Attachments: Auction Market Value Theory & Analytics

Auction Market Value Theory & Analytics

#761
Jul 13, 2016 9:19pm Jul 13, 2016 9:19pm

jhtrader
| Joined Jul 2016 | Status: Trader | 2 Posts

Thanks Mzvega for tons of info to review! Wow!

Correct me if I'm wrong but my research seem to indicate two camps: Steidlmayer and Dalton/Jones. And they seem to almost be at odds.

Steidlmayer is always praised for his work, but authors always seem to find some fault, solved by the authors solution/book/study/etc.

#762
Jul 13, 2016 11:16pm Jul 13, 2016 11:16pm

getsugatenho
| Joined Jul 2015 | Status: Trader | 3 Posts

Quoting dljonesFan

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{quote} 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

Ignored

I have installed it successfully and encountered no errors, is there anything i should do next?

#763
Jul 14, 2016 12:14am Jul 14, 2016 12:14am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting dljonesFan

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Hey JPWorks, thank you for your answer. Your screenshot helps me to solve the problem. This seems to be some metaprofile indicator on daily time frame basis (every day new profile, market profile = tpo profile = meta profile, not volume profile). 1. You need a composite profile indicator. http://www.fxindi.net/p/download-mt4-indicators.html (klick on download composite profile indicator) 2. load the indicator with following settings: 1,3,5,10,15,20 day; 1 price steps. 3. export reffs and import the csv into statistical software for example...

Ignored

Please have a look at thread page 36 on my quote. JPworks is also new here. He is asking similar questions. Follow the thread from there, you will find your answer.

Greetings
C

#764
Jul 14, 2016 12:20am Jul 14, 2016 12:20am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting dljonesFan

Disliked

{quote} Hey JPworks, thank you for your clear questions. The indicator was not programmed by myself. All my wisdom is from the articles published by Jones on his website and presented by MzVega. "1. The sequence of the 5 colors in the chart of the upper pane" Each day the composite profile updates. Every day has a different colour. So you can cleary identify the development over time (daily time periods). "2. A legend of the lower pane specifically what measurement am I looking when I see some figures TPO AB, TPO BL, TFF, SF, RF" This is what I...

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And this quote too. After getting comfortable with the indi you should read some thread entries. All you need is here. Presented by Mzvega.

#765
Edited 2:27am Jul 14, 2016 1:23am | Edited 2:27am

JPworks
| Joined Jul 2013 | Status: Trader | 146 Posts

Quoting mzvega

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{quote} 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...

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No!, no!, that is not what I am asking for Mzvega (when I am asking about main data feed). Rotation Factor is an out come like TFF is of TPO count/Tick count which is the direct result of the main data feeders. I am not asking for the out come calculated results or reference points, terminologies and the way they are calculated and their meanings, no. I am asking the main row data that brought the calculations. The main data 123... the root and the main data that brought the value analysis. Did you get me? They could be one or two or ten. Thanks my friend. JP

For example in CBOT, the main data feeder is volume (Traded volume). But in CISCO, volume is not the main data feed.

#766
Jul 14, 2016 9:28am Jul 14, 2016 9:28am

JPworks
| Joined Jul 2013 | Status: Trader | 146 Posts

Mzvega,
You asked me "In 2 or 3 sentences can you describe the "Auction Process"?"
According to JDalton, auction is the facilitation of trade by market participant traders. Market travels up and down until it find fair distribution of balance between bids and offers. Auction process is the two way facilitation of constant change of values of interpretations of market participants and it is the bi-product of balance and imbalance of auction of series of actions resulted in the end, the finding of market generated information.
JP

#767
Jul 14, 2016 10:00am Jul 14, 2016 10:00am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting JPworks

Disliked

{quote} No!, no!, that is not what I am asking for Mzvega (when I am asking about main data feed). Rotation Factor is an out come like TFF is of TPO count/Tick count which is the direct result of the main data feeders. I am not asking for the out come calculated results or reference points, terminologies and the way they are calculated and their meanings, no. I am asking the main row data that brought the calculations. The main data 123... the root and the main data that brought the value analysis. Did you get me? They could be one or two or ten....

