Frank

this post has prompted much thought but before commenting, I wanted to first make sure I more fully-understand your post. 1) The chart for overnight moves - the one with the red lines -- is that a) the entire globex session b) the four hours prior to the pit session open (ie, 5:30 to 9:30am EST) or c) something else 2) For a given block of volume --- say 4000 shares -- do you divide the buying/selling activity based on activity on the bid/ask, the last trade vs previous trade, or some other way? This is a baseline question that could also be posed as 'what do you think of what Market Delta is based upon?' --- are there too many games with the bid/ask spreads or is that as reflective of activity as anything?

hey traderlife, I am out of town and away from my primary computer so I will likely delay posts for a bit -- but will be back in a bit. Regarding initial balance, I don't really use it except as a measure of range during that period. Initial balance is not something that I am focused on.

excellent post. my first thought on this is not meant to be confrontational -- its posed as a question for your perspective on something I have thought a lot about lately: If ' it is the occurrence of trade that motivates price' -- how do we make sense of these often large overnight globex moves that occur on relatively trivial amounts of volume?? Your opinion might help me come to understand this seemingly bizarre recurring theme of big overnight rangey move on low volume --- followed by sideways churning on relatively large pit session volume. thx in advance, Frank

Another thought / avenue to pursue is that of modernizing the idea of a market whose price/time relationship is 'brief' - one that used to be measured in 'single prints'. The single-print 30 min stuff has never been of much use thy I have found, though the concept of a brief relationship of time and price is more true than ever. Modern electronic markets do move faster than ever.

Urma, You described what I wrote as 'weak-tight' poker and mentioned implied odds - I was simply trying to show that what I mentioned was consistent with tight-aggressive, not weak tight because I believe this To be true. As I have said repeatedly, I agree with all of your primary posts regarding using indexing approach to form a bias and executing on lower timeframe order flow etc,,,, I am also a huge believer that poker skills and trading skills share many of the same core concepts. I have started threads about various topics outside of market profile and have no agenda to push on market profile or anything else. When I see someone posting the stuff you do I think, great - this guy seems on similar page and I would like to see what he thinks about X. So rather than continue down this road - let's just chang the direction - Historically, old-school MP was based on the 30- min chart to link time and price. Derivatives of this concept were rotation factor and wilders ADX. This idea of Trend vs range is something perhaps to discuss in light of modern electronic trading -- and a more global market where overnight range has been increasing as a percentage of total range. Frank

I am stuck in airport with flight delay so 1 more post. Let's review what urma has truly brought to the table -- offering the 'structure' of an index of weighted biases brought down from a higher timeframe to a lower timeframe. 1. I read about this a long time ago though perhaps as recent as art Collins book of indexing biases that came out what. -- 3 years ago -- so that idea is maybe not as old as steidlmeyer but it's not exactly cutting edge new. 2. Some hint about the rate of change of order flow. Hmm, is that something new ? Uh, I will let the traders here decide for themselves on that one 3. An image of a quants monitor set-up and screenshots. Now this was probably the only Original contribution so far. Something many other traders have done. The rest of the posts mostly make assumptions about what he THINKS others are doing and then decides to make judgments on others based on those I'll-informed assumptions. Ok, so while James put this up for post of the month, I will nominate for narcissistic thread of the month. Ok, plane may be boarding now. See ya'all around and this was fun rant by me.

\ok urma, this is now getting somewhere that might get useful. I have already stated that I never have used the market profile as a trading method so I don't know why you would again link me to a dated tool that I have already said I don't believe is useful for more than a Theoretical start. Regarding poker, one again you missed the point. 'weak tight' is for player that fold too much. Patiently waiting to push your stack to lock in an edge is called 'tight aggressive' and there are no implied odds in that situation. I have read 8-10 poker books so please don't try again to come at me from that angle. There are situations in poker where it is incorrect for either player to fold because of the existing money I'm the pot. In these situations, there is nothing a better player can do to manipulate me out o the hand - it's called 'planning the hand in advance' and 'planning for commitment'. If it were just me vs Phil ivey, hey that is not good. But if it's a huge table with huge stacks pitted against each other, including Ivey. But with a bunch of dead money added to each pot, that is just fine

I was not referring to YOU and the indicators --- I was referring to non-quants trying to emulate quants. You are saying things that I am not talking about --- and that I agree with most of your points. Its not new information to me or many others here. It doesn't matter what your approach is -- it only matters that you are able to find situations where reward/risk is good. If I am sitting at a poker table with the best players in the world -- but the ante is low and I have my little stack of money -- I can wait for good situations and just stick it in when the pot-odds say to do it. It doesn't matter that Phil Ivey is betting aggressively vs Daniel Negreanu and that they are both stronger players than I am --- because in the current pot, there may also be dead money from other players that do not have value. If my hand hand has innate value in that particular situation and there is enough money in the pot, sticking your chips in and playing that situation is profitable. So, to some extent -- all I am trying to do with my personal research is try to ascertain the pot odds of even entering a position at all. I have my methods of quantifying this and I have a team of friends who are doing similar things. I really don't care if you agree with me or don't agree. Just Remember: ~hubris may contain the seeds of your own demise you play off like you know everything that exists in trading --- but hedge fund money flocks to 'what is working now' --- always has and always will -- and it eventually fuels its own demise. I know you don't disagree with this -- a small nimble shop of quants is a good place to be -- we agree on that.

