Auction Market Value Theory & Analytics

There might be a lot of traders who would appreciate a more "simplified" approach to trading. Perhaps you can start a thread of your own explaining your method, I'm sure there are many other traders who would appreciate an alternative approach.

This post was intended as a response to a post in another thread and then later decided against it. You may not be able to see the actual orders in the market executed, but you can have quantitative measure in which to measure demand.

TPO Count The Time Price Opportunity is the smallest unit of market measurement. As mentioned earlier, TPO stands for Time, the market's regulator, and Price, the market's advertiser, together creating the Opportunity to buy or sell at a given price at a particular time. Monitoring the TPO count helps evaluate other(LTF) timeframe control. Specifically, the TPO count measures the level of imbalance (when such an imbalance exists). Imbalance occurs when there are more other(LTF) timeframe buyers than sellers or more other(LTF) timeframe sellers than buyers

The locals position themselves between the flow of outside buy orders and outside sell orders (orders placed predominantly by off-floor, Other(LTF) timeframe participants). For example, suppose that a floor broker receives an order to sell 100 contracts at, say, $5.00 per contract. The locals would buy the contracts from the broker and then turn around and sell them to another floor broker who has an order to buy 100 contracts at $5.02. In this situation, the locals perform their role of facilitating trade and, in return, receive a small margin of profit.

If we can identify imbalance before it corrects itself, then perhaps we can capitalize on it, too. Tails and range extension are more obvious forms of other (LTF)
timeframe presence,. The TPO count is an excellent method for evaluating day-to-day imbalance, & Evaluating Other (LTF)Timeframe Control. We have stressed in general terms the importance of determining who, if anyone, is in control of the market.

There is a reason why using bar charts is a non permitted practice in AMVT.

In brief you can't measure what you cant see. You have to reformat OHLC data into it's original price*time format.
http://www.forexfactory.com/showthre...28#post8962628
http://www.forexfactory.com/showthre...90#post8962790
http://www.forexfactory.com/showthre...70#post8965070
http://www.forexfactory.com/showthre...63#post8981763

The "TPO count" is found by isolating the point of control (the longest line closest to the center of the range), summing all the TPOs above it and comparing that number to the total number of TPOs below it. Single print tails are excluded from the count, because their implications are clear and have already been considered when examining activity on the extremes. Remember, the point of control is significant, because it indicates the price where the most activity occurred during the period selected and is, therefore, the fairest price (price x time = value).

The total TPO figure above the point of control represents other (LTF) timeframe traders willing to sell and stay short above value, while total TPOs below the point of control represent other (LTF) timeframe traders willing to buy and stay long below value. The resulting ratio is an estimate for buyer/seller imbalance.

For example, a ratio of 30/47 breaks down to 30 selling TPOs above the point of control, and 47 buying TPOs below. Note that a value area is not specifically calculated. Rather, the methodology of the TPO count, implies value and an estimate of demand.


Many TA'ist hear AMVT axioms thinking they can be applied to bar charts. TA'ist think in straight lines because their choice of data sorts the data and organizes it in a linear , chronological order.

"Price over time" from a TA perspective is measuring price over linear, chronological time. From point A to point B in sequential, linear & chronological order. This is why it is important to understand that this is not TA. "Price over time" is not a "linear" or "chronological" measure that can't be measured with a bar chart.

We use the smallest unit of market measurement for analysis so we have actual objective data rather than "subjective" data, that we can actually quantify & measure. You cant quantify candlestick patterns.

But the point is to remind yourself to stop thinking linearly in a chronological fashion. The more you try to interpret auction market analysis in the context of a bar chart......the harder & more confused you will be.

The market is complex, if you're looking for simplicity, trading using "quantitative" analysis is definitely not the method for you. As I mentioned before most retail traders choose the path of least resistance in choosing TA. The point of the thread is to use a quantitative measurement based approach rather than typical "qualitative based pattern recognition" used in TA.

Thanks for the info MzVega,
These were the posts that first attracted my attention. Especially the point about the arbitrary nature of bar (or candlestick) chart tf's. This raises a question in my mind as I read MOM (about 1/2 way through). In using TPO counts aren't we also using linear thinking to an extent. I mean, if we say for example that price only printed once at a given level we mean it printed once in that 30 minute segment. It may well have hit that price several times though, correct? I guess we have to break the data into some form of linear time.
I'm just scratching the surface so hopefully it will come together in my thinking.

