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Auction Market Theory and Market Profile

  • #5,241
  • Jan 6, 2014 9:39am Jan 6, 2014 9:39am
I received a PM asking where I get the data I post for analysis. Yes it does come from the Cisco website. You are allowed free access to certain data on the weekend. There’s also a link to the past 10 days of “balance” info any time. You can purchase data, however If you’re using the MP indicator, all the same exact data is right there produced by the profile. You just need to organize it and track, it takes a little effort. But all data is produced by the profile graphic. Unless your trading “cleared” volume, in which you’re limited to EOD data. They do sell data, but the majority of the site is mostly dedicated to education, & research………………………… But the data can be found using a simple profile indicator…………… They do offer a free 2 week trial to their data. But I personally haven't had need. I use the site for educational purposes


http://www.cisco-futures.com/htbin/vg_va_form9
http://www.cisco-futures.com/htbin/CMaPS_PA
http://www.cisco-futures.com/htbin/ae_curr
Markets are not efficient, rather they are effective - Jones
  • #5,242
  • Jan 8, 2014 2:53am Jan 8, 2014 2:53am
Quoting mzvega
{quote} I’m experimenting with “run pause” patterns of tpo's, etc. ……
Me too. very similar to my prefer way of trading stocks using point & figure. Cisco define congestion in 3 stages if i m not wrong namely the pause (2tpo across), warning(3tpo) & congest (4tpo & above). Hope i can stick with it as it provide clear define risk & breakout price if i have screen time to day trade.

For now i m focus on doing breakout & responsive trade. But more on breakout as it gives me lead time to setup my trade as i do not have time to monitor it. So

I have found 2 pairs with good opportuinity USDCAD & GBPCHF. I m still holding on to the Gchf pair.

Given the strong subjective reference point reading taken after 6th of Jan; the 3day bracket of 5-10day trend. I gives good confidence for a BO trade done yesterday.
http://i.imgur.com/34o61VM.gif
  • #5,243
  • Jan 8, 2014 10:07am Jan 8, 2014 10:07am
Quoting Evak
{quote} Me too. very similar to my prefer way of trading stocks using point & figure. Cisco define congestion in 3 stages if i m not wrong namely the pause (2tpo across), warning(3tpo) & congest (4tpo & above). Hope i can stick with it as it provide clear define risk & breakout price if i have screen time to day trade. For now i m focus on doing breakout & responsive trade. But more on breakout as it gives me lead time to setup my trade as i do not have time to monitor it. So I have found 2 pairs with good opportuinity USDCAD & GBPCHF. I m still...
Wow, awesome looking "flow table" I never could quite get the P&F charts, I understood the concept, but my execution with it sucked. The "Run pause" its a little easier to wrap my head around. I'm still experimenting with R&P. I'm taking way more trades, than I'm accustom to. Its not a bad thing, its just instead of trading I feel I'm just always in a state of "managing trades". And often when a Bo opportunity arises, I don't have enough "gun powder" left , and I break my rules on occasion. I allow myself so much "workable" margin a day, and when I've used all my workable margin, one of these BO arise, and I then I decide to use "just a little" more margin, and I end up biting off just a little more than I want to chew. But all in all I think Im doing alright. I need to find a balance that works for me. I like the longer LTF swings, the intraday is a little busy for my taste, but I have to learn to be able to trade no matter what the market condition, but all in all I'm working through it................................Don't be a stranger, this thread is so incredibly boring and quite..........
Markets are not efficient, rather they are effective - Jones
  • #5,244
  • Jan 10, 2014 10:06am Jan 10, 2014 10:06am
Dear friends, who share the MT4 HLC Bar indicator? Thank you!
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  • #5,245
  • Jan 10, 2014 10:34am Jan 10, 2014 10:34am
Quoting Kingsford
Dear friends, who share the MT4 HLC Bar indicator? Thank you! {image}
Kingsford, I think you may possibly be looking for the VSA tread.............Bar/ candlestick data isn't used here. We trade value instead of price. But what you're looking for can be found in the attachment list in the VSA thread....................
Markets are not efficient, rather they are effective - Jones
  • #5,246
  • Jan 10, 2014 12:33pm Jan 10, 2014 12:33pm
Hi EVAK,