usually, I like to just find a little retracement during the opening bar and then perhaps even add on a stop order as this trade should work right away. But I am not attempting to hold on for a trend day -- just get in and get out for a few points. If something really special seems to be going on, ie the time & sales is showing unusually robust buying or selling --- or the market just blasts through a well-defined support/resistance price with momentum -- then its 'sometimes' (read rarely) a good idea to hold on and ride out the first correction for a continuation move ... but those are rarer cases. The default idea is just to trade out of the position --- the reasons for which I will continue with in another post. That being --- what % of time does the market 'bracket'? (ie, show overlap) hint: it does EVERY day, even trend days. (talking about ES now)

you allude to a good point there is not going to be any edge in trying to beat the computer algorithms at their own game. if you think you can beat them by 'out-computing' them, you are in for a beating. that said, the 'structure' Urma has presented is both excellent and well-known, create higher timeframe biases - blend them in a combination that utilizes possible synergies -- and then execute on the lower timeframe through good analysis of the real-time order activity. trying to replicate the indicators presented here as your ONLY angle is surely not going to end well. that said, Urma has brought some very useful comments to traderslab to 'enhance' an existing methodology --- and I thank him for that, despite the 'look at me' tone of his posts. stay humble my friends.... (channelling the Dos Equis commercial)

If you take all 30-min pit session bars historically and compare them to that days final median 30-min bar RANGE, what you find is that the 1st and 2nd 30-min bars are a lot wider (more range) than the rest --- except the last two. That said, it is statistical fact that once you get out 4-7 bars into the day, the market will always spend time overlapping prices -- even on very strong directional days. But you will have serious drawdowns trying to fade a market that is showing extreme strength in the opening 30 mins that is leaving the prior days range. As a general rule, you want to save your fade plays for days when the market is not leaving the prior days range 'early in day' (this is one thing of many to consider)... This is a quick adjustment that you have to make in real-time but its crucial. Note that in a strong trending type of day (I didn't say 'trend day' -- I just mean a good directional MORNING move) -- many times ANY price that you got during the opening 30-mins that 'goes with' the flow of B will be a profitable trade. I am not saying 'go with every opening thrust' -- not at all --- I am just saying to be cognizant of a market that is driving OUT of previous days range. Note that yesterday, the market did a wide bar DOWN in the opening 30 mins --- but it wasn't even close to exiting the prior days range. In that example, the market reversed and drove up. Regarding the 'initial balance' --- the size of the opening bar and the amount of extension beyond the opening bar is the I.B. As a baseline --- expect this 'violation' to be 4-20 ticks. So a 6.5 pt opening bar and a 2 point extension beyond that makes for a 8.5 pt IB (note that if you get an 'outside 2nd bar' will be just the size of the 2nd bar). I guess what I am getting at is this --- you are trying to figure out whether to 'go with' the opening momentum --- or fade it. At this time of day, you expect some good range in the bars (some of best in the day) -- but you don't know if market is going to trend for a bit --- or not. You know that in vast majority of cases, there is a 'deadline' -- where price WILL start to overlap. So you want to either 'go with' the opening momentum and exit as the overlapping prices (value creation) begins -- OR you want to fade the market -- expecting the strong tendency to overlap price to kick in and trap the momentum chasers and allow your 'location trade' to work as these trapped players are forced to unwind.

Thought would just try something out --- what if we were to share a few ideas that drive your thinking on the day. I am putting this in the market profile segment because Market Profile is a good theoretical place to start. In quantitative finance, there are structured methods to translate qualitative views into quantitative scores -- for instance, let's say you have a method for trading the opening 30 mins of the day. You might see a really good long set-up X% of the time, a really good short set-up Y% -- a solid long or short set-up Z% of the time -- and you would have 'No View' the remainder of the time. So you could set up a column in a table like this: View: Very Positive Positive No View Negative Very Negative A way to quantify these qualitative views would be to to assign scores in a standardized way. An Example of such would be: View: Probability Score Very Positive 11% 1.73 Positive 22% 0.87 No View 33% 0.00 Negative 22% -0.87 Very Negative 11% -1.73 Note that the 'Score' Column has a Mean of Zero and a Standard Deviation of 1.0 Now that we have possible 'starting point' for a possibly well-structured trading process --- we can discuss the meat of this thread. That is, what goes into the 'Index' that creates a 'View'? And then ultimately, it will be up to the trader to decide the 'weightings' to put on any components to an index. --------------- First Concept: The opening 30-min bar 1) Is this bar showing directional conviction? Is the bar showing movement vs the previous days range or is the bar 'inside' relative to the previous days range? If the bar is not able to escape the previous days range --- you make have reason to have incremental bias to be in a day where price does not trend -- and instead 'brackets' / overlaps around a point of control. (don't box yourself in to traditional 'book method' market profile with these terms -- just use the theory). Hence, a more detailed analysis of the opening 30-min trade might be one possible component to an 'weighted index' of qualitiative/quantitative biases. ok, enough from me --- let's see if this takes or not....... Frank

