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Auction Market Theory and Market Profile

  • #5,081
  • Feb 4, 2013 11:49pm Feb 4, 2013 11:49pm
Quoting stallion_19
Just wanted to comment, great thread everyone. Bandung , mzvega, wow.

PS. If anyone has Daltons "Mind over markets" , please send PM. Purty please....

Hi stallion,

If you do some research especially on Mzvega's post, you may most likely find what you want.

Refer to the below post from Mzvega showing some books and resources.

http://www.forexfactory.com/showthre...19#post6341019
  • #5,082
  • Feb 5, 2013 6:33am Feb 5, 2013 6:33am
Quoting foxybunny
Hi stallion,

If you do some research especially on Mzvega's post, you may most likely find what you want.

Refer to the below post from Mzvega showing some books and resources.

http://www.forexfactory.com/showthre...19#post6341019

Thank you, miss. *tips hat*
  • #5,083
  • Feb 5, 2013 7:49am Feb 5, 2013 7:49am
Quoting smtm
Hi Bandung,

Great work. Any chance is you can make the Volume strip look like this ??

http://orderbookfx.com/Images/indicator_screenshot.png
What you have here is an image from OrderbookFX's indicator. They claim to use data feeds from multiple sources showing where orders are. I test-drove their service a while back and found it somewhat useless. Their services never took off and it would appear they've gone defunct. I know there's a thread in here somewhere by user "Rockshore" where they discuss it. I think they've moved everything over to "Echelon Research".
  • #5,084
  • Edited 9:09am Feb 6, 2013 12:31am | Edited 9:09am
Quoting Bilstein
What you have here is an image from OrderbookFX's indicator. They claim to use data feeds from multiple sources showing where orders are. I test-drove their service a while back and found it somewhat useless. Their services never took off and it would appear they've gone defunct. I know there's a thread in here somewhere by user "Rockshore" where they discuss it. I think they've moved everything over to "Echelon Research".
Yes that was taken from the Orderbook FX. But after watching the Volume strip that Bandung put out. I was curious if this could be possible.

I found it difficult to read the volume in numerical format and looking trying to differentiate between the high/low volume and POC from the previous days. In most cases the volume strip that Bandung put out showed the high & low volume at specific price levels. If you went back enough, those prices had areas of confluence.

Just a thought.....
  • #5,085
  • Feb 6, 2013 6:49am Feb 6, 2013 6:49am
Quoting smtm
Yes that was taken from the Orderbook FX. But after watching the Volume strip that Bandung put out. I was curious is this could be possible.

I found it difficult to read the volume in numerical format and looking trying to differentiate between the high/low volume and POC from the previous days. In most cases the volume strip that Bandung put out showed the high & low volume at specific price levels. If you went back enough, those prices had areas of confluence.

Just a thought.....
Well, OrderbookFX used their own special "data feed" to filter "orders" from a handful of liquidity providers so Bandung couldn't code something like that. I always found it questionable as I wouldn't think these institutions would publicize the data. Bandung uses a certain formula to extrapolate the volume "level" data for his version of volume strips. I'm pretty sure that his profile indicator has the ability to be either TPO-based or Volume-based. TPO-based meaning the profile is constructed of time-uinits and volume-based being constructed by taking those volume numbers you're talking about and displaying them in a histogram. I could be wrong but I always thought that was how he did it.

Did you ever get a chance to use a demo from OrderbookFX? If you never have, the screen shot is misleading. I used it for a week back when they first introduced it and those levels are dynamic. They change - literally - every second because of the way liquidity flows operate. They would be spot on, but only for a split second. It was tough to use it manually but I've read that robots (EA's) can be coded to "nickel and dime" the hell out of the market using it.
  • #5,086
  • Feb 6, 2013 10:42pm Feb 6, 2013 10:42pm
Quoting Bilstein
Well, OrderbookFX used their own special "data feed" to filter "orders" from a handful of liquidity providers so Bandung couldn't code something like that. I always found it questionable as I wouldn't think these institutions would publicize the data. Bandung uses a certain formula to extrapolate the volume "level" data for his version of volume strips. I'm pretty sure that his profile indicator has the ability to be either TPO-based or Volume-based. TPO-based meaning the profile is constructed of time-uinits and volume-based being constructed...
No I havent used it yet. I have been trying to get a demo but no one seems to answer emails. I was invited to a webinar, but it was 3am my time and frankly, it was a little difficult to stomach the idea of getting up at 3am.

From the volume strip, I did notice that the areas of high volume from previous days did line up (not exactly to the decimal, but more of a zone area). After coming across the OrderFlow FX vertical histogram, I thought that the Volume Strip could be made into something similar.