Ignored

Hey JP,

do you mean how the value area, poc, rf and other rps are calculated? Which variables are used in the formulas?

For example in this well known formula F=ma where m=mass in kg and a=acceleration in meters per secound squared.
You want to know how the RF is calculated and which variables are used?

greetings
C

#768
Jul 14, 2016 11:19am Jul 14, 2016 11:19am

JPworks
| Joined Jul 2013 | Status: Trader | 146 Posts

Quoting dljonesFan

Disliked

{quote} Hey JP, do you mean how the value area, poc, rf and other rps are calculated? Which variables are used in the formulas? For example in this well known formula F=ma where m=mass in kg and a=acceleration in meters per secound squared. You want to know how the RF is calculated and which variables are used? greetings C

Ignored

No Chris, I am not looking for the end result. F=ma is good example. I am not interested in "F" how it is calculated, and for what. I want the main row data the "m"s and the "a"s that gives "F" in lists form. Not the calculation of calculations. For example TPO count is main data not calculated bi-product, Tick count (price change) is main data not calculated (price goes up or down. Examle, TFF=TPO/Tick, in this case TPO and TICK are the main feed for TFF. I know I can get the row data from the spread sheet, and they are listed there imported from the data feed of mt4. If I ask you to give me main three lists (uncalculated ingredients) that make up AMVT(t- not theory but trading) in sequence of priority what would they be? Why am I asking this? Many like myself are still hooked up into chart analysis looking into POC, VU, VL on the chart to find breakouts and retracements to take action of trading from the chart itself with out reading the back ground data as many auction market software are developed. I have been trading auction market using sierra chart myself just from the chart with out knowing the background. If you guys do not understand me please disregard this and let us move on, I will understand it later. I don't want to waste your precious time to figure out what is in my mind. Thank you MZvega and Chis. JP

#769
Jul 14, 2016 12:42pm Jul 14, 2016 12:42pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting jhtrader

Disliked

Thanks Mzvega for tons of info to review! Wow! Correct me if I'm wrong but my research seem to indicate two camps: Steidlmayer and Dalton/Jones. And they seem to almost be at odds. Steidlmayer is always praised for his work, but authors always seem to find some fault, solved by the authors solution/book/study/etc.

Ignored

I appreciate you taking time to post,

Correct............actually the 2 camps would be Steidlemayer, Dalton & Jones (Eric T. Jones son of D. L. Jones )/D. L. Jones of CISCO.

Jones and a colleague created a computer program to empirically test the day types. When empirically tested showed there where over a million different types. Proving that you cant "predict" the days activity using the concept of day type using pattern recognition.

MP every day is modeled after a bell curve/normal distribution/Gaussian & std. dev.
The point is the data is rarely if at all "normal". If you have a math background, If your data is not normally distributed, it is invalid to apply Normal/Gaussian statistical analysis. MP every day produces levels (std. dev) "assumed" to be normal. A distribution may have a bell shape and still not be Gaussian. That would mean that at the very least, that the values obtained are questionable.

"The reason that there is so much use of standard distribution functions is that these functions often have some known limited/approximation solutions and maybe, with some stretching and pulling, one can apply those special solutions to a market at hand. The danger is that the application's data may not be a proper fit to the assumed distribution function and hence the answer is in error (for the purposes of an analysis)" - D.L. Jones

If you take a look Jones's resume it pretty much reads "rocket scientist" (PHD Aero Engr Sci). In his resume he explains how his work in locating Jupiter radio sources, explains his findings about normally distributed data used in market analysis.
https://web.archive.org/web/20150814130053/http://cisco-futures.com/meetdonjones.html

Auction Market Value Theory as with any theory has to be supported by empirical evidence. The fundamental difference between Dalton/Steildlmayer and Jones that Jones only employs methods that are supported by empirical "evidence". The differences between MP & AMVT is determined by what can be "proved", I prefer the empirical based approach using methods which are supported by theory...

CISCO was the first database to begin providing the Market Profile and LDB for the CBOT. CISCO wanted to use the method on non CBOT instruments, but CBOT & Steildmayer insisted that MP can only be used with CBOT volume data. Jones proved that to be wrong.

Jone's site was the largest source of auction market research & published articles collected over 40 years, provided free as well as his book, has always been free to download.

