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Auction Market Theory and Market Profile

  • #5,121
  • Mar 30, 2013 4:55am Mar 30, 2013 4:55am
Quoting joaoborras
Oh, I see.
Ok, the explanations on how to merge and unmerge are in the images below.

How to merge:

Attachment

How to unmerge:

Attachment


And, to find each session number, just hover your mouse pointer on the session and wait a bit. A window will pop up withe the information.
Hope this helps.

Cheers!
Thank you Joaoborras. Have a good Easter weekend.
  • #5,122
  • Mar 30, 2013 10:01am Mar 30, 2013 10:01am
Quoting mzvega
I just wanted to share the most valuable piece of information Ive learned from the thread.........................

There is Definitely a reason as to "Why" 90% of all traders fail!!!!


just alittle food for thought.....................................
  • #5,123
  • Mar 31, 2013 1:49am Mar 31, 2013 1:49am
Hi All

I find this thread very interesting. I am not into the method actually, but I must acknowladge how nice and suttle way it really is to uncover supply and demand flows of the markets.
i am now courios whether some skillful and evenly courios trader-coder would be interested in writing a code with a similar attempt.

There are many ways of representation of Volume, Price and Time. I am looking to check a Tape Reading Chart in live. For the ones do not know what that is, here is an attachmet to study. Like I hinted above, its purpose is the same as all the nice indicators developed by you fellow traders. Yet, it does look different.

It looks like a P&F chart. It is a Break out chart, so one has to have a variable with a pre-determined (and adjustable) price range, which must be traded through in order to allow the indicator to plot an entry.
Instead of "X" or "O" there are however Volume figures plotted in numbers (in thousends or hundreds or whatever appropriate for the timeframe).

Also, different from the traditional construction of the P&F chart in that, it must plot zero values in case a gap happens. So there are either numbers or zero values.

As an additional difference, the next column starts only if the place above or bellow the current bar, where the new entry would come, is already filled.

So the time is not very vell registered here, only the price and the traded V at the set price levels. The representation of time would be a different color or indication for the Volume figure at every, say, 30 minutes or hour or whatever the user sees fit. (The figures are circled on the attachment.)

And we all own with thank and respect to Mr. Wyckoff for his chart by the way. This method is old but there is not so much new in the markest. Nothing new in human nature anyway.
Since the time of Mr. Wyckoff the markets grew and have become somewhat more hectic. Broader public, more funds, the f...ing high frequncy sh.t.
For example, the DJ has a far higher value since the 19-es, though the same number of companies construct it. Hmm, perhaps the USD inflated like crazy in the last times? Where does it end? Will we do the same in 100 years only with different figures? S&P will trade at some idiot 5000 points? So there is no more value whatever, only inflating money. Not a bad idea to pile up with gold, silver, land, or whatever real assets after all..... Even with water!

So is any skillful madam/gent interrested to code this? Could be a usefull addition to the set of tools.

Anyway, I wish you good trading all


Kind Regards

Zol
Attached File(s)
File Type: pdf Specimen of Tape Reading Chart.pdf   46 KB | 1,985 downloads
Kind Regards zol
  • #5,124
  • Apr 19, 2013 5:30am Apr 19, 2013 5:30am
Quoting tgwhbb
can you also send the include files for this version please. ay-mplib.const.v102.mqh ay-object.func.v1.1.mqh ay-TPOChart-Session.v1.20.helper.mqh
Does anyone have these? If so, can you post them up please?
  • #5,125
  • May 15, 2013 2:33am May 15, 2013 2:33am
Hi..
Ive just downloaded ay-TPOChart.V1.32 Indi from Evaks Post.. here Iam unable to change the Session timings..can any1 please help me on this or Iam missing something..

Regards

Santosh
If it was easy, everyone would do it.
  • #5,126
  • Edited 4:10am May 25, 2013 3:07am | Edited 4:10am
Great job going on here. I subscribe.
Anyone have an idea what the "must read " pages are?
Best,
Muntu
Patience is magic
  • #5,127
  • Jun 2, 2013 7:16pm Jun 2, 2013 7:16pm
Quoting bandung
{quote} helo mima, attached image is how the volume ratio calculated. take look at the ratio on the selling tail (3.4), this is an example of its relation to s/r {image}
I have searched hi and low (no pun intended) to find a definition of the 'Volume Ratio',

Could anyone provide a definition or some sort of literature regarding this ??

Thanks in advance.
  • #5,128
  • Jun 3, 2013 8:26am Jun 3, 2013 8:26am
Not sure I understand all, but I think I read about ratios above and below POC in Minds over markets
Patience is magic
  • #5,129
  • Edited 4:07am Jun 4, 2013 2:33am | Edited 4:07am
I read Mind Over Markets. Great book. But other than explaining how it was calculated, there was nothing in there on how to use the Volume Ratio in trading. Maybe I missed something.

Any suggestions on how to effectively use the V/R ??
  • #5,130
  • Jun 4, 2013 4:47am Jun 4, 2013 4:47am
Quoting smtm
{quote} I have searched hi and low (no pun intended) to find a definition of the 'Volume Ratio', Could anyone provide a definition or some sort of literature regarding this ?? Thanks in advance.
Its has to do with "Trade Facilitation Factor"..........

