Auction Market Theory and Market Profile | Page 164 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Auction Market Value Theory & Analytics 1,757 replies

market Theory 101 Supply and Demand,Market Cycles 7 replies

Market Profile And Volume Profile MT5 7 replies

MarketProfile/Volume Profile/Auction Market Theory indi? 17 replies

Market profile trader-Merged profile 0 replies

Attachments: Auction Market Theory and Market Profile
Exit Attachments

Auction Market Theory and Market Profile

  • #3,261
  • Aug 31, 2011 12:55am Aug 31, 2011 12:55am
Quoting mzvega
....You mentioned an "EMA", interesting.....might you think a "volume weighted ma" putting more weight to the volume of prices be a better fit?....
I might be wrong ( in that case just ignore my comment) but price can go up or down with low volume same as normal or high volume...For that reason I dont think that "volume weighted ma" can help you on any way...
The Market pays you to be disciplined
  • #3,262
  • Aug 31, 2011 1:27am Aug 31, 2011 1:27am
Quoting mima
I might be wrong ( in that case just ignore my comment) but price can go up or down with low volume same as normal or high volume...For that reason I dont think that "volume weighted ma" can help you on any way...
You make a good point now that I think about it,
yes price can go up or down reguardless of volume, but most MA's are an avg. of price, if I am correct, I could be wrong, volume weighting will weight each time period in proportion to its trading volume, not price. But you do make a good point. I dont think a moving average of prices relates to the avg."range" we might be looking for. I think we would be looking for the average "Range" of a distance of 2 points.
Markets are not efficient, rather they are effective - Jones
  • #3,263
  • Aug 31, 2011 1:29am Aug 31, 2011 1:29am
Quoting Evak
Just a tip here bro..

Your stops may have been too tight i suppose...

But the following reference may help to get confluence instead of just targeting 3xIB by itself...

Session IB I look for previous UK low of Monday as a springboard, put it simply, UK session traders would look for any previous low where they initiate or response from, so to speak.

For daily profile using...
Kave,
from last two days, if I saw it correctly, we have:
London Open : initiative selling
NY Open : initiative buying

there is a battle.. do you have a note about it?
...
  • #3,264
  • Aug 31, 2011 1:36am Aug 31, 2011 1:36am
I'm just watching JD's latest video and don't understand why he's talking about Poor High and Poor Low on this slide. Can anyone help? Thank you.
Attached Image (click to enlarge)
Click to Enlarge Name: PoorHighLow.jpg Size: 56 KB
  • #3,265
  • Aug 31, 2011 1:44am Aug 31, 2011 1:44am
Quoting bandung
Kave,
from last two days, if I saw it correctly, we have:
London Open : initiative selling
NY Open : initiative buying

there is a battle.. do you have a note about it?
I did not mentioned about the spike that was created during monday as it initiate off 4500. Is not an opening gap but is a form of gap or excess if u like. & price eventually fail to sustain auction above it. Eventually UK took it out with an opening reject.

US opening response occurred within balance..so that is not a strong impetus for any upside bias. I doub't that OTF is doing business within balance. So basically we have an inventory adjust ..

http://img847.imageshack.us/img847/6...9aug311442.gif

Uploaded with ImageShack.us
  • #3,266
  • Edited 1:46am Aug 31, 2011 1:44am | Edited 1:46am
Quoting Oxford
I'm just watching JD's latest video and don't understand why he's talking about Poor High and Poor Low on this slide. Can anyone help? Thank you.
Havent watched the video yet so I havent heard in what context hes refering to, maybe this will help....

Dalton Trading Terms
Poor or unsecured highs or lows: Auctions, within the market’s natural two-way auction process, end in one of two ways: 1) Most commonly the auction ends through a more aggressive counter auction that creates a buying or selling tail; or 2) The auction ends through simple exhaustion. Exhaustion is similar to running up a steep hill and continuing to lose pace or momentum until we just stop and begin to slowly turn around and gradually walk back down the hill. The only thing that stopped us was the loss of our own momentum. By far the most reliable and information packed ending is through aggressive counter action. We refer to an auction that terminated through exhaustion as poor or unsecured because of the lack of counter action; the original auction, after getting a rest, is more likely to make another attempt to crest the hill. The more attempts that are made, the more likely the auction will finally succeed. Poor highs or lows are often the result of excessively long inventory (with regard to poor highs) or excessively short inventory (with regard to poor lows). These inventory imbalances often involve longer-timeframes and therefore take time to balance before continuing in the direction of the prevailing trend.
Markets are not efficient, rather they are effective - Jones
  • #3,267
  • Aug 31, 2011 1:50am Aug 31, 2011 1:50am
Quoting Oxford
I'm just watching JD's latest video and don't understand why he's talking about Poor High and Poor Low on this slide. Can anyone help? Thank you.
Is referring to lack of minus developments, essentially tails & double prints at the least, which the next profile in his chart have. So in his view lacking such minus development could mean that market is still within balance & therefore one is advise to wait for shakeout beyond the unsecured extremes untill one of the extreme is considered a secured high or low.