Thanks again

I apologize for it taking so long to try to answer your question.
Correct, It may well have hit that price several times during that 30m segment of time only.

Just a few reasons that may explain why the 30m segment of time is used for analysis

Logically, the concept of instant feedback (efficient market) defies the laws of nature. It takes time for a trader to accept a price change, evaluate it, decide on a course of action and respond. Steidlmayer explicitly selected a 30 minute feedback time, which research has supported to some degree . -D.L. Jones

Complex systems concepts have only recently begun to be applied to financial market analysis. Complex systems are generally nonlinear with feedback acting to continually adjust the system. There appears to be no hard and fast definition of a complex system. -D.L. Jones

Practice 1: An example of a Non-permitted Practice, Efficient Markets:
It has been widely proposed that markets are efficient (any new information is immediately reflected in the price). This practice is invalidated by theory. Here's why: Markets are driven by feedback, therefore new information comes in at the feedback rate. Imagine that a given trader has new information and acts on it. That activity shows up on all trader's screens, say as an increase in price. Some buy on the news, some sell and some do nothing. It takes a different amount of time for each trader to decide. After some time (typically five to thirty minutes) the new information is assimilated and the market stops reacting to it. This shows market self organization at work, adjusting to the new situation. Feedback cannot take place instantly, so theory shows that efficient market concepts are invalid in auction markets. In plain english, even if a valid change in the value takes place instantly, the trader population cannot get the information, evaluate it and act on it instantly. -D.L. Jones

Another characteristic of Auction Markets is a time delay in a market's response to a pulse of activity. Feedback from the widely scattered agents/traders takes time: each trader acts within his/her own interpretation of the market action and within his own timeframe. In a market driven by feedback the time to respond is variable depending on the impetus, And value, not price, guides the way. -D.L. Jones

However, the feedback cannot generally provide predictive information since the feedback depends on trader behavior. Trader behavior at a future time is not known in the current timeframe. That is, all traders see a market change at the same time. The trader response to that change and subsequent changes is conditioned on the path of each change in sequence. Since the later changes can only be effected on the basis of the next earlier change, the market behavior is uncertain from feedback to feedback. -D.L. Jones


It takes about thirty minutes for the new information to be assimilated and for the market to stop reacting to it. Everything between is noise. It's that 30m segment of time to best detect real changes in the market. It filters out the noise & the fluctuation in price while keeping it real time. So we only need info about a price once, for that segment of time anything more, imo would be considered excess.

In Jones's empirical research it was closer to 25 minutes. But, I hope this helps explain why the 30m segment of time was chosen for analysis.

Some food for thought
http://www.forexfactory.com/showthre...98#post8573398

Mzvega,
GBP/JPY was sitting down for 3 to 4 days. If you woke up yesterday evening What would have made you believe it would fly up since then upto now? I did not trade it because I did not yet master reading the data. JP

You must mean Friday's data when referring to yesterday. Nothing at all. I would not have done anything. There would have been no trade. The market is still trending. Although the data showed a small imbalance of buyers intraday the previous day. There was nothing in yesterdays data that suggests the condition of the LTF has changed. I don’t do "prediction". I trade changes in condition/value, I don’t chase price.

You wont master reading the data until you first master reading the reference material first (MOM & VBPT)

If I woke up yesterday evening I would have used this data for analysis.....

Mzvega,
Yes I meant Friday data for Sunday evening to Monday (EST). I am trying to come out from a habit of trying to chase 10-15 pips day trading and 350 pips is quite a lot and is reverse trending in my old school of thought. Indeed MOM and VBPT are on my screen, I will get back to them again. Thank you. JP

Now it is the second day since Sunday evening. It is more than 600 pips. My old thinking is conflicting with my inability of data reading. I am still reading MOM.

Still holding euraud

Not the ideal set of data. The data does not very well support the trade



EJ

mzvega, i tried the indicators by bandung, and none seemed to work on my mt4, as it keeps showing different errors, i have been reading about AMVT, and it seeems interesting, could you give me a link to your visual package/ indicator, free and/or paid for.