From an analytical, point of view, Jones/CISCO being the first database to provide MP data for CBOT, and with his background, has MP data from the first day of it's inception in which to do empirical testing & research..my bias is with Jones.........MP works off a different set of "assumptions".

Lastly, a rule in science is that a theory, a proposition, must stand up to independent testing. Value Analytics employs these rules. D.L. Jones

Markets are not efficient, rather they are effective - Jones

#770
Jul 14, 2016 1:26pm Jul 14, 2016 1:26pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting JPworks

Disliked

{quote} No Chris, I am not looking for the end result. F=ma is good example. I am not interested in "F" how it is calculated, and for what. I want the main row data the "m"s and the "a"s that gives "F" in lists form. Not the calculation of calculations. For example TPO count is main data not calculated bi-product, Tick count (price change) is main data not calculated (price goes up or down. Examle, TFF=TPO/Tick, in this case TPO and TICK are the main feed for TFF. I know I can get the row data from the spread sheet, and they are listed there imported...

Ignored

I think you might be under the impression that that MT4 has a data feed for the references . There is no feed. The profiles can't be calculated using chronological, time series (bar charts). For that you would need a different type of charting software like sierra.

They beauty of Bandung's indicator is the calculations are done "in memory". Rather than plotting the data on an "offline chart", it borrows space on the live chart. It "floats" on top of the chart, it is not "made" or "built" from the bar chart. The only thing on the bar chart that matches the profile is the current price. There is no mt4 data feed for the references. A profile cant be built using chronological time series/ bar charts as you would an indicator which measures price to price data. You cant use price to price data to plot price over time. in this case it is plotted in memory.

If this doesn't answer your question, I have no clue.

Markets are not efficient, rather they are effective - Jones

#771
Edited 8:01pm Jul 14, 2016 7:09pm | Edited 8:01pm

JPworks
| Joined Jul 2013 | Status: Trader | 146 Posts

Quoting mzvega

Disliked

{quote} I think you might be under the impression that that MT4 has a data feed for the references . There is no feed. The profiles can't be calculated using chronological, time series (bar charts). For that you would need a different type of charting software like sierra. They beauty of Bandung's indicator is the calculations are done "in memory". Rather than plotting the data on an "offline chart", it borrows space on the live chart. It "floats" on top of the chart, it is not "made" or "built" from the bar chart. The only thing on the bar chart...

Ignored

Mzvega,
First of all I want tell you how much I appreciate you with Chris for becoming so concerned to answer my questions. I feel I am misunderstood thinking I am asking complicated questions while they are so basic. I know mt4 is not a feed for all the reference points. How ever, the spread sheet we import from mt4 carries all the row data for data manipulations as shown in your spread sheet attached, I guess. I also understand that Bandung's indicator is simply floating and has nothing to do with timing and dates of mt4.

I think it may be easy if I address my questions relating to the spread sheet, that way it will shorten my learning curve and also my questions easily understood. You refer me to MOM and VBPT and read again and again but there is nothing there speaking about your spread sheet data and manipulations. I think I will get it when it comes to explaining the spread sheet of each components. I have no problem in reading graphical interfaces related to market profiles for I have been using sierra with no success as I was simply trading reversals and break outs from the value areas with out knowing the back ground data. But yours is meta profile backed by data reading which is a huge difference. Thank you. JP
http://www.forexfactory.com/attachme...1&d=1468272382

Is the data organization, manipulation and data reading as a guide for trading in the spread sheet standard used in the AMVT world universally or your own discovery you get along the way?

#772
Jul 14, 2016 8:34pm Jul 14, 2016 8:34pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting JPworks

Disliked

{quote} Mzvega, First of all I want tell you how much I appreciate you with Chris for becoming so concerned to answer my questions. I feel I am misunderstood thinking I am asking complicated questions while they are so basic. I know mt4 is not a feed for all the reference points. How ever, the spread sheet we import from mt4 carries all the row data for data manipulations as shown in your spread sheet attached, I guess. I also understand that Bandung's indicator is simply floating and has nothing to do with timing and dates of mt4. I think it may...