What version of the MP are you using ??
  • #5,247
  • Jan 11, 2014 11:25am Jan 11, 2014 11:25am
Well, I had to figure out the answer by myself: go to post 1 page 1 and from there forward. I am now in November 2011, so just 2 years' material left to cover. I hope to be done very soon. So I thought I should let you know that:
-I might quote some old post in search of some more light, so please forgive my retard;
-Most of the links are inefficient, specially those to Bandung's and JD's blogs;
-Where do I get the latest version of the TPO indi ?
-BTW, anyone know an equivalent for Ninja ?

Thank you all, specially Frank and Bandung.


Quoting Muntu
Great job going on here. I subscribe. Anyone have an idea what the "must read " pages are? Best, Muntu
Patience is magic
  • #5,248
  • Edited 2:10pm Jan 11, 2014 12:05pm | Edited 2:10pm
Quoting Muntu
Well, I had to figure out the answer by myself: go to post 1 page 1 and from there forward. I am now in November 2011, so just 2 years' material left to cover. I hope to be done very soon. So I thought I should let you know that: -I might quote some old post in search of some more light, so please forgive my retard; -Most of the links are inefficient, specially those to Bandung's and JD's blogs; -Where do I get the latest version of the TPO indi ? -BTW, anyone know an equivalent for Ninja ? Thank you all, specially Frank and Bandung. {quote}

I have noticed you do spend a lot of time viewing the thread, that I greatly appreciate. Things have "evolved" somewhat. May I ask if you have at least read one of the books posted, Mind over markets or markets in profile? To save time on the learning curve, I would suggest reading one of those books & bypass reading the thread. Its a rehash of the same first few pages of the book, that no one wants to read, and endless explainations trying to explain concepts, to others without a basic understanding. Things have evolved, and its impossible for to explain the differences and how it applies to the markets we trade, without the basic concept. But if you have read the book or in the process I can answer any questions you may have and direct you to an answer.................I do believe ninja has indicators. I have "seen" a few but I have no idea where it might be found.................
Any questions just ask..................

Edit: as I mentioned before, I've seen you've invested time reading the thread. For the time i've seen you here you could have read mind over markets a few times over. And if you do get through 2yrs of posts you'll realize its a rehash of the first couple of chapters of the book.

you can find the indicator here
http://www.forexfactory.com/showthre...91#post6350191

Some things that may be needed can be found here, the instructions for version 1.32 are the same as v1.31
http://www.forexfactory.com/showthre...03#post5389603

additonal info
http://www.forexfactory.com/showthre...17#post7189417


Value based power trading
http://www.4shared.com/office/S3a7Zw...PRINT__1_.html
Attached File(s)
File Type: zip Mind_over_Markets.zip   9.4 MB | 4,039 downloads
File Type: pdf Markets in Profile.pdf   3.6 MB | 2,075 downloads
Markets are not efficient, rather they are effective - Jones
  • #5,249
  • Jan 11, 2014 3:16pm Jan 11, 2014 3:16pm
Thanks a lot for support, Miss !
Actually I am reading here and the books when I am not in front of the computer. Just finished MOM. I read Markets in profile last year and plan to re read. Now I am busy with the book by Peter Steidlmeyer and S. Hawkins, "Steidlmeyer on markets" . After that I plan to take on the recent edition of MOM, for rehearsal and to see what are the changes.
I do have a Ninja volume profile indi on my platform, similar to the DWM profile from Bandung, and have often traded with it, I just wanted to make sure it is of Bandung's indies class.
My preferred play so far being the retest of recent days' levels, with the Poc at the center of the radar, among the infinite possibilities offered by the profiles. As an apprentice, I think better to know one "pattern" best.