Perhaps its because I was not trading in the 1980's but I have different perspective --- one that never started with idea that Market Profile was a trading method, as many MP disciples probably did. I think of market profile as 'theory only' and always have done so. How you interpret the developing intraday chart is about order flow and this is achieved through 'multi-timeframe' analysis -- where a bias is created based on higher timeframe order flow and is executed on lower timeframe to enhance the reward/risk relationship. One thing that is enduring though -- is that the resulting intraday histogram seeks value --- and price 'overlaps' when it reaches that level of value. How you want to define/interpret this is up to the trader. It is not that the profile gives you a heads-up on what WILL happen, it is the underlying concepts that accompany Market Profile that allows you to make a FORECAST about what will happen (and quite often entirely separate from the existing histogram at that point in time). And then it is the correlation between your execution -- relative to what actually happens that drives your profit and loss. On the one hand, you say market profile taught you all the theory you know -- then go on to say you have moved on. I guess for many of us who never used it as a trading method in the first place -- saying you have 'moved on' comes as no surprise. comments welcome

Starting point N75H, This is the well-known 3/10/16 Oscillator 'Slow Line' run on a 7000 volume chart --- the time of the turns are each within 1-2 mins of the other chart. Inputs: Price(Close), Avg1(3), Avg2(10), Avg3(16), StdDsp(1); IF Currentbar>30 Then Begin IF StdDsp=1 Then Value1=Average(Price,Avg1)-Average(Price,Avg2); IF StdDsp<>1 Then Value1=Average((Price-(Average(Price,3)[3])), 2); Value2=Average(Value1,Avg3); Plot1(Average(Average(Price,Avg1)-Average(Price,Avg2),Avg3),"16Line"); Plot2(0,"ZeroLine"); End;

following up on the graphics --- I was curious what that dashboard was written in --- ie, which technologies create a richer user interface such as that one? the key with dashboards is to customize it to the particular users style -- because everyones is a bit different --- but the foundation technologies would be the common ground, do you know which were used?

hi, just checked out this thread and had somewhat related question to the idea above. sounds like your index is reading order flow that is weighted for different (higher) timeframes so that you are coming at the market from multiple different angles despite showing just 1 chart at a time. so in the case where you show different lower timeframe charts -- would 'the index' then reflect higher timeframes relative to the chosen lower timeframe or are the higher timeframe global variables locked on absolute levels ? hope that makes sense. I guess what I am really getting at is --- what are your primary higher timeframe intervals that really drive the model?? ie, if you were to rank them -- which would be the top few? ie, 25k volume - 50k ?? one other question- I agree that the 'passage' of time is not so important as the time of day function -- which you pointed out in another thread. so I am thinking that you either have to anticipate index trade signals as the more active time of day period approaches --- or does the index already reflect that and you still just wait for signals? thx for any commments.

lol, touche... (just a joke, wasn't a 'flame')

8 for 8 on Volume Spread Analysis, 0 for 1 on thread Titles...

cool graphics, thanks for posting. can you tell me how the '% average time of day volume' is computed? I get the idea -- just curious how its being more precisely calculated. I assume that is something like 'this volume bar as a percentage of the past (5) days average volume during this same time bar' ?..?..?

found this dvd set for budding potential beginning programmers this is Visual Basic for Excel --- if familiar with Excel, this is very easy place to start something that is very tough to learn out of a book: Amazon.com: Excel VBA and Macros with MrExcel (Video Training) (LiveLessons) (9780789739384): Bill Jelen: Books

example of Market Profile Type of Dashboard Lets see some of yours

thanks I used: 4H3H396YMHWP

I am somewhat new to the iPhone --- where do you enter the promo code?

hmm, I don't use the quotes table. I use these types of codes: For 5-min Volume: =ACCTNAME|bars!ESU9?5?Volume?0 For the Time-Stamp of a 5-min bar =ACCTNAME|bars!ESU9?5?Time?0 (note that my Ecry has screwy time stamp that is 7 hours ahead of my time -- but you can do a formula in the next cell referring to that cell such as =A6-(TIME(7,0,0)) that adjusts it 7 hours to make it local to my time -- and then format the cell for date and time.) For 1-Min Volume: =ACCTNAME|bars!ESU9?1?Volume?0 etc....

ok, here is a starter video on one thing you can do when live-linked to Excel that I have found useful. this relates to nuances you pick-up in tape-reading and order flow by having the data organized and presented in a certain way. its very hard to explain the value in this -- you just have to watch it every day and you begin to pick up clues in the price action. this particular video is about understanding that volume can be better interpreted in context of the time of day that the volume bar is building. [ame=http://www.youtube.com/watch?v=S0EopSNCp1w]YouTube - OEC volume[/ame]