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Auction Market Theory and Market Profile

  • #5,021
  • Dec 23, 2012 9:28am Dec 23, 2012 9:28am
Hi Friends,

I wish all of you a Merry Christmas and a Happy New Year. May all your dreams come true.


Best wishes,


Markus
  • #5,022
  • Dec 24, 2012 11:46pm Dec 24, 2012 11:46pm
Quoting infinitus
Hi Friends,

I wish all of you a Merry Christmas and a Happy New Year. May all your dreams come true.


Best wishes,


Markus
Merry Christmas to you as well ....Cheers.
  • #5,023
  • Edited 11:23am Dec 26, 2012 9:30am | Edited 11:23am
Quoting drzakir123
thank u very much,much appreciated.initially i have some problem about how to use or transfer the indicator to metatrader but got it ultimatley.i hope will be posting more with time about real trades and analysis.first i have to brush my knowledge, one more time which i am going to do it during christmas.
no,i wont be using it as S&R tools,i will be using it as more to feel the market and positioning of my trades.yes rotation factor is important but i dont know about the volume as its not availbale.tick volume i dont know about it...

Its great to know you were able to get one of the indicators to work for you. I will be looking forward to seeing more of your posts. I understand your one of the many people that cant subscribe to the idea that there is no volume in FX.

One of the most important factors of AMT, imo, is Value Area Placement & Directional performance. If you feel can't trust you brokers vol data, use CME vol data. But volume or some type of "proxy" is necessary to determine "Directional performance"…..If you're not a fan or don’t have faith in tick vol, you can take, 1 minute a day to go to the CME and compare current day vol, to the previous days vol. http://www.cmegroup.com/market-data/volume-open-interest/fx-volume.html

I incorporate cme vol & open interest studies, into my trading (different but relative), but in my experience, so farI have never experienced my brokers vol to be lower from the previous day,while at the same time CME vol was higher than its previous days vol. or viceversa. I'm not trying to sell you on the idea of using vol., but simple record keeping through trade preparation, will give you enough data to form your own valid opinion based on data & facts.

However using vol data, is one of the important pieces of data , that allows us weigh the odds of the probability of price continuation higher/lower, or the odds of a reversal. Here's a very (on the fly) simplistic example of weighing probabilities to anticipate price movement at major reference points………..

If the days profile Price above value considered "over valued" most people start looking to short. The profile graphic gives you 50/50 odds probability of price falling. Where you find your edge with market generated info is knowing, did that days trade above value on increased or decreased vol? lets say it did on increased vol, you now have a 60/40 probability of price not returning to previous day/profile VA value . Lets now look Range extension, did you have Responsive Buying or did you have initiative buying (all buying above value is "initiative", all buying below value is"responsive", there's buying, but initiative/or responsive tells you in what context), lets say we had initiative Buying. Now those odds are 70/30 of price not returning to previous day/profile VA. Where did we open in relation to the previous days profile? Lets say we opened above, we now have a 80/20 probability of price not returning to previous day/profile VA. What was the opening type? What are the odds now?......Positive or negative RF?, How does that affect the odds?.........Where are we in relation to the higher tf weekly profile? Above, below or inside value………same type of analysis. Those small pieces of data help weigh the probability of price continuation higher/lower, or the odds of a reversal.



I've attached photos from a previous post from one of the books, that shows the importance of using vol in analyzing VA placement & directional performance………..
Attached Images
Markets are not efficient, rather they are effective - Jones
  • #5,024
  • Edited 11:03am Dec 26, 2012 9:41am | Edited 11:03am
I just wanted to post a little food for thought, I thought it made an interesting read, but what interested me was the conclusion of this paper's sample of data............................................

CONCLUSIONS

"Given much recent evidence of the superiority of electronic trading, it is interesting to ask the question: among these markets trading electronically, which one leads the price discovery process? This paper attempts to answer this question on the foreign exchange market. Using intra-day (tick by tick) data, this paper investigates the contribution to the price discovery on the Japanese Yen and the Euro exchange rates of three electronically traded foreign exchange markets: the CME electronically-traded GLOBEX regular futures,electronically-traded small-denomination futures (E-Minis), and the inter-dealer spot market. The results show that transaction prices in the inter-dealer spot foreign exchange market are more informative than the prices in both the regular futures and the E-mini futures markets and thus the spot foreign exchange market leads the price discovery process for both exchange rates during the sample period."
Attached File(s)
File Type: pdf Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets.pdf   149 KB | 1,099 downloads
Markets are not efficient, rather they are effective - Jones
  • #5,025
  • Dec 26, 2012 10:18am Dec 26, 2012 10:18am
Quoting mzvega
I just wanted to post a little food for thought, I thought it made an interesting read, but what interested me was the conclusion of this paper's sample of data............................................