Quoting mzvega
{quote} I have noticed you do spend a lot of time viewing the thread, that I greatly appreciate. Things have "evolved" somewhat. May I ask if you have at least read one of the books posted, Mind over markets or markets in profile? To save time on the learning curve, I would suggest reading one of those books & bypass reading the thread. Its a rehash of the same first few pages of the book, that no one wants to read, and endless explainations trying to explain concepts, to others without a basic understanding. Things have evolved, and its impossible...
Patience is magic
  • #5,250
  • Jan 11, 2014 3:56pm Jan 11, 2014 3:56pm
Quoting Muntu
Thanks a lot for support, Miss ! Actually I am reading here and the books when I am not in front of the computer. Just finished MOM. I read Markets in profile last year and plan to re read. Now I am busy with the book by Peter Steidlmeyer and S. Hawkins, "Steidlmeyer on markets" . After that I plan to take on the recent edition of MOM, for rehearsal and to see what are the changes. I do have a Ninja volume profile indi on my platform, similar to the DWM profile from Bandung, and have often traded with it, I just wanted to make sure it is of Bandung's...
I glad to assist you with any questions you may have...................

this post may be helpful to you...............
http://www.forexfactory.com/showthre...81#post7105981
Markets are not efficient, rather they are effective - Jones
  • #5,251
  • Jan 12, 2014 8:09am Jan 12, 2014 8:09am
Thanks a lot. Will try to make the best use of this wealth of documents and guidance. Especially after watching that video with the 14 years old do the application with such ease...


Quoting mzvega
{quote} I glad to assist you with any questions you may have................... this post may be helpful to you............... http://www.forexfactory.com/showthre...81#post7105981
Patience is magic
  • #5,252
  • Jan 13, 2014 12:38pm Jan 13, 2014 12:38pm
Waow! Like always with M. Jones, it was not easy reading this very interesting document with my miserable English. Not sure I understand every thing any way. Looks like all the MP gurus are no longer in 100% agreement on MP reference points and utility.

I understand that the more the shape of profile is near to D the better. I also understand that the main grievance is against one day not being statistically representative of a balance area. But If 1 day can be just a resting point in a trend so can 3 days IMHO. How different is this overlay demand curve from a composite? from the meta profile? Maybe we should extend the VA in trend days to the second deviation? As an intraday trader who mainly uses MP/VP for trading preparation, how does one operate on trend days?
I will try and read the other documents for more insight. I am very curious to compare the accurateness of the three day rule's VA/POC the the daily ones.

Quoting mzvega
This thread has been pretty dead so Id thought Id start a topic of discussion. I often see in other threads others post & display these so called S&R levels using Daily POC & Daily VPOC. I would hope to think someone wouldn't blindly accept those types of levels without actually seeing the chart used to arrive at these levels. In order to quantify, you need to know "relative to what?" I wanted to share an article from Cisco -Futures (Cisco is is the "Jones" who helped author "Mind over Markets & Markets in Profile". He is also the author of "Value...
Patience is magic
  • #5,253
  • Jan 13, 2014 1:16pm Jan 13, 2014 1:16pm
Quoting Muntu
Waow! Like always with M. Jones, it was not easy reading this very interesting document with my miserable English. Not sure I understand every thing any way. Looks like all the MP gurus are no longer in 100% agreement on MP reference points and utility. I understand that the more the shape of profile is near to D the better. I also understand that the main grievance is against one day not being statistically representative of a balance area. But If 1 day can be just a resting point in a trend so can 3 days IMHO. How different is this overlay demand...
You nailed it !!!
Composite or Overlay is the same as a merged profile. Below is a 10, 5, 3 day distribution. Todays daily profile looks balanced, but relative to the 3 day distr., the 3 day is elongated, so its not balanced, its trending. you can see confirmation of that with the BO of the 5 day distrib. And you can see with the 10 day distrib, price is attempting & testing of the 10 day LTF distr. So, by looking at the how the 3 day is trending up, bo the 5 day dist. and attempting to bo the 10 day. Also daily eod analysis of the internal data, had an imbalance of tpos in favor of buyers. Is all relative to the LTF distrib. If we fail to break the 10 we will return to trading within the 10 day distrib...........................
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Markets are not efficient, rather they are effective - Jones
  • #5,254
  • Jan 13, 2014 1:25pm Jan 13, 2014 1:25pm
Quoting Muntu
Waow! Like always with M. Jones, it was not easy reading this very interesting document with my miserable English. Not sure I understand every thing any way. Looks like all the MP gurus are no longer in 100% agreement on MP reference points and utility. I understand that the more the shape of profile is near to D the better. I also understand that the main grievance is against one day not being statistically representative of a balance area. But If 1 day can be just a resting point in a trend so can 3 days IMHO. How different is this overlay demand...
That's why pattern reconition fails, you have to do the analysis, for which TF distr, your trading. Hers an example, I do this analysis every day for each Distr.
Every day you have to ask what is the "condition" of the market" The 3 day is trending, there is not enough data in the intraday tf that tells you that. What goes on in the intraday TF is not represenitive of true value. You need a minimum 3 days of data. Any "assumption" in the intraday TF should be confirmed by the 3.
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Attached Image
Markets are not efficient, rather they are effective - Jones
  • #5,255
  • Jan 14, 2014 5:51pm Jan 14, 2014 5:51pm
Quoting mzvega
{quote} Kingsford, I think you may possibly be looking for the VSA tread.............Bar/ candlestick data isn't used here. We trade value instead of price. But what you're looking for can be found in the attachment list in the VSA thread....................
mzvega,