Ignored

Markets are not efficient, rather they are effective - Jones

#773
Edited 12:57am Jul 15, 2016 12:42am | Edited 12:57am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

I think JP is asking for the tables, presented by Mzvega here in this forum. For example daily net low, bracketing table...

"I think it may be easy if I address my questions relating to the spread sheet, that way it will shorten my learning curve and also my questions easily understood. You refer me to MOM and VBPT and read again and again but there is nothing there speaking about your spread sheet data and manipulations."

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1. Use the exported data (csv). There you can find the poc, value areas, tff....

2. Jones articles explain in detail which data should be processed into data spread sheets. These spread sheets can be created with excel. For example 5 and 10 day bracket list, the daily net flow. You have to create them by your own, it will take a lot of time, but its not complicated. You can use the articles and excel forums for that.

greetings
C

#774
Jul 15, 2016 4:13am Jul 15, 2016 4:13am

JPworks
| Joined Jul 2013 | Status: Trader | 146 Posts

Mzvega and Chris,
Thank you. I think I am getting it all in the forum which I read it again and again but didn't get it. I am a type of guy who has to get the end game first to find the components and collects them later (this seems odd I know). It is like the child who want to solve the puzzle has to get the image first in order to have the upper hand even if he has not understand it what it it is first. Chris, you are right, I was talking about the csv in relation to Mzvega spread sheet. I did not know I have to prepare my own spread sheet and the books that I read so far did not explain that. In order to understand the forum new people have to understand three things:
1. The relationships of CBOT and CISCO
2. The departure of CISCO from CBOT
3. Mzveda's approach to decipher AMVT to make it forex oriented. And also understand the concept and know how to extract data from imported csv and organize it into Mzvega's type spread sheet.
Thank you so much and I am getting it.
JP

#775
Edited 6:32am Jul 15, 2016 6:21am | Edited 6:32am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Ok JP, then you can use google to find some interesting entries in this thread about calculating for example the daily net flow and other helpful tables (bracketing table and daily net flow is very important). In some cases, for example roation index or tff - articles by Jones in pdf format are available...

Some tipps for start:
Dont mix rotation index and rotation factor, different rps.
Calculate the averages, they give you much insight.
Know the market units and try to identify them by just looking at the averages (compared to special conditions, 5 day bracketing...how doese the tff change in relation to the average...).
Know the difference between testing and breaking (balancing phases).
Daily net flow calculation can be tricky. For example you must know the difference between rising tff and falling tff (which one is more recommended for breakout strategy?) before calculating the daily net flow.
Responsive trading can be difficult.
...

#776
Jul 15, 2016 1:19pm Jul 15, 2016 1:19pm

jhtrader
| Joined Jul 2016 | Status: Trader | 2 Posts

[quote=mzvega;9030223]{quote}CISCO was the first database to begin providing the Market Profile and LDB for the CBOT. CISCO wanted to use the method on non CBOT instruments, but CBOT & Steildmayer insisted that MP can only be used with CBOT volume data. Jones proved that to be wrong.

Thanks mzvega - I'm interested in Jones and agree with your take on backing up theory.

I have more much more to comment on, but first, on the subject of Steidlmayer only wanting MP to be used on CBOT instruments: Now, CBOT was the only exchange providing that granular data, so at least for the part of MP involved in determining who the traders actually were via LBD (CTI1, etc), CBOT was the only exchange floor (and still is), the only exchange to offer this data. So, in order for CISCO to use MP on different instruments, they would just need to obtain access to that data from the appropriate exchange, which they don’t. Now I don’t know the whole backstory, but that wouldn’t be the fault of Steidlmayer, right? I did see the paper where Jones was able to create a reasonable estimate of other instruments.

#777
Edited 4:26pm Jul 17, 2016 3:35pm | Edited 4:26pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting jhtrader

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Quoting mzvega

Disliked

CISCO was the first database to begin providing the Market Profile and LDB for the CBOT. CISCO wanted to use the method on non CBOT instruments, but CBOT & Steildmayer insisted that MP can only be used with CBOT volume data. Jones proved that to be wrong.

Ignored

Thanks mzvega - I'm interested in Jones and agree with your take on backing up theory. I have more much more to comment on, but first, on the subject of Steidlmayer only wanting MP to be used on CBOT instruments: Now, CBOT was the only exchange providing that granular...