LINK:

Composite profile indi:

http://www.fxindi.net/p/download-mt4-indicators.html

tpo indi:

https://www.mql5.com/en/market/product/3033

Any problems? Please with screenshot.

Thanks
C

The CISCO Value Analytics Trading Game
Background
Copyright CISCO 2007

Value Analytics is a melding of CISCO's market condition methodology with a special blend of Market Profile, one oriented to quantitative evaluation of reference points.

Market Profile concept and methodology has been around since 1985. Standard Market Profile is based on pattern recognition (day types) and then holistically including the reference points (which can mean different things depending on the day type) into a market reading of who is doing what and why. There continues to be a vast amount of misinformation and misunderstanding about profiles and what they are supposed to do for one's trading. The problem is several: markets are complex and hard to decipher, market theory from the economists is deeply flawed and the two best known books on the profile expect the trader to understand all the profile reference points and to put them together holistically. This is a tall order.

At CISCO we joined the profile bandwagon early on. We believed then, and now, that information derived from profile/value data can aid virtually every trader. Our studies have led to some generally accepted innovations in the field. Unfortunately, our contact with traders leads us to the the conclusion that few traders are able to effectively apply profile methodology in their trading.

Our subject in this report is training traders in the use of Value Analytics: market condition integrated with profile information. Our approach is in the form of a game, where you know the end result (opportunity), but need to learn how to get there. Your score is the result of your strategy minus the opportunity. Normally your result will be negative (less than the opportunity) and 50 percent of the opportunity is quite good. But there are cases where you can exceed the opportunity if you change your strategy in tune with changing market conditions. An instance is where you make a responsive short trade, say shorting the upper limit or Octant of a balance with a target of the middle of the distribution. The market falls like a stone. Price reaches the middle; you are reading the market to continue down and do not exit, turning into an initiative mindset. These opportunities occur frequently and offer the potential for extraordinary gains. From a game standpoint what happened was you entered your responsive position with the odds on a small gain. During the trade the odds changed in your favor to a large potential. The game itself changed during the play of the hand. Correctly reading the market as it changes is the key.

Before we get into the game we need to review the earlier profile training so we all are on the same page. Before you can understand how to apply Value Analytics you need to be sure you know the definitions of profile elements like tails, initial balance, etc. The primary source is CBOT Market Profile Manual, and the best explanations for the beginner are in Mind Over Markets.

Most readers will have encountered these two major sources of profile information, Mind Over Markets, 1990 and the CBOT Market Profile Manual, 1991. We will first spend a little time discussing the two, pointing out why we believe that while both are valuable resources, they have not accomplished their intended job of teaching.

Lastly, we turn to the CISCO reinforcement method of training you to use profile understanding in trading. This positive approach uses real world market situations. You analyze the market in the evening with the Value Analytics data. You develop a strategy for the next day. You track the market throughout the test day in real time with the Meta-Profile, making trading decisions in real time. You directly see the effect of your decisions as the market moves. You watch the profile variables develop. You learn to interpret profiles as the market moves. You have a test bed for learning. This is the profile 'Trading Game'.

A Brief Profile History
CBOT Market Profile (tm) 1985, the Beginning
Auction market value analysis on profiles started with the publication of CBOT Maket Profile (CMP) in 1985. CMP 1985 was a product release based on the Market Profile methodology developed by J.Peter. Steidlmayer, a 20 year member of the CBOT pits (grains, mostly). Steidlmayer had noticed that most markets generated a bell shaped price-volume curve with low volume at the higher and lower price extremes and heavier volume at the middle prices. This is the Market Profile. It is volume (exchange cleared) based.

Steidlmayer developed a novel price-time measure; splitting a day into half-hour segments (mini-days), assigning a letter to each period (A denoted trading from 8 AM to 8:30, B is 8:30 to 9, and so on. These letters were named TPO's for Time Price Opportunity. As the day wore on, the more frequently traded prices would gather more TPO's, with a bell like cluster developing around the most popular prices. Steidlmayer identified the bell shapes as 'normal distributions' or gaussian curves that he had met up with in college in a statistics course. These curves were deciphered to show "what the market is doing". Some curves were seen more or less repeatedly and this led to "day type" identifications. As a pit trader it is often possible to see who is driving the market; so one of the uses of the profile was to separate the buyers from the sellers. Day type and reading the curves is a form of pattern recognition.