I like the concept of trading value, I think I get it but still find it hard to grasp. Can you diredct me to any material available? Thanks.
  • #5,256
  • Jan 15, 2014 11:19am Jan 15, 2014 11:19am
Quoting hohgch
{quote} mzvega, I like the concept of trading value, I think I get it but still find it hard to grasp. Can you direct me to any material available? Thanks.
hohgch, if you look a few posts back, and maybe read a few pages back, you should be able to find what you're looking for, also, the first page of the thread has many resources as well.................
Markets are not efficient, rather they are effective - Jones
  • #5,257
  • Edited 1:47pm Jan 15, 2014 1:22pm | Edited 1:47pm
Quoting Muntu
Maybe we should extend the VA in trend days to the second deviation? As an intraday trader who mainly uses MP/VP for trading preparation, how does one operate on trend days? I will try and read the other documents for more insight. I am very curious to compare the accurateness of the three day rule's VA/POC the the daily ones. {quote}
Somehow I missed this.............."on a trend day extending the VA to the second deviation". IMO, you shouldn't. A trend day is not bell shaped, not gaussian. The gaussian distribution doesn't exist in a trending market, if it doesn't exist, neither does its reference points........... You have to be able to separate the two, AMT is not trading "standard deviations". Vwaps & Std dev & such, if your'e lucky they are only valid maybe 1/3 of the time...........The gaussian distribution is used to help best "describe" the auction market process, not the "process" itself...........

At times the market is well behaved and the gaussian model is adequate. At other times, a gaussian is not appropriate
A gaussian distribution has a well defined form, the bell shape. Two parameters (mean and standard deviation) define all points on the curve. Example, for a gaussian distribution (Bell shaped) both the mean and standard deviation can be found from the data. If you apply the identical formula to non-gaussian data (elongated), of course, the data interpretations are invalid & meaningless. If the market is not bell shape it’s no longer gaussian (Bell shape). gaussian analysis, relies on a balanced distribution. You can’t apply or expect gaussian analysis or reference points to be valid if the data’s not gaussian to begin with……

One problem with market profile is that there is little, if any discussion about data validity; does the distribution at hand fit the bell shape model and what to do if the bell shape is not present that day or the day shows both bell parts and non-bell shaped areas. Tests of the quality of fit to a gaussian curve are available in statistics literature but not mentioned in CBOT 1985, CBOT 1991 or MOM. A distribution may have a bell shape and still not be gaussian. That would mean that at the very least, value obtained is questionable.

