience, but an opinion.....

Context! Context! Context! IMO, we traders often when educating ourselves, we lose context. The authors "Context" we forget to consider. Alot of these traders were not forex traders, They traded stocks. Forex & Stocks are both trading instruments, but 2 totally different animals! NY stock market has open & closes, for example. Gaps are frequent. And we all read about Gap stradagies. Now, other than the weekend how often do you experience a gap in forex? So how well can you expect that a stradagies used when trading a stock instument, works well in others, namely one where there is no close. Stock market isnt using 24h data, only ny market hours data. 24h data contains heavy distribuitions, covering 3 time zones its more common than not in forex that you have more that one type of distrib. during a 24hr period than not. You are a quick study, you have excellent analysis!!! It took me along time to understand (the hard way) you have to know the "Context" of the author and the the contex of the info your getting. I always ask what type of trader and what instument are they refering to. Again this is just my personal opinion about DD
Markets are not efficient, rather they are effective - Jones
  • #1,550
  • Edited Apr 5, 2011 2:13am Apr 4, 2011 7:32pm | Edited Apr 5, 2011 2:13am
Quoting medici
I see. Thank you very much for taking the time to explain.

No problem with your analysis, but that's what I would call medium-term, as described in my post #1136 a week ago.

My long-term analysis starts from the macro-event of the G7 meeting in April 2006. The VAH, VAL and POC of the period since then are 1.4240, 1.2510, and 1.2820 (marked red, red, and green in the chart). The next few "local POCs" above are at 1.3600, 1.4720 and 1.5580 (blue in the chart).

So...
This is just my perspective, all in the chart.

KG
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  • #1,551
  • Apr 4, 2011 7:47pm Apr 4, 2011 7:47pm
Directional performance indications are strong after today's market activity resulted in adequately facilitated trade around 1.4221 (POC for me). Auction rotations also favored the buyer (at +7) for today so we may see another drive towards 1.4250 today.
  • #1,552
  • Apr 4, 2011 8:44pm Apr 4, 2011 8:44pm
Quoting Bilstein
Directional performance indications are strong after today's market activity resulted in adequately facilitated trade around 1.4221 (POC for me). Auction rotations also favored the buyer (at +7) for today so we may see another drive towards 1.4250 today.
i think you already posted something similar about rotations favoring buyers or sellers, but i don't remember how you get that result (+7) nor how you determine it on spot forex given you can't tell the difference between bid vs asks ticks.... Can you share the method?
Change is the only constant
  • #1,553
  • Apr 4, 2011 8:54pm Apr 4, 2011 8:54pm
Quoting tgwhbb
i think you already posted something similar about rotations favoring buyers or sellers, but i don't remember how you get that result (+7) nor how you determine it on spot forex given you can't tell the difference between bid vs asks ticks.... Can you share the method?
If he is referring to rotation factor which is the only thing i can think of in regards to market profile then look at Mind Over Markets pg. 113 for this information. In a nutshell when looking at the profile since we know its divided into 30 minute time slices. You assign a +1 if the high of the newest 30 minute bar is higher than the previous bar. You would assign a -1 if the high was lower. Same goes with lows. It's similiar to when Dalton says the market is one timeframing higher or lower. Ie the highs are all holding as the market is moving higher or vice versa.

Kindve like a measure of trend strength or a way to measure day timeframe motivation or strength. A high + number means buyers are clearly in charge of the market and - number sellers.

Read the pg. noted for more information.
  • #1,554
  • Apr 4, 2011 9:00pm Apr 4, 2011 9:00pm
I actually posted a question to Bandung if we could code the RF (rotational factor) and TFF (trade facilitation factor) into the MP text data box before I was allowed to post in real-time; my posts had to be "hand-moderated" so they would get lost in the updates.

What is Rotation Factor?
Rotation Factor - Each letter is given a +1 if it's high is above high of previous letter, and a -1 if it's high is below high of previous letter. In addition, a +1 or -1 is added based on whether the low was above or below the previous low. Each letters RF (anywhere from -2 to +2) is summed to provide the RF of the profile. each candle's individual value is totaled to give an RF for the day.

What is TFF?
Trade Facilitation Factor - Number of total TPO's divided by the range of price for the profile. The higher the value, the less trend was present. Normal days have a high TFF value.

When I coded my MP (which, as mentioned wasn't as good) I coded in MOST of the data calculations that Investor R/T includes in their platform into mine. My display just wasn't genuine like MP text is.