The Trade Facilitation Factor, D.L. Jones, S&C, Sep. 1988
Summary: The Trade Facilitation Factor (TFF) was developed by CISCO to give a measure to the Steidlmayer trade facilitation concept. The TFF is the average number of TPO's per price traded. The number will be higher in quiescent markets where the range is small. The minimum TFF for a market not facilitating trade is one. That is, in a strongly moving market there will be only one TPO per price. Conversely, a market not facilitating trade, e.g. one that is locked at the limit with only one price quoted that day, has a TFF of the number of half-hour periods.

The following attachment explains different methods of calculating TFF. Basically, its TFF =Total TPO's (cumulative tpo's) /the range of price or TFF = Total number of TPOs / Total number of price ticks.

"Value-Based Power Trading" by Donald L. Jones goes more in depth & includes averaging. The book can be downloaded or viewed at his site. IMO the site has the most extensive research, history, background, modern applications & advanced concepts of "Auction Market Value Theory" using the Market/Meta Profile Graphic, that I have found.
He is the "Jones" who also help construct the book "Mind over markets" by Dalton, "Jones" & Dalton............... he has done extensive research through out the years (all available online). It is my most valued educational resource. Be warned.... its not an easy read.

http://www.cisco-futures.com/

TFF = Total number of TPOs / Total number of price ticks.......its the ratio of tpo's to ticks
So, in our case (Forex) Ticks are used as a proxy for Volume. "Volume Ratio" could also be interpreted as the "Ratio of ticks"
Attached File(s)
File Type: pdf The trade facilitation factor by Donald L. Jones.pdf   248 KB | 2,443 downloads
Markets are not efficient, rather they are effective - Jones
  • #5,131
  • Jun 4, 2013 4:14pm Jun 4, 2013 4:14pm
Quote
Be warned.... its not an easy read.

Your telling me.

Thanks for the reply and the notes.

Cheers.
  • #5,132
  • Jun 5, 2013 8:05am Jun 5, 2013 8:05am
Hi Mzvega, do you mean that Cisco site is a must read? Does he treat things differently from others or is it just that he goes dipper?


Quoting mzvega
{quote} Its has to do with "Trade Facilitation Factor".......... The Trade Facilitation Factor, D.L. Jones, S&C, Sep. 1988 Summary: The Trade Facilitation Factor (TFF) was developed by CISCO to give a measure to the Steidlmayer trade facilitation concept. The TFF is the average number of TPO's per price traded. The number will be higher in quiescent markets where the range is small. The minimum TFF for a market not facilitating trade is one. That is, in a strongly moving market there will be only one TPO per price. Conversely, a market not facilitating...
Patience is magic
  • #5,133
  • Jun 5, 2013 2:40pm Jun 5, 2013 2:40pm
Quoting frankkn
I don't have any way of getting VAH or VAL but here are some eyeballed levels. {image}
There is a website called Tradesight that provides accurate VAH and VAL for ten Forex pairs daily.
  • #5,134
  • Jun 16, 2013 10:40am Jun 16, 2013 10:40am
Hello Girls and Boys,

Thanks for this thread. I find it last week. Yersterday i had first time the metatrader running and installing bandungs TPO 1.32. Perfect.

Im trading futures (S&P, DAX) as im living in Germany (GMT+1). The Broker Time is also (GMT+1). Unfortunatly I fail so seperate the Trading sessions. The S&P Starts here at 15:30 and ends at 22:15. The rest ist overnight. so I had only 2 sessions in this case an my question is, how can i seperate these two in the indicator.
Maybe start day session at (the first) at 15:30 and the next Session at 22:15 (the second) and no third. How can i split the sessions (split by sessions 2?)?

Hop can i get the textbox above the day Profile to see the numbers and the start time of the profile?

and at last, how can i split a profile to see the 30min sessions seperated?

So Thanks at all for this very informatife Thread and the many contributions, and BIG Thanks to bandung,

Regards, futwiz
  • #5,135
  • Jun 16, 2013 2:47pm Jun 16, 2013 2:47pm
Hello everyone,

I think I MAY have found a major bug in one of Bandung's MP indicators. (Of course I could be wrong)

I've been using Bandung's latest market profile DWM indicator (named ay-MarketProfileDWM.v1.31.rev1.mq4) from Bandung's post here:

Quoting bandung
thanks guys for reporting the bugs on mp indicator..., you find it faster than me... here is some update vor V1.31 v1.31.rev1 add Ticksize, VolAmplitudePercent bug fix : - Profile High and Low misscalculated when high or low of the day occured at first m30 candle. - Open and Close Arrow Location - profile missing when DayStartHour not exist on the chart like Hour 0 not exist on some days on #YMH1 chart (fxpro); {file}
I just noticed today that the DayStartHour option of the indicator does not work for weekly and monthly profiles. When you change DayStartHour to account for time difference between different brokers, the profile levels (POC, VAH, VAL) should shift up/down (significantly in some cases). This feature works perfectly for daily profiles. But when using it for monthly and weekly, changing the DayStartHour option has absolutely no effect on the profile levels.