Ignored

At the time when Steidlmayer was the spokesman for CBOT MP he took the same stance a the CBOT/CME. Then he wrote his book expressing the importance of volume. However, he downplayed the use of the LDB report.

Steidlmayer on Markets Trading with Market Profile 2nd edition page 98
"Owing to the fact LDB is available only on CBOT contracts, I offer only a cursory overview of the topic. A great deal of information is generated from the LDB report; however, I cannot justify dedicating a great amount of time and space to something that has such a limited scope. For those interested in getting an in-depth reviewof this topic please refer back to the original Steidlmayer on Markets or contact Don Jones @Cisco-futures.com."

In his book he expresses the importance of volume, not using the "volume at price" data from the ldb report, rather through the use of his proprietary software. Which measures "Volume at Time".

Steidlmayer on Markets Trading with Market Profile 2nd edition Chapter 7 Page 106
Volume @ time analysis
Understanding Volume @ Time
http://www.forexfactory.com/showthre...76#post7451576
http://www.forexfactory.com/showthre...33#post8633933

Some how this concept of "Volume at Time" got twisted , construed, and misinterpreted as "Volume at Price". This is where the belief that a "volume profile" (volume at price) is somehow equivalent or related to MP/AMVT.

His books have nothing to do with "volume at price" profiles. There is not one example or instance of Steidlmayer ever using a volume profile.

As thread member Evak pointed out in Steidlmayer's software manual explicitly states
"Unique volume database which is generated from "volume at time" not "volume at price".

And the whole concept is plotted as a horizontal histogram, not a volume profile.
http://www.forexfactory.com/showthre...95#post8635795

And as Evak brilliantly pointed out the method is based on rotation factor & volume, something we can do ourselves as we already track Rf and in the absence of volume data we have tpo's. Not much different from the other AMVT analysis (rotation index, daily net flow, etc,)

Many misinterpret my bias concerning "volume profiles" as a bias against Steildmayer's methods. I agree with the concept of "Volume at Time".

My bias is the "Context" in which other people interpret his use of volume at time as a "Volume Profile". He clearly states in his book & and shows in in his capflow 32 manual his methods & charting display have nothing to do with a "volume profile". Some people claim they ( and I quote)"use a volume profile because Pete uses one and he's the godfather of MP, therefore a volume profile is the same thing as MP" (end quote)

But to answer your question, no it's not the fault of Steidlmayer that CBOT says that MP can only be used with CBOT data, MP is trademarked & copyrighted to CBOT/CME. http://www.forexfactory.com/showthre...19#post8909619

Steidlmayer has no authority in that matter. You cant use MP & LDB data without explicit permission from CBOT/CME. In order to promote his software, he has to go outside the method of using volume from the LDB report.
The only thing I disagree with is the use of daily std. dev levels on that data that is "assumed" to be "normal".

But Steildlmayer did consult Jones. Volume at time is not a "price to price" measure of volume, therefore "volume at time" data and vol/tpo's (objective measures), makes the use of both a permitted practice from an AMVT perspective...
I have no bias with Steildmayer's concept of "Volume at Time"...

Markets are not efficient, rather they are effective - Jones

#778
Edited Jul 19, 2016 12:35am Jul 18, 2016 11:54pm | Edited Jul 19, 2016 12:35am

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

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Markets are not efficient, rather they are effective - Jones

#779
Jul 20, 2016 3:05pm Jul 20, 2016 3:05pm

JPworks
| Joined Jul 2013 | Status: Trader | 146 Posts

Mzvega,
From where are we suppose to get the "dir" and "act" that bring "net" which is dir-act where we get the negative and positive flow? Reading alone couldn't avail, getting clue form the spread sheet of the terms will help me understand the reading. Thanks

#780
Jul 20, 2016 4:04pm Jul 20, 2016 4:04pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting JPworks

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Mzvega, From where are we suppose to get the "dir" and "act" that bring "net" which is dir-act where we get the negative and positive flow? Reading alone couldn't avail, getting clue form the spread sheet of the terms will help me understand the reading. Thanks

Ignored

From the individual reference points.

Markets are not efficient, rather they are effective - Jones

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