Your area of MQ4 programming is way beyond my scope of things. I would have the slightest clue how Bandung programs stuff like that.
  • #5,087
  • Feb 12, 2013 2:59pm Feb 12, 2013 2:59pm
Hmm can this method be applied to daily or weekly timeframes? I'd imagine these would only very rarely be in equilibrium, unlike lower TFs?
  • #5,088
  • Feb 13, 2013 1:08am Feb 13, 2013 1:08am
Quoting Jasus
Hmm can this method be applied to daily or weekly timeframes??
The Auction Market Process is valid through all timeframes

Quoting Jasus
I'd imagine these would only very rarely be in equilibrium, unlike lower TFs?
"Profiles "on the lower TF's, are part of the distribution of prices/profiles within the larger TF profile. The larger TF profile consists of & is made of the distribution of profiles of the smaller TF's.
Markets are not efficient, rather they are effective - Jones
  • #5,089
  • Feb 13, 2013 2:56pm Feb 13, 2013 2:56pm
Quoting mzvega
For indicator +TPO:
Range period = you can use any of following tf's : 1, 5, 15, 30, 60, 240(4h), 1440 (daily), 10080 (weekly), 43200 (monthly).

For indicator +TPO-Range:
Range mode= 0 uses the vertical lines to set the boundaries to determine the length of the profile.
[font=Verdana]Range mode= 1 uses minutes (time), you are not limited to the standard 1, 5, 15, 30, 60, 240, 1440, 10080 (weekly), 43200 (monthly)...
mzvega,
I am hoping you can help. I can not be able to get the +TPO range indi 2 draw anything more then a few days even though I have changed the settings from what you posted for another poster. Do I need to set anything else in MT4 so order for it to show me a monthly or weekly profile or any other length of time I choose? I am trying to get longer profile to the right of chart. Prefer a rolling 30day or weekly.

Thank you.
  • #5,090
  • Feb 13, 2013 5:09pm Feb 13, 2013 5:09pm
Quoting MKFXTrader
mzvega,
I am hoping you can help. I can not be able to get the +TPO range indi 2 draw anything more then a few days even though I have changed the settings from what you posted for another poster. Do I need to set anything else in MT4 so order for it to show me a monthly or weekly profile or any other length of time I choose? I am trying to get longer profile to the right of chart. Prefer a rolling 30day or weekly.

Thank you.
These are the same exact settings in the pictures used in the original post
http://www.forexfactory.com/showthre...11#post5995711
Attached Image (click to enlarge)
Click to Enlarge Name: Untitled picture.jpg Size: 130 KB
Markets are not efficient, rather they are effective - Jones
  • #5,091
  • Feb 14, 2013 7:28am Feb 14, 2013 7:28am
Quoting mzvega
These are the same exact settings in the pictures used in the original post
http://www.forexfactory.com/showthre...11#post5995711
yes. I did exactly as like show(43200 or 10080) but for what ever reason doesn't matter what minutes I put the profile only builds from a few days. Very strange. Is possible it has something 2 do with my MT4 settings? If you set it to monthly(43200), does it give you last 30 day profile build or beginning of the current month. Looking at the picture you posted, it doesn't look like a 30 day profile even though you have it set to that. Could u mind posting a current G-U chart on hourly or 4hr or hourly TF so i could see what you are showing. Thank you mzvega
  • #5,092
  • Feb 14, 2013 4:31pm Feb 14, 2013 4:31pm
Quoting MKFXTrader
yes. I did exactly as like show(43200 or 10080) but for what ever reason doesn't matter what minutes I put the profile only builds from a few days. Very strange. Is possible it has something 2 do with my MT4 settings? If you set it to monthly(43200), does it give you last 30 day profile build or beginning of the current month. Looking at the picture you posted, it doesn't look like a 30 day profile even though you have it set to that. Could u mind posting a current G-U chart on hourly or 4hr or hourly TF so i could see what you are showing. Thank...

Indi."+TPO Range" will give youthe last 30 days of data, not the beginning of the current month. For that you would use the other indicator, "+TPO"
You might also try reinstalling the indicators. (The +TPO ind's are not my prefered choice)