LoL i hope i make sense..
  • #3,268
  • Aug 31, 2011 1:53am Aug 31, 2011 1:53am
Thank you. I somehow wrongly look at it with the sole focus on the last two/three letters and the shape of the MP edges. However, to say whether we have a poor high/low we should look at the whole profile with the primary question on how the longer timeframe has been acting, according to inventory adjustments and their initiative/responsive actions. Not the edges but the whole story.

Quoting mzvega
Havent watched the video yet so I havent heard in what context hes refering to, maybe this will help....

Dalton Trading Terms
Poor or unsecured highs or lows: Auctions, within the market’s natural two-way auction process, end in one of two ways: 1) Most commonly the auction ends through a more aggressive counter auction that creates a buying or selling tail; or 2) The auction ends through simple exhaustion. Exhaustion is similar to running up a steep hill and continuing to lose pace or momentum until we just stop and begin to...
  • #3,269
  • Aug 31, 2011 1:56am Aug 31, 2011 1:56am
yes it does .

Simply put, it means unclear and within balance (of whatever range).

Quoting Evak
Is referring to lack of minus developments, essentially tails & double prints at the least, which the next profile in his chart have. So in his view lacking such minus development could mean that market is still within balance & therefore one is advise to wait for shakeout beyond the unsecured extremes untill one of the extreme is considered a secured high or low.

LoL i hope i make sense..
  • #3,270
  • Aug 31, 2011 2:00am Aug 31, 2011 2:00am
Quoting Oxford
However, to say whether we have a poor high/low we should look at the whole profile with the primary question on how the longer timeframe has been acting, according to inventory adjustments and their initiative/responsive actions. Not the edges but the whole story.
Great way to put it. You said it a whole lot better than I could!
Markets are not efficient, rather they are effective - Jones
  • #3,271
  • Aug 31, 2011 7:34am Aug 31, 2011 7:34am
Quoting mzvega
I would be very interested! I already track that sort of info manually on a spreadsheet.(open to high, open to low close to close, high to close, low to close). But that would be of great value to track some of that on the chart. You mentioned an "EMA", interesting.....might you think a "volume weighted ma" putting more weight to the volume of prices be a better fit? Also, I am very interested in tracking & calculating excess & range extention. If you have an excess above, and an incomplete profile you can estimate by swinging that amount beneath...
I understand you. I just don't know if my coding can reach those boundaries, lol. I thought about using the average range extension values [High - IBhigh & IBlow - Low] but those values aren't stored in a specific array [in the original indicator] so I don't know how to back-reference them to apply them to the current [day,week,month, etc] profile. So I experimented with what I could figure out. Steidlemeyer's manner involved simply superimposing the previous day's range over the current days range after identifying which extreme is likely to hold [see MoM p. 76-79]. I figured if we can get our hands on an "average" it would provide a good estimate. Thing is, it's only an estimate, it's not a prediction of where the range will be.

I think Mima may be right in terms of using a VWMA - since price can move a great deal on either high or low volume. But then again, I've never coded a volume-weighted moving average before

It's a work in progress, when I have more time to toy with it, I'll do it up and see what we can come up with.
  • #3,272
  • Aug 31, 2011 8:50am Aug 31, 2011 8:50am
Quoting Evak
Did u manage to grab that short? There was a nice engulfing after Frankfurt open just prior to UK opening initiative sell down...just like EU after yesterdays elongated balance day...

Anyway expect excess running pass PS & even 6250 b4 it springs up after this excessive short, so this could be the secondary test i mark previously as ST*

For GU the quarter level (250 pip increment level) are very well respected. I call this pair the "Quarter pounder pair"

http://img9.imageshack.us/img9/6940/...3aug302200.gif

Uploaded...
ok we have got 2 STs....

@KG, here is GU's plan, hope is self explanatory again
@Oxford - FYI (note) that all the references remains intact & relevant ...throughout >

http://img707.imageshack.us/img707/8...2aug312149.gif

Uploaded with ImageShack.us
  • #3,273
  • Aug 31, 2011 9:18am Aug 31, 2011 9:18am
Thank for your advise kave, i agree with that, but sometime i just cannot accept to watch a winning trade to reverse n hit my SL, it take a pair of steel ballz to hold tru, but these few days the price is whipping up n down, searching for info, i wil let it settle or wait for price to reach d extreme then jump in again, may be the spike base, looks yummy.