A second part of the CMP 1985 dealt with the Liquidity Data Bank (LDB), an end of day clearing report of the CBOT markets. LDB data is the source of the Market Profile. LDB posts cleared trading volume at each price, broken down further by trader type (Locals and Commercials) and the associated TPO's. These data were used to find value area (the central 70 percent of cleared volume) and trends (market condition). Trends were identified as one of three types; price, value and value area, all on basis of one day ('day' measures).

CMP 1985 focused on day value and the dynamics Of profile formation and had the stated goal of "giving the trader an edge". In a statistical universe such as auction markets, even a modest edge can lead to substantial profits in the long run (look at what an 'edge' has done for the statistics based casino business). Steidlmayer was reputedly a very successful trader.

CISCO Research on Profiles: 1986 - 1990
As a provider of trading and research data CISCO was happy to add the LDB to our list. It offered a new dimension, data with an added level of information; the cleared volume by price. The downside that quickly became apparent was that the most important variable, value, was available only for CBOT data. Our research led to the discovery that TPO's are a valid surrogate for cleared volume. We published these results in 1987 (in two different journals, as TICK-Tpo Value and Meta-profile). Meta-profile is based on TPOs, not volume. The industry accepted the TPO value area to such an extent that most data providers sell value found only from TPO's, even though they mis-call it 'Market Profile value area'.

Secondly, we had been managing customer trading accounts since 1972, using standard technical analysis (moving average crossovers). Although net profitable, we were well aware of the shortcomings of our methodology, especially in the near (day) time frame. We welcomed the profile as a potential way to understand the day market in detail. We collected the available material (CMP 1985 and two subsequent publications associated with Steidlmayer) into an 'Applications' Manual, Aug 1988; but we could not find a way to use profile material in our trading. Subsequent research led us to the conclusion that there was not enough information in a single day's profile to validate a market condition measurement. In fact, we found that the minimum time for a market to manifest that a trend is over and a congestion has begun is three or four days. This finding led to our development of the methodology that guided much of the work on market condition that followed. The CISCO Overlay Demand Curve (tm), by identifying market condition (balance, imbalance), made the leap from day value to longer time-period value. A derivative benefit turned out to be the ability to measure balances on various time scales (e.g. on a four day basis a market can be in a trend while the ten day market remains balanced).

Market Profile History 1990 - 2007
A follow-on book to the 1985 CBOT Market Profile Manual, by Dalton, Jones and Dalton (Mind Over Markets, 'MOM, 1990'), more clearly organizes the profile field than does CMP 1985. Although their analyses were mostly on CBOT futures, they did follow the CISCO lead and found value areas for several non-CBOT futures. (MOM, in Appendix 1, explains the 'TPO Value-Area Calculation', without attribution to CISCO as the source of the methodology.) 'MOM', too, is heavy on pattern recognition. And the same is true to an extreme in the new book by the same authors (Markets in Profile, 2007), see review on our site in the References section .

An updated CBOT Market Profile Manual (1991) is much more about Market Profile than it's predecessor. It emphasizes that the profile is a tool for market understanding, not a buy/sell system. 24 hour markets are discussed. There is still emphasis on who is in control, buyers or sellers. There are sections on 1) reading the profile, 2) monitoring of long term trends with daily data, 3) why value is at the heart of every market decision, 4) distribution of daily and long term activity, 5) finding developing market activity, 6) LDB data to gauge the strength or weakness of the market. Still, it is based on pattern recognition and holistically handling the reference points.

Day types are still used to recognize the form of development, the pattern; there are now 4 types. The long term trend work uses day variables, such as in comparing value areas. A 70 percent range calculation is shown basis TPO's. (This is the CISCO TPO value area, noted on P33 as "Steidlmayer says" also without attribution.)

Myriads of daily market profile shapes are parsed out (110 in the 340 pages) and meaning is inferred from their shapes, (cleared) volume, juxtaposition, etc. The process is primarily pattern recognition, as is abundantly clear from the many examples in the Manual and the various other Steidlmayer publications. And, of course, it is an end of day process (clearing was completed around 9 PM). There is some cogent advice on position evaluation. All in all CMP 1991 is the most thorough discussion of Market Profile to be found and the best source for the definition of profile elements.