Remember, the basic premise of market profile, the foundation, is that the bell shaped profile forms a gaussian distribution and value can be found (defined) as the first standard deviation of that price-volume distribution. If the profile is not bell shaped at all, obviously it is incorrect to apply gaussian statistical analyses. Since bell shaped Profiles only occur in balanced markets (and probably only in balances), it is necessary to have a tool, like the 'Three Day Balance Rule'. Even in an overall 5 Day Balance one or more daily profiles days may fail the bell-shape test. Yet the 5 day distr. is balanced.

One has a choice: use a simplified picture (equilibrium/pattern recognition) and be able to analyze the market (knowing there will be times when the analysis is wrong) or use “data” analysis (analysis of the reference points) to give you statistical data of market condition regardless of distribution………………………
Markets are not efficient, rather they are effective - Jones
  • #5,258
  • Jan 15, 2014 5:56pm Jan 15, 2014 5:56pm
Quoting mzvega
{quote} Somehow I missed this.............."on a trend day extending the VA to the second deviation". IMO, you shouldn't. A trend day is not bell shaped, not gaussian. The gaussian distribution doesn't exist in a trending market, if it doesn't exist, neither does its reference points........... You have to be able to separate the two, AMT is not trading "standard deviations". Vwaps & Std dev & such, if your'e lucky they are only valid maybe 1/3 of the time...........The gaussian distribution is used to help best "describe" the auction market process,...

You can do it this way:


collect the data of the duration (e.g. daily), calculate the mean of it and the SD's.

When price breaks the 3rd SD, chances are extremely high, that market is trending. If that has happened, that does not mean, that it will not mean revert or partially mean revert. It only means, that chances are extreme high, that price will sometimes in the next hours or so travel further in that direction.

That is all a pure statistical(probability) play.....
  • #5,259
  • Jan 16, 2014 12:52am Jan 16, 2014 12:52am
Quoting infinitus
{quote} That is all a pure statistical(probability) play.....
....................that has nothing to do with auction market "analysis"

Of course you can impose any mathematical calculation upon price and produce a result. I've done enough research on gaussian statistical analysis, to know that you need a gaussian data set. If your data set is not gaussian the analysis is invalid. And it’s already been proven that "gaussian distribution" does not adequately describe financial markets. Why would I spend any more time trying to pound a square peg in a round hole?
I can impose an E=mc2 calculation to price, doesn’t mean anything. I can extend a range of price by multiplying price in 15.2 pip increments. Still doesn’t mean anything. No algebraic calculation imposed on a price will tell you anything about the market or how it works. It’s easier to trade lines on a chart, than putting in the effort of doing real “data” analysis.

Auction market analysis (analysis of the tpo chart data), tells you if there's an imbalance of buyers or sellers and by how much, tpo counts above or below value tell you how much long term interest is involved, if its increasing or decreasing, it tells you if trading is in public or commercial hands, it also tells you if you have an completed auction or not, etc, etc, etc.......Gaussian distr. what does it actually tell you about the market? And its participants? The market may or may not be trending. That’s not enough data for me to make an informed trading decision. I’ll just stick to the “facts”(data).
Anyway I said all that to say this, trading Gaussian distr.. works for some people, but it is not to be confused with "Auction market analysis" or "Value" analysis. Pattern recognition, excludes market data & analysis. It completely ignores it.

I'd rather take the time to analyze market data for my trading decisions. But what counts is that it works for you. If it aint broke, don’t fix it! But it’s just not for me, I’ve already been down that road, I’ve read enough material & statistical data, to support my opinion, and I’m pretty sure you’ve done enough research to support your “theory” that a gaussian distribution adequately describe financial markets. You just can’t call it “auction market analysis”……
Markets are not efficient, rather they are effective - Jones
  • #5,260
  • Jan 16, 2014 9:19am Jan 16, 2014 9:19am
Quoting infinitus
{quote} You can do it this way: collect the data of the duration (e.g. daily), calculate the mean of it and the SD's ...
Or use Bollinger Bands if that's what you want...
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