CONCLUSIONS
[font=Garamond]
[font=Verdana][size=2]"Given much recent evidence of the superiority of electronic trading, it is interesting to ask the question: among these markets trading electronically, which one leads the...
Thanks User MVega and happy year for all traders.

Sincerely

Aprendiz.
  • #5,026
  • Dec 26, 2012 10:46am Dec 26, 2012 10:46am
Quoting drzakir123
i hope will be posting more with time about real trades and analysis.first i have to brush my knowledge, one more time which i am going to do it during christmas..........
Again, I hope this works..................................
Attached Image (click to enlarge)
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Markets are not efficient, rather they are effective - Jones
  • #5,027
  • Dec 26, 2012 10:53am Dec 26, 2012 10:53am
Quoting Steven40
Thanks User MVega and happy year for all traders.

Sincerely

Aprendiz.
There's nothing like reading a little food for thought, on the rare occasions the market slows down...................

Happy Holidays & A Prosperous New Year
Markets are not efficient, rather they are effective - Jones
  • #5,028
  • Dec 26, 2012 12:44pm Dec 26, 2012 12:44pm
Quoting mzvega
Its great to know you were able to get one of the indicators to work for you. I will be looking forward to seeing more of your posts. I understand your one of the many people that cant subscribe to the idea that there is no volume in FX.

[font=Verdana]One of the most important factors of AMT, imo, is Value Area Placement & Directional performance. If you feel can't trust you brokers vol data, use CME vol data. But volume or some type of "proxy" is necessary to determine "Directional performance"…..If you're...
thanks for info.is there anyway one can monitor cme volume and compare over a period of time.i think tpo volume follow the real volume quite closely and the time, price started moving also gives a good idea of volume,generally price moving on tuesday,wed,thurs and when london,new york market overlapping are high probable move.that is if any move starting in high liquidity time with low volatality are the highly directional move.i think the volume data on cme is a day late,i dont mean they are meaning less.one can use to gauge the longer term.
The other thing cme volume itself is a very small part of whole forex market which basically a interbank market,yes cme volume can be use as proxy but so is tick vol.anyway i have a open mind on this subject.
Allah has permitted trade and has forbidden interest [koran]
  • #5,029
  • Dec 26, 2012 2:10pm Dec 26, 2012 2:10pm
Quoting drzakir123
thanks for info.is there anyway one can monitor cme volume and compare over a period of time.i think tpo volume follow the real volume quite closely and the time, price started moving also gives a good idea of volume,generally price moving on tuesday,wed,thurs and when london,new york market overlapping are high probable move.that is if any move starting in high liquidity time with low volatality are the highly directional move.i think the volume data on cme is a day late,i dont mean they are meaning less.one can use to gauge the longer term....

I apologize, somehow I misinterpreted your statement , I took that to mean you were unsure of using your brokers tick vol data……

But for directional performance analysis you use end of day vol data (yesterdays profile and compare the previous days vol data) . CME or your brokers vol , you're still using the previous day's vol data for the analysis to anticipate the upcoming day's PA. Sorry for any confusion.

I've posted an indicator that plots CME vol data to mt4, maybe you might be able to find it of use to your style of trading……...
Attached Image (click to enlarge)
Click to Enlarge Name: Untitled picture.jpg Size: 132 KB
Attached File(s)
File Type: ex4 ClusterDelta_Volume.ex4   11 KB | 1,709 downloads
Markets are not efficient, rather they are effective - Jones
  • #5,030
  • Dec 26, 2012 4:57pm Dec 26, 2012 4:57pm
Quoting mzvega
I apologize, somehow I misinterpreted your statement , I took that to mean you were unsure of using your brokers tick vol data……

But for directional performance analysis you use end of day vol data (yesterdays profile and compare the previous days vol data) . CME or your brokers vol , you're still using the previous day's vol data for the analysis to anticipate the upcoming day's PA. Sorry for any confusion.