Summary of Existing Profile Literature
The three publications discussed here give, we believe, a fair description of what Market Profile is all about, how they have developed and numerous examples of their application. The overriding element, repeated over and over is that there are many types of market and many profile measures that are to be applied selectively to the analysis of any one market situation. The overriding problem for the trader is how to complete that task. One is expected to know all the measures and their nuances (so ably demonstrated in CMP 1991). Then one is expected to evaluate a given situation (the day type, market condition, who is in control, etc.) and apply the appropriate profile measures to that market situation. The word for this is holism and it is used many, many times in the new Dalton, et.al, book 'Markets in Profile'.
Continued...

Continued..........................
The CISCO Value Analytics Trading Game
Background
Copyright CISCO 2007

The Holism Dilemma and Value Analytics
The evident inability of traders to parse out profiles led us to develop the Auction Market Value Analytics which does the job for them. With the Overlay Demand Curve and profile reference point calculations; each day Value Analytics produces a three day run of market condition and profile elements for a customer selected future. The display first settles the question of market condition. If congesting, the upper and lower balance limits are listed. If not congesting, the trader's knowledge level is much lower, the risk is greater and the trader can behave accordingly.

The second part of the Value Analytics report gives a three day path of about 30 market variables, e.g. value, volatility, initial balance, trade facilitation, etc. These are the market flow reference points. Instead of first evaluating each variable holistically and then evaluating the entire situation to see how that variable affects a trading decision, one merely examines the VA Report Table and says: e.g. "the volume is increasing and that means interest is returning"; "initial balance is narrowing, showing the vested interests (locals in the pit) are losing control"; "the upper tail completed the auction in that direction (so no more buyers up there)", etc.

Each flow variable gives an individual piece of information about what the market is doing, independently of all the others. If the volume is increasing over the past three days, that is a piece of information separate from being concerned about what the, say range extension, is doing. Increasing volume is an alert to a coming breakout in a balanced market or of a continuing trend in a distributing market. You have two dozen additional reference points that may or may not confirm this observation. But each is analytical, i.e. has a numerical value that permits you to understand it as it varies with changes to market condition. Value Analytics lets you consider each flow variable separately. Once you have done that, you can now consider how they fit together, what the main tendency is. In this sense, the explanations of Steidlmayer in CMP 1991 may be quite useful, if you can find a fit to the case at hand.

Now it is clear why these reference points are called flow variables. With the last three days to compare the changes in the direction of each, you see the direction of change. On any given day some of the flow variables will be changing, some will not. They do not all need to agree. However, when you have a substantial number pointing one way, e.g. to increased market activity, you have a strong alert that change is afoot. This is the edge that Steidlmayer and Dalton. et.al refer to. Anyone who understands Value principles can complete the dots. Value Analytics is your conveyance. You now can examine each flow variable independently and come to a conclusion directly and rationally. You do not have to be able to read profile patterns or be holistic in drawing your conclusions.

We at CISCO feel that Value Analytics is the culmination of the Market Profile revolution begun by J.Peter Steidlmayer and the Chicago Board of Trade in 1985. Value Analytics puts direct, usable, market information into the hands of traders.

There is a Fly in the Ointment!

Here at CISCO we strongly felt the statement in the above paragraph ended our work on the Value Analytics product. Our assumption was that there was a host of traders with a pretty good understanding of profiles who could profitably use a tool like Value Analytics. Our month long beta test and another month of free trial indicates that many profile afficionados have shaky foundations. We might have forseen this in view of the difficulty we ran into as we collected and melded profile knowledge into the format needed to develop the requisite computer programs for the Value Analytics page.

So what to do?

Our first step was to take a critical look at MOM 1990 and CMP 1991 as teaching tools, information we shared with you above. MOM is set up on a course structure, taking the reader from Novice through Expert Trader. From Novice (Ch 2) through competent (Ch 4) MOM does a very good job of introducing a trader to profile concepts. There are many, many examples of elements and definitions peculiar to profiles. Any beginner should become familiar with these chapters. Chapters 5 (Proficient) and 6 (Expert) move into philosophy and holism. Does this book prepare a profile trader for success? And if not, why not?