My data box for the MP text now shows volume, spread, change for the day, RF, and quadrant close. I haven't coded in TFF yest because I don't know if Bandung's MP text indi keeps a count of total TPO's for the day. This data is all mentioned throughout the different books I've read about MP. I had earlier asked if anyone had used these calculations but again, my posts got lost in the moderation, lol.
  • #1,555
  • Apr 4, 2011 9:03pm Apr 4, 2011 9:03pm
Quoting mzvega
I enjoy your analysis! I dont trade that pair at the moment, I just wanted to respond about "any experience about DD". Not so much experience, but an opinion.....

Context! Context! Context! IMO, we traders often when educating ourselves, we lose context. The authors "Context" we forget to consider. Alot of these traders were not forex traders, They traded stocks. Forex & Stocks are both trading instruments, but 2 totally different animals! NY stock market has open & closes, for example. Gaps are frequent. And we all read about Gap stradagies....

Hi mz,

agreed the original context of the theories are based on stocks prior to 24hr trading. While 24hr trading does pose some interesting twists, i wonder if it really was not taken into consideration in the original theories, because there is reference to "overnight" inventories and the like, since the markets (even stocks) were still traded worldwide 24hrs a day even though the "floor" may not be open...so in forex, all that really changes is that the profile is built continuously vs stocks whose profiles are built "overnight" and "live during a floor session".

If you look at James Dalton's analysis in his blog, he refers to the overnight inventory every day, and has a profile just for that, which then establishes his expectations for the day session during NY. spot forex is essentially isn't it?

I - and most likely everyone here - appreciates your opinion. Please keep posting it
Change is the only constant
  • #1,556
  • Apr 4, 2011 9:05pm Apr 4, 2011 9:05pm
Quoting Deusomega
If he is referring to rotation factor which is the only thing i can think of in regards to market profile then look at Mind Over Markets pg. 113 for this information. In a nutshell when looking at the profile since we know its divided into 30 minute time slices. You assign a +1 if the high of the newest 30 minute bar is higher than the previous bar. You would assign a -1 if the high was lower. Same goes with lows. It's similiar to when Dalton says the market is one timeframing higher or lower. Ie the highs are all holding as the market is moving...
Thx! looking forward to reading Mind over Markets during my upcoming vacation!
Change is the only constant
  • #1,557
  • Apr 4, 2011 9:08pm Apr 4, 2011 9:08pm
Quoting tgwhbb
given the apparent lack of a buying tail near Friday's first distribution's VAH, and the formation today of a non-trend structure.

That is what appears to be happening today on UJ, and that would make the naked POC below around 82.80 a nice looking target.

Full disclosure, i'm not trading this pair due to the interventions, using this more as a learning exercise.

Anyone have experience with DD type days?
DD days aside, today's UJ profile changed in the last few periods creating what looks like a selling tail at the top. Given the lack of buying tail, would that still makes today a non-trend day? even if not, the bottom of today's profile is incomplete making it an area that needs to be revisited i think.
Change is the only constant
  • #1,558
  • Apr 4, 2011 9:52pm Apr 4, 2011 9:52pm
i am a newbie for MP does anybody tell me that what is the main function of MP and is it accurate??
  • #1,559
  • Edited 10:24pm Apr 4, 2011 10:08pm | Edited 10:24pm
Quoting tgwhbb
Hi mz,

agreed the original context of the theories are based on stocks prior to 24hr trading. While 24hr trading does pose some interesting twists, i wonder if it really was not taken into consideration in the original theories, because there is reference to "overnight" inventories and the like, since the markets (even stocks) were still traded worldwide 24hrs a day even though the "floor" may not be open...so in forex, all that really changes is that the profile is built continuously vs stocks whose profiles are built "overnight" and "live...

Threre is a difference, if I understand correctly:

Trading Times and Markets
While people are trading the Spot market at all hours of the day and night, this is not so in the Forex Futures. The higher volume time to trade is the US day session from early in the morning until about 2pm CST. Outside of those times, there is a substantial drop off in volume, especially overnight. Also, while the CME has most of the Forex pairs that the Spot market has available, at this time, there is not enough volume to trade any Forex pairs outside of the majors against the Dollar. For example, trading the Dollar / Pound futures during the day in the US is fine. Trading that market or almost any other during the US night session may not be a good idea as there is so little volume.

Imo they are 2 different Animals. I dont think Dalton is trading the "Spot" Forex. He's factoring in a close to his analysis. I could be wrong. Im curious now. Any ideas? Opinions?
Markets are not efficient, rather they are effective - Jones
  • #1,560
  • Edited 2:00am Apr 5, 2011 1:53am | Edited 2:00am
Quoting 41413592
i am a newbie for MP does anybody tell me that what is the main function of MP and is it accurate??
You may spend sometime to read from page 1, (also dig out all the post by bandung for indicator) no short cut mate. Good luck.
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