[font=Verdana][size=2]I've posted an indicator that...
thanks for the indicator.thanks for posting the chart.last few weeks are quite illiquid markets,best avoid analysis as could be quite misleading.i think neil humprey had written a good book called tape reading and market tactics and in it had a good discussion on volume,a bit outdated but if anyone interested in the concept then useful.the discussion was in relation to price action but good explanation.i read it about 5yrs ago but gave me a good grounding.
Allah has permitted trade and has forbidden interest [koran]
  • #5,031
  • Dec 27, 2012 2:46am Dec 27, 2012 2:46am
ok here it goes,i am expecting next few days markets to be quite illuqid,hence i am expecting markets to be quite random therby i am expecting market to form normal bell curve,which suggesting to me to play on extremes as market has tendency to come back to poc.with that idea in mind i am taking small position at 1.3270 on the short side.lets see how it work out.i dont put stop losses as my positions are very small compare to equity.infact its a nonleverage position.regards
Allah has permitted trade and has forbidden interest [koran]
  • #5,032
  • Dec 29, 2012 3:05pm Dec 29, 2012 3:05pm
Quoting mzvega
I apologize, somehow I misinterpreted your statement , I took that to mean you were unsure of using your brokers tick vol data……

But for directional performance analysis you use end of day vol data (yesterdays profile and compare the previous days vol data) . CME or your brokers vol , you're still using the previous day's vol data for the analysis to anticipate the upcoming day's PA. Sorry for any confusion.

[font=Verdana][size=2]I've posted an indicator that...
hi,mzvega i got the indicator,i just wonder what are the average daily volume,highest volume,low volume everseen,the reason is i just want to keep few pegs in mind to compare and asess volume and price and also just to confirm the volume we are seeing is end of day volume from cme?.by the way i still unable to play the dvd files but i am slowly reading through market profile the 2nd time.anyway thanks regards
Allah has permitted trade and has forbidden interest [koran]
  • #5,033
  • Dec 30, 2012 3:05pm Dec 30, 2012 3:05pm
Quoting wendigo
does anyone have any use for a free cluster data platform on here exactly the same as marketdelta.com.au "exactly" buts its completely free? i dont know if i can post a link here or not? its a russian site clusterdelta.com just translate it to your language and download it

WENDIGO
Interesting Software ..Although I'm not too sure how to use it Yet .. Currently I 'm monitoring high volume levels esp. on GBPUSD (@ the moment ..) .. It's going to be interesting to see If 1.6160 level holds for GU..( As Support..)
Attached Image(s) (click to enlarge)
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Click to Enlarge Name: Volume.GIF Size: 75 KB
  • #5,034
  • Dec 30, 2012 3:08pm Dec 30, 2012 3:08pm
Quoting mzvega
Its great to know you were able to get one of the indicators to work for you. I will be looking forward to seeing more of your posts. I understand your one of the many people that cant subscribe to the idea that there is no volume in FX.

[font=Verdana]One of the most important factors of AMT, imo, is Value Area Placement & Directional performance. If you feel can't trust you brokers vol data, use CME vol data. But volume or some type of "proxy" is necessary to determine "Directional performance"…..If you're...
Your Knowledge on AMT is very intimidating ..
  • #5,035
  • Dec 31, 2012 2:51am Dec 31, 2012 2:51am
close trade with about 85 green pips.
Allah has permitted trade and has forbidden interest [koran]
  • #5,036
  • Dec 31, 2012 4:13am Dec 31, 2012 4:13am
Quoting taomql4
Interesting Software ..Although I'm not too sure how to use it Yet .. Currently I 'm monitoring high volume levels esp. on GBPUSD (@ the moment ..) .. It's going to be interesting to see If 1.6160 level holds for GU..( As Support..)
yeah i found it but at the moment my trading is ok without it so i dont want to fiddle to much lol

WENDIGO
  • #5,037
  • Dec 31, 2012 2:33pm Dec 31, 2012 2:33pm
Quoting wendigo
yeah i found it but at the moment my trading is ok without it so i dont want to fiddle to much lol

WENDIGO
What ? That's not very Wendigo-ish.. ..
Well , for what's worth ...My findings..
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  • #5,038
  • Dec 31, 2012 2:34pm Dec 31, 2012 2:34pm
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  • #5,039
  • Dec 31, 2012 10:09pm Dec 31, 2012 10:09pm
Quoting taomql4
--------------
Hello taomql4

How do you have H8 time frame in MT4?
Regards
The Market pays you to be disciplined
  • #5,040
  • Jan 2, 2013 1:19pm Jan 2, 2013 1:19pm
hi,every one,have a look at this chart of MP.today morning in asian session and london market,it created a 'P' which is basically market is rebalancing with short covering rally and weak shorts taken off the market and late afternoon today market retraces which appears to be new fresh shorts entering market and maintaing thier dominance of the market.i was basically expecting market to go up a bit more to 1.3330-60 but market has its own mind.infact i took a small long position but obviously i covered it with small loss.i am expecting tomorrow market to be balance profile and probably on friday or monday market to really show its hand.i am still holding my shorts but had to cut them down bit becos of my lack control on emotions,but thats ok becos such is market and life.one other thing,i haven't done volume analysis,if someone do it will greatly appreciated regards
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Allah has permitted trade and has forbidden interest [koran]
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