A standard textbook starts with the foundations of the field, followed by applications. Profile books start with the applications. The foundation is a quasi-bell shaped curve, believed to describe market behavior on the basis of statements in CMP 1985, and possibly elsewhere. A gaussian distibution market descriptor is declared (value area is +/- 1 standard deviation) but not proved nor evaluated. While limitations on the areas of validity of the bell curve are not addressed clearly, certainly a bell curve does not describe even approximately a strongly trending market. Yet conclusions are drawn from the curves' shape and morphology. No evidence is given that the propositions advanced are valid. No proofs are offered. Hence, the learner is expected to become familiar with a series of examples such as day type. Four day types are given in CMP91. MOM lists nine day types in their index. In fact the transition from one day type to another is continuous. We see a slippery slope with no solid proven principles to fall back on. This is quite apparent in the chapters on becoming a 'Proficient' trader (Ch 5) or an 'Expert' trader (Ch 6) in MOM. The reader is exhorted to become intuitive, understand self and become 'whole brained'. A tall order in view of the fact that the foundation one builds on, the bell shaped market curve as a market descriptor, is so ill defined.

CMP 1991 is the successor to CMP 1985, but they are quite different books. CMP 1985 is basically a sales brochure for a product being implicitly touted as a potential money maker for the trader because the ideas came from J.P. Steidlmayer, who made a lot of money using the product or its forerunner. In other words it is being sold on the authority of a very successful trader, not on results or details of why results should be good for you. CMP 1991 is a much more complete study developed at clearly greater effort, with a lot of input from the inventor of Market Profile. Steidlmayer is responsible for some very creditable work on markets and how they develop (Markets and Market Logic, with co-author Kevin Koy). Further, CMP 1991 is rich in examples of a wide variety of profiles (some 110 cases). A student can learn many elements of profile recognition, many market situations. But again, how does one tie all these examples together; what are the unifying principles? Expecting the student to organize all these disparate cases into a unified whole is again, holism.

Actual profiles run the gamut from nice looking bell shapes (balance) to straight lines (strong trends). A complicating fact is that one day's profile in a balance may be quite similar to one in a trend, particularly in the trend's pause phase. They look alike, but the interpretation is necessarily different because the market condition is different. Thus it is difficult to know when the bell shape is the valid tool for analysis, when it is not and all the points in between. Again, we are on a slippery slope. Where is the solid ground, the first principles, on which the student can rely?

Basic Principles of Auction Markets

These two brief reviews of current profile training may explain our experience with the users of the new Value Analytics. In casting about for some way to bring our customers up to speed on the nuances of the profile, we first considered training in the first principles of auction markets. Such information is already on our website at Auction Market Value Theory.

A practical problem is that while market theory does provide a valuable and needed foundation, our customers are more results oriented. They want to know "how to" as a first priority. We decided on an experience based training format. You get a college degree in electrical engineering, get a job and immediately find that you learned enough in college to learn how to become an electrical engineer in the real world. You need experience. So does the value oriented trader. An apprenticeship. The Game offers unlimited practice.

In the trading profession few get the opportunity to complete their apprenticeship. The vast majority go bust early on. Game over. We suggest that you read and get some idea of Auction Market Theory on our site and then read the 'References' page article on the Run Pause Character of Markets. This will give you the fundamentals needed to understand the Value Analytics data and also give you the tools to use that data.

Trading is a game like poker or bridge. There are odds, misdirections, bluffing and rewards. You cannot see the others' cards, but you can see how they play them. The market shows all. Opponents behavior is equally important in trading or cardplay. Consequently, we settled on game structured training because this fits the need for experience in the complex world of market analysis and trading.

Gaming the Markets: Their Run Pause Character

Understanding Markets and How They Evolve
Early on Steidlmayer pointed out that markets are in one of two phases, congesting or distributing. He is obviously correct, this is an observable; we all see it in all markets. Here we would broaden the statement: Markets run and pause in all time frames, where run and distribution are equivalent; pause and congest mean the same. In an ideal world, this is a tells all. But markets are real world. There is uncertainty in the minds of traders and there is a noise component due to the statistical nature of the data. So rather we would say that:

(A) Markets run, test, pause, test, run, test, pause and so on in all time frames.
Statement (A) has limitations. A lower time limit is set by the point at which the market loses coherence, where measurements start losing structure. Our research roughly sets the lower coherence limit at about 5 minutes. Most profiles are built on a 30 minute base, well above the coherence limit. Practically, there is no upper limit: markets show evidence of run-pause behavior on multi-year timeframes (example: Elliott waves). So practically, the run, pause paradigm works for us in our timeframes of interest, shorter term for day traders, longer for swing traders.