Quoting Evak
Just a tip here bro..

Your stops may have been too tight i suppose...

But the following reference may help to get confluence instead of just targeting 3xIB by itself...

Session IB I look for previous UK low of Monday as a springboard, put it simply, UK session traders would look for any previous low where they initiate or response from, so to speak.
http://img850.imageshack.us/img850/6...4aug311130.gif


For daily profile using...
  • #3,274
  • Edited 10:02am Aug 31, 2011 9:30am | Edited 10:02am
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
K, haw NYSE established the initial range shows we have a normal variation day type but haw you handle this? A day like this could go just with the direction from first hour? Haw can you considerate in your trading this classification? For ex in 26 august In nyse session we had a wide initial range which made me think is a normal day and you should look to buy extremes but it acted like a trend day or so...
Eur/usd is the pair
  • #3,275
  • Aug 31, 2011 9:42am Aug 31, 2011 9:42am
Quoting Evak
ok we have got 2 STs....

@KG, here is GU's plan, hope is self explanatory again
@Oxford - FYI (note) that all the references remains intact & relevant ...throughout >

http://img707.imageshack.us/img707/8...2aug312149.gif

Uploaded with ImageShack.us
Thanks again Kave...

KG
  • #3,276
  • Aug 31, 2011 1:48pm Aug 31, 2011 1:48pm
Quoting Evak
I did not mentioned about the spike that was created during monday as it initiate off 4500. Is not an opening gap but is a form of gap or excess if u like. & price eventually fail to sustain auction above it. Eventually UK took it out with an opening reject.

US opening response occurred within balance..so that is not a strong impetus for any upside bias. I doub't that OTF is doing business within balance. So basically we have an inventory adjust ..

http://img847.imageshack.us/img847/6...9aug311442.gif

Uploaded...
FYI, spike base test during UK session, a good structural entry if u have limit orders set. But if not, the next best trade location is the NY opening with a hidden selling bar on 30min b4 NY opens..

http://img546.imageshack.us/img546/6...7sep010241.gif

Uploaded with ImageShack.us
  • #3,277
  • Aug 31, 2011 2:18pm Aug 31, 2011 2:18pm
Quoting s7c
K, haw NYSE established the initial range shows we have a normal variation day type but haw you handle this? A day like this could go just with the direction from first hour? Haw can you considerate in your trading this classification? For ex in 26 august In nyse session we had a wide initial range which made me think is a normal day and you should look to buy extremes but it acted like a trend day or so...
Eur/usd is the pair
I would have expect at least a range extension RE late into the day, rather then so early.

26th we have an early RE, during the C period, technically is a failed RE. Next one one would watch for "tempo" as JD calls it, as price revert back to the opening on D. So given this one would have to be caution of trading it as a normal or variation of.

Personally I do not apply rotational strategy using session profile, the risk/reward can be very limiting & prone to session overlap. Daily profile is preferred.

http://img7.imageshack.us/img7/8491/...0sep010300.gif

Uploaded with ImageShack.us
  • #3,278
  • Aug 31, 2011 6:00pm Aug 31, 2011 6:00pm
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
[quote=Evak;4917738]
Personally I do not apply rotational strategy using session profile, the risk/reward can be very limiting & prone to session overlap. Daily profile is preferred.

Thank's for your opinion, I found too the sessions no very reliable in establishing the type of the profile, seems the daily profile is the key...
  • #3,279
  • Aug 31, 2011 7:03pm Aug 31, 2011 7:03pm
Quoting Evak
I would have expect at least a range extension RE late into the day, rather then so early.
Great charts and analysis. I've been doing some joint trading with a fellow MP/TPO/AMT trader friend recently using screen and audio share...I wonder if you'd be willing or have the time to drop in to share some analysis or a chart, Evak?

Regards,
Neo
Sentiment: Short on cash. Long on hope.
  • #3,280
  • Edited 9:36pm Aug 31, 2011 8:08pm | Edited 9:36pm
Quoting Evak
I would have expect at least a range extension RE late into the day, rather then so early.

26th we have an early RE, during the C period, technically is a failed RE. Next one one would watch for "tempo" as JD calls it, as price revert back to the opening on D. So given this one would have to be caution of trading it as a normal or variation of.

Personally I do not apply rotational strategy using session profile, the risk/reward can be very limiting & prone to session overlap. Daily profile is preferred.

http://img7.imageshack.us/img7/8491/...0sep010300.gif

Uploaded...
I think you've enjoyed the rhytme of MP/AMT K..
...
27 traders viewing now