Has anyone else noticed this? Or has Bandung picked up on this and I just missed a newer version with a fix for this problem?

Thank you so much in advance for anyone who can help with this.
  • #5,136
  • Jun 16, 2013 5:31pm Jun 16, 2013 5:31pm
Quoting SMTrader
Hello everyone, I think I MAY have found a major bug in one of Bandung's MP indicators. (Of course I could be wrong) I've been using Bandung's latest market profile DWM indicator (named ay-MarketProfileDWM.v1.31.rev1.mq4) from Bandung's post here: {quote} I just noticed today that the DayStartHour option of the indicator does not work for weekly and monthly profiles. When you change DayStartHour to account for time difference between different brokers, the profile...
There have been many, many updates & improvements. Its was updated (evolved) a couple years ago, I believe it may be the "first indicator" I cant be sure, but I can tell you its probably the logic. The indicator would need DayStartHour for the daily profile. The weekly profile would call for something like weekdaystart.... Im not a programmer, but I can tell you that's why its an extremely outdated, & flawed. Don't get me wrong, Bandung's has done some amazing work in the "evolvement" of the indicator to what is today "ay-tpochart 1.32". There have been many improvements throughout the several different versions. I use a combination of versions "ay-tpochart 1.32" & "ay-tpochart 1.02" for my day to day trading. But I also use spreadsheets to track & analyze data. I wouldn't put too much thought into the indicator. If your using it to interpret the Auction Market Process, it doesn't have the "market generated data" needed to do so. Id recommend reading the thread and familiarize yourself with the different indicators, and the various improvements. But then again, there are many who use it as some kind of S&R indicator, if that's what you've been using it for I don't see why you couldn't continue to do so. I don't understand the logic, but you could ask someone who actually uses it. Sorry I couldn't be of more help......
Markets are not efficient, rather they are effective - Jones
  • #5,137
  • Jun 20, 2013 6:22am Jun 20, 2013 6:22am
Thank you so much Mzvega for your kind answer. I honestly didn't think anyone would bother to answer my question. The indicator is very well coded and I appreciate Bandung a lot for what he has done and shared with the community. The levels produced by the indicator are surprisingly accurate and offer pretty effective support/resistance, which is why I was trying to see if they were uniform across different brokers. My conclusion, after having done my own research and asking around, is that daily and weekly profiles will be close to identical for all brokers (with the daily's requiring timezone adjustment using the DayStartHour). For monthly profiles, occasional variations may exist in months which start or end on a weekend, because brokers handle market open/close around weekends differently. So monthly profiles, in my opinion, can be used as general support/resistance but not very effective for use as probably fade or breakout zones on a short-term/intraday basis.

I've read through the thread, and I find your way of trading/analysis very sophisticated and thoughtful, which I like very much. I will try to explore the indicators you mentioned and learn more about your style of trading.

Thank you again for your kindness, Mzvega.

Cheers!

Quoting mzvega
{quote} There have been many, many updates & improvements. Its was updated (evolved) a couple years ago, I believe it may be the "first indicator" I cant be sure, but I can tell you its probably the logic. The indicator would need DayStartHour for the daily profile. The weekly profile would call for something like weekdaystart.... Im not a programmer, but I can tell you that's why its an extremely outdated, & flawed. Don't get me wrong, Bandung's has done some amazing work in the "evolvement" of the indicator to what is today "ay-tpochart 1.32"....
  • #5,138
  • Aug 2, 2013 10:03am Aug 2, 2013 10:03am
Quoting mzvega
{quote} Bil, try this, isnt a "swing indicator" but its called delta. Its pretty much does the same but it combines both volumes at certain bars maybe it will do the same thing. I use it quite successfully. {file}
Mzvega, firstly thanks for all your posts as they are really educational although I am still going thru them all.

Would just like to know what this Delta Force is and how you utilize it. I tried looking for more info on it but only got some stupid system being sold in the same name.

Thank you in advanced.
  • #5,139
  • Aug 4, 2013 4:12pm Aug 4, 2013 4:12pm
Quoting santoshdts
Hi.. Ive just downloaded ay-TPOChart.V1.32 Indi from Evaks Post.. here Iam unable to change the Session timings..can any1 please help me on this or Iam missing something.. Regards Santosh
Hi Santosh,

I downloaded ay-TPOChart 1.31 and also 1.32, but neither is working.
All I get is empty indicator windows.
Could you make it work? How?

Cheers, Sven
  • #5,140
  • Aug 4, 2013 7:24pm Aug 4, 2013 7:24pm
Quoting svengralla
{quote} Hi Santosh, I downloaded ay-TPOChart 1.31 and also 1.32, but neither is working. All I get is empty indicator windows. Could you make it work? How? Cheers, Sven

Sven,

Make sure in the Common tab, the Allow DLL Imports is checked.

Hope that helps.

Rgds.
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