Within a day there are typically three run-pause periods (three trading opportunities). On a multiple day basis a market may be in a 14 day balance, while the five day picture shows trend. It is quite normal for a market that has been balancing for say 8 days with a well defined upper and lower limit to have a strong inter-day trend. In balanced active markets this may happen daily.

The underlying principle is that markets run and pause in virtually all time frames, from possibly 5 to 15 minutes to many days. The cause of runs and pauses is well described in CMP 1991 (as the market cycle). In a single year (2006) a particular market (UU) had 33 balances of two contiguous days or more for the 5 day timeframe. For the 10, 15 and 20 day Overlays there were 25, 20 and 20 balances, respectively. If your market is in a 5 day balance at the close of today you know the upper and lower balance limits. Thus you know the breakout price, that price which alerts you to the start of a trend. If you are following a trending market and a 2 day balance occurs, this is a clue that this market may be starting to congest. If at the end of the next day you have a 3 day balance you have yet stronger evidence for congestion.


Your Approach to the game:
1. Choose a day to analyze from the Balances List
2. Get the three Value Analytics tables for that day end
2a, Analyze the Report Table data:
2b. Do you see continuation or change?
3. Determine the flow of the market for that day end
4. Devise a strategy for the next day: breakout or congestive or both
5 Next Day: use the Meta-Profile program to track the market
5a. What did the pre-market (if any) show? Any need to change strategy?
5b. If a breakout, when did it happen? What is your strategy now?
5c. If a responsive trade, when did it happen? Your strategy now?
6. Continue to the close

Data for the Game
1. The Balances Data Base
A CISCO product, the Advice Engine, daily calculates market balances on 5, 10, 15 and 20 day bases.
A history table of balances for the future you have chosen is available for the game. (sample below)
If your selected market is in balance for a particular day it will show up in this table.

Note! Markets are time-frame related. You can have a four day trend inside a ten day balance. You can have a ten day breakout while the twenty day Overlay remains in balance. The Balances database has nominal five, ten, fifteen and twenty day balances. You can play the Initiative/Responsive Game on short, intermediate or long timeframes. This has never before been possible.

2. The Value Analytics Data Base
The Value Analytics Table Report lists a 3 day set of reference points and goes through the year of your selected commodity on a day-to-day basis.
Value Analytics Background

Mzvega,
They both CBOT and CISCO were since the start dealing with value analysis. They both manipulate data to measure balance/imbalance, pause, break, trend and pause, and locate POC, VU and VL to take trade action. While CBOT is heavily dependent on LDB mainly volume and CISCO is heavily dependent on TPO count and TICK count (price difference) for profiling the market. There are other variables such as composite (overlay demand curve - multiple days' merge) and others into it. Am I right? If I have to list the main data feeder in 1,2,3... format that are used for the data manipulation process, what are they?
1. TPO count
2. Tick count (not transactions but price change in a given time)
3.
4.
...
...
This will help me as I read the materials to pin point what it is talking about. Don't forger English is my second language though I have full command to some extent.
JP

There are several posts throughout the thread that lists them. A list of references wont do you any good. unless you have learned what each one means, how it is calculated, and what it is actually measuring. VBPT lists them but it doesn't explain in detail about each one because reading MOM is a prerequisite to reading VBPT. A person who has read MOM would have learned in detail about all the various reference points. If you want a detailed explanation of references you are going to have to read MOM. I don't have the time copy & paste hundreds of pages from the book to the thread when no reads the content of the thread now. If you want a detailed explanation of each of the references you need to read MOM...............

Rotation factor is a reference, do you know what it is? How is it calculated? What it actually measures?
Knowing that the rotation factor is +17 doesn't help you when you don't know what it is, how is it calculated or what it even measures.

In 2 or 3 sentences can you describe the "Auction Process"?

I am not expecting you to copy and paste which I can read it myself as there are many variables. Just the main first 5 data in sequence of priority was good enough no explanation is not necessary. Any way I am following no worry.