Depending on your needs & goals as a trader, may I share my opinion? First this particular indicator, as well as a few others, have very little to do with viewing & interpreting the "Auction Market Process". This indicator is just a fancy way of displaying the horizontal vol. indicator weare all familiar at the bottom of our charts just placed on the vertical. Nothing more, nothing less. This is a very popular choice for "indicator traders". Most of these indicators traders, can’t get any more insight into the market other than if price reaches a high a high or low vol area price will go either up, down or sideways. I can also throw a dart at the chart, and when price reaches that point, I too can accurately predict that from that point price will go either up, down or sideways. Without relative Value areas, initial balances, & other relevant reference areas, there isn’t enough relevant data available to make an informed trade decision based on viewing the "Auction Market Process". For that may I suggest one of the other available indicators as they provide data relevant to the "Auction Market Process" also the +TPO Indi’s are somewhat limited. You’re limited to viewing @ 3months of data. Compared to another indicator (see chart) you can view 10 months of data in the same amount of space. You're aware of major past reference areas that will stop price inits tracks, in the current intraday TF's that are long forgotten (but very relevant). Being aware of these longer TF reference areas, will increase the probability to“Anticipate" Trend Continuation or Rejection on the lower TF charts. I’m not sure what your goals are, but if you plan on making trades based on the"Auction Market Process" then the +TPO Indi’s might not be for you.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 43200.jpg Size: 144 KB
Click to Enlarge Name: compare.jpg Size: 182 KB
Markets are not efficient, rather they are effective - Jones
  • #5,093
  • Edited 3:55am Feb 15, 2013 2:17am | Edited 3:55am
Quoting mzvega
Indi."+TPO Range" will give youthe last 30 days of data, not the beginning of the current month. For that you would use the other indicator, "+TPO"
You might also try reinstalling the indicators. (The +TPO ind's are not my prefered choice)

Depending on your needs & goals as a trader, may I share my opinion? First this particular indicator, as well as a few others, have very little to do with viewing & interpreting the "Auction Market Process". This indicator is just a fancy way of displaying the horizontal vol. indicator weare all familiar...
I definitely appreciate your feedback. Yes, my goal is to trade auction market theory and not indicators. Can you please share the system that you use to fulfill this? Also your setup and TF? I would be greatful 2 u. If it's better 4 u, I can PM you my email address. Just let me know. Thank u mzvega. I hope u are able 2 help..
  • #5,094
  • Feb 15, 2013 6:18am Feb 15, 2013 6:18am
Quoting mzvega
These are the same exact settings in the pictures used in the original post
http://www.forexfactory.com/showthre...11#post5995711

can you share this indicators please


indicator +TPO:
and
indicator +TPO-Range
  • #5,095
  • Feb 16, 2013 5:07am Feb 16, 2013 5:07am
Quoting bandung
wew.. i'm about to upload it,

here we go..

I also experimenting with High/Low Vol Node
HUA (Lime) is when vol >= 3 vol above and below the row
LUA (Yellow) is when vol <= than 3 vol above and below the row
you can adjust the criteria using HLUACriteria parameter.

note :
- it need p01.dll shifted with previous indicator I uploaded here
- you need enough M1 historical data
Hello Bandung,

Can you please reshare the P01.dll.. I am not finding it on the forum.

Thank you,
  • #5,096
  • Feb 16, 2013 11:57pm Feb 16, 2013 11:57pm
Here it is. Had to ZIP it to upload.

Cheers.
Attached File(s)
File Type: zip p01.zip   4 KB | 1,021 downloads
  • #5,097
  • Edited 7:40am Feb 17, 2013 6:26am | Edited 7:40am
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...
mzvega,
Just to confirm that the directional performance relationship posted as table 4.1 attachment of post #5023 is used to analyze the end of day -vs- the previous day to gauge the directional bias for the upcoming day? Am I reading this correctly? Also haven't been able to figure out what OL stands for (line 4,5,13, ect...). Also, how many charts can we run using the ay-TPO charts? Is it cpu heavy? Thank you. I think it is starting to sink in as I am spending countless hours staying up late trying to understand proper AMT. Any books or manuals I should read, in recommended order would be appreciated. Thank you.
  • #5,098
  • Feb 17, 2013 9:43am Feb 17, 2013 9:43am
Is it safe to assess that by looking at the weekly volume on G/U, base on the AMT directional performance that the trend lower is possibly slowing and we may be due for a bounce back towards weekly POC, or perhaps monthly VAL/POC? If current monthly volume ends up lower then last month at the EOM would this also confirm a slowing of the downtrend and possible reversal?

As I am trying to transition away from strictly volume base indie profile to AMT w/volume analysis, any feedback would be appreciated. Thx all.
  • #5,099
  • Feb 17, 2013 11:21pm Feb 17, 2013 11:21pm
Quoting smtm
Here it is. Had to ZIP it to upload.

Cheers.
Thanks very much. I am unable to use this DLL. the data does not show up at all. There are no error messages too. Could somebody let me know what could be the problem, where I could be doing wrong?

Thank you,
  • #5,100
  • Feb 18, 2013 6:53am Feb 18, 2013 6:53am
Can someone please explain how and what IBH, IBL, DIBH and DIBL, RF and QClose stands for in the ay_TPOChart? I'm trying to find out how to decipher all the info it provides. Also the info of ibetter volume color. What is the reason for the color menu? I don't see it generating any kind of signal or any volume bars.

I would also like to know what is the color bar between the daily bar spread and the actual letter profile. If I mouse over it, it says it's the IDB and there are three colors(two purples on both ends with a violet color in between. I couldn't find instruction manual on the indie so would like someone to please assist in reading and understanding this indie. Thank you.
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