UrmaBlume

While this is waaaay off topic, I can appreciate your poker analogy. You should, however, input a couple more basic poker concepts - the style of play you advocate is called "weak tight" and the players you mention eat weak tight players as appetizers. It should also be noted that in spite of your mention of pot-odds, the odds most operative in the games the guys you mentioned play are not pot odds, they are the implied odds. While you have mentioned one situation where it MIGHT be profitable for you to put in your chips against the best in the world you might note that the best in the world are masters at manipulating the situation and manipulating the implied odds that will ultimately be your undoing when playing against such as those. Funny you should mention poker - we recruit our new traders almost exclusively from the poker community. Our best model so far is a young (20-30), male or female, from one of the Scandanavian countries that while successful in poker, never finished college. We quants build the trade decision support gear and young, bright people that are experienced in processing multiple online variables in online risk/reward situations execute the trades. And yes, of course, I agree that "a small nimble shop of quants is a good place to be" unless the quants in that shop can't see or get beyond a 30 year old concept/technology that fails to take advantage of today's data, processing, concepts and intelligent and sometimes automated agents. Again, thanks for your input. What I would rather see is how you have taken your study of Market Profile Theory BEYOND the traditional.

I started this thread NOT to talk about the market profile, the status quo of the market profile or any particular trader's use of the Market Profile. I started this thread to talk about the "Evolution of Market Profile Theory." To stay even close to the topic the discussion should be about EVOLUTION. It should be about the evolution of the theory and how to evolve graphic, statistical and other indicators that go beyond the same old, static discussion of TPO's, value areas, invisible time frames and WVAP. My qualifications to start such a thread are 3 - 1) longer direct experience with the profile than most - I began under Peter Steidlmayer's direct tutelege in the early 80's 2) While it is measured in weeks and not years I have spent weeks eating, sleeping, working and trading under the same roof as Peter - much more than most here and 3) I have developed technologies that while based on the market profile, go beyond early market profile theory and certainly, when taken collectively, offer more precise information as to the current balance of trade and commercial participation than any currently available version of the profile by itself. I praise the market profile and market profile theory as it is a big part of the foundation of everything I do. At the same time I have empathy for those that can't see that the value in market profile theory is not found in a 30 year old graphic indicator (I was stuck for a long time too). I applaud those that look to technical advancements spawned by the theory for value. While tired, old, and yet still somewhat useful as a training tool that old horse, the graphic itself, hardly qualifies as today's state of the art in data, concept and technically based trade decision support technologies. How many of today's top 100 money making traders world-wide does anyone think use the market profile as their primary source of trade decision support information? Guess as you will - but from my experience the answer is not even one. They have all evolved - that is if they were ever stuck there in the first place, pluse some of these top guys are not even human they are bots. Regardless of the method or indicator - longer term success usually requires more than just competence - it requires the ability to adapt to the changes that will surely come - in other words it requires evolution - evolution in technology, method and certainly in self. cheers

Tams, I don't think anybody here is as patient and continuously helpful to beginners as well to advanced players as you. I thank you and many, many on the board have also thanked you. Like you I sometimes lose patience with those that make very low content posts or almost no posts and just leech code. Still it is a community and we must add what value we can if we are to expect the ability/right to take value. Your technical understanding is vast and your help is appreciated. cheers

Very well said and right on. As far as this forum goes, I thought I was all alone with an understanding and past exposure to this type of trading. While I don't publish code I have provided certain insights into the construction of the code modules you describe. For instance I describe our indication of intense commercial trade as -"When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes. Some here have been able to come very close to reverse engineering this indicator and some have gotten the whole thing - the point is that several on this board now have an indicator that they find valuable that they engineered themselves from just a few clues. These guys are the thinkers and I like their chances. On the other hand every one has to start somewhere and it is often hard to commincate the vast difference between someone trading 1-10 lots with Trade Station or Ninja Trader and some guy that builds auto execution models for thousand lots that operate on a data feed that costs more than a thousand dollars a day and that is just for the data - nothing to the infrastructure and the people to maintain the operation. Your comments are most astute, thank you.

Perfect. Very Well Said. LOL.

Sometimes the same pics can be used to make DIFFERENT points. In this case I have used some of these pics earlier to describe the indicators themselves and in this later case they were used again to demonstrate that some of them have evolved from early market profile theory. Different points/subjects - same pics. The posts on trade intensity and the PRIMER on the formulation of an index of weighted biases were designed to stimulate development and not to be a code donation. Of note is that more than a few of the more astute members here have found that my clues have provided enough useful information so that they could accurately reproduce the intensity indicator/!!!CPMEThr and a couple have almost completely cracked the index of weighted biases. As to selling these indicators, I am asked several times a day from this forum and other sources to sell these - those from this board that have asked can verify that they are not for sale or lease but rather for training our in-house traders. I guess it will always be that some gain insight and understanding from some posts and others not. To those that have thanked me - I say thanks and I am glad that you found value - to the others I say best wishes. cheers

There are more than a couple of ways that you can use EL and readily available free functions and dlls to share data from different charts. As you begin to lean more about the functionality of TS & EL - I suggest you investigate the ADE - All Data Everywher ELD & dll as well as the EL Collections ELD & dll. While these routines are somewhat lacking in time granularity they will at least get you started in the right direction with their list & map functions. While these collections are a bit slow and lack certain capabilites for our work they are free and available to the public and make a good starting point for those beginning to explore this area of opportunity.

Good indicators lead price not the other way around. While it is true that the lines on price are zero phase implementations of Jurik's adaptive moving average, the index itself takes 24 inputs from 3 different time frames and most of those inputs have nothing to do w/price. We feel that neither time or price motivate or are predictive of future prices but rather it is the multidimensional imbalance in order flow that predicts price. When you look at the chart with the moving averages you will note that price is to the left of the lines which means price is leading the indicator and not the other way around as a good indicator should. Here is the same chart withe the index imposed over price and the MAs and you can see that the indicator does indeed lead price as it should. No averages of price can ever lead the market becasue changes have to occur in price BEFORE they can occur in the indicator. Note that the index is to the left of price and the averages are to the right. I know of no price based indcator that LEADS price. This index does and thus is not made up of price based biases.

While we deploy several versions, this particular version is driven by data exported from Trade Station on a tick by tick basis via our own dlls to the application itself which was written in C++.

If you will note the title of this thread - it is designed as a primer so that you can write your own. All of the concepts are here - all that is left is a bit of work on your part. cheers

All of the traders in our small operation trade on workstations that drive 6 - 8 monitors such as the one shown below. Bloomberg made a breadthrough with his screen when he combined different data streams onto the 1 screen. The multiple screens present higher time frame data for trade information and lower time frame data for trade execution - more precise entries and stops bases on lower time frame structures. The weighted indexes are presenting information collected and procedssed from that and higher time frames. The chart shown is an 8k contract chart which is roughly equivalent to a 90 second chart. Some of our traders execute from that chart and our real speed demons, over 100 traders per session, execute from a 1k, 15 second chart. We collect and process this information from these different time frames down to the execution chart to allow the trader to have one screen for information and one, the trade matrix, for execution. This way a trader can participate in 3 or 4 markets in the very short time frame all from the same workstation. The bottom pic is of the last 5 hours of trade in the ES on Friday - times are PST. Our "slower" traders execute of this 8k chart and our younger, mostly European, super stars execute from a 1k chart with the information parsed down to that, 15 second, time frame.

During the 80's I spent several weeks at Peter Steidlmayer's ranch at what he called the Butte on the Feather River in California learning Market Profile from the man himself. Tim Mathers of CQG was there with some of his programmers as it was the profile that gave CQG its start. During that same period I also met Jim Dalton and attended at least one of his seminars. While Jim's book was very good, I asked for my money back at the end of his seminar. The Market Profile is an indicator, nothing more, and like an indicator it can be applied with a wide range of both inputs and other parameters. For at least a decade my trading was based almost exclusively on the profile and during that time I found several useful variations on the concept. Here is a shot of a volume profile with structures that last only 30 minues and boxes that represent the trade of 100 contracts - the red and blue dots represent net buying and selling in each of the 30 minute structures and is read on the left index. Since then with the availability of online volume and certain intelligent agents I have found/developed certain other indicators, also demonstrated below, that better and more locally define that which the profile was originally designed to reveal. Now, with more available data and faster, smarter processing available some developers have produced sets of profile based indicators that offer a precision never possible with the profile. For at least a decade my trading was based almost exclusively on the profile and during that time I found several useful variations on the concept. Here is a shot of a volume profile with structures that last only 30 minues and boxes that represent the trade of 100 contracts - the red and blue dots represent net buying and selling in each of the 30 minute structures and is read on the left index. Since then with the availability of online volume and certain intelligent agents certain early followers of the profile have found/developed certain other indicators, also demonstrated below, that better and more locally define that which the profile was originally designed to reveal One of the points Peter always stressed was the importance of locating the participation of commercial traders. In those days the only way you could do that was via a LDB report from the Board of Trade - the issue was that this report didn't come out until after the session was over so you could only see the location of commercial trade in the days after it occurred. Today we have developed indicators such as the intensity if commercial trade which I have described eleswhere on this board. This indicator detects trade that is of such characteristics that it can only be done by commercial traders and is demonstrated below: A constant topic with Peter in those days was what he called the balance of trade of the balance of order flow. The problem was that when price was in "value" the profile had trouble showing the state of buy/sell balance/imbalance. To better discover this state of balance/imbalance we developed what we call a harmonic of buying and selling volumes as demonstrated below: The profiles demonstrated earlier show one way for the profile to present data from different timeframes. Timeframes have always posed a problem for the profile and in those days it was dealt with by either breaking profiles or combining them. Today we take and combine information from higher time frames, post/map it to global variables and then retrieve it in lower time frames for information and execution. Here is a shot of one of our indicators of a weighted index of multi-time frame biases. I have discussed the formulation of such indicators of weighted biases in another thread: A month or so ago I had a couple of conversations with Peter and while I must say that most of what I know of market theory came from his teachings, I am sorry to report that his concepts and technologies are still bound by the data and technical constraints of the 80's. I agree with the notion that if you know the markets well enough you need very little and if you know almost any set of indicators well enough that is all you will need. For me/us the profile is no longer enough and with faster, more intelligent processing available we have mostly moved on.

During the 80's I spent several weeks at Peter Steidlmayer's ranch at what he called the Butte on the Feather River in California learning Market Profile from the man himself. Tim Mathers of CQG was there with some of his programmers as it was the profile that gave CQG its start. Of course Kiwi is right when he says the profile is but yet another indicator and like other indicators it can be applied with a range of inputs and other parameters. For at least a decade my trading was based almost exclusively on the profile and during that time I found several useful variations on the concept. Here is a shot of a volume profile with structures that last only 30 minues and boxes that represent the trade of 100 contracts - the red and blue dots represent net buying and selling in each of the 30 minute structures and is read on the left index. Since then with the availability of online volume and certain intelligent agents I have found/developed certain other indicators, also demonstrated below, that better and more locally define that which the profile was originally designed to reveal. One of the points Peter always stressed was the importance of locating the participation of commercial traders. In those days the only way you could do that was via a LDB report from the Board of Trade - the issue was that this report didn't come out until after the session was over so you could only see the location of commercial trade in the days after it occurred. Today we have developed indicators such as the intensity if commercial trade which I have described eleswhere on this board. This indicator detects trade that is of such characteristics that it can only be done by commercial traders and is demonstrated below: A constant topic with Peter in those days was what he called the balance of trade of the balance of order flow. The problem was that when price was in "value" the profile had trouble showing the state of buy/sell balance/imbalance. To better discover this state of balance/imbalance we developed what we call a harmonic of buying and selling volumes as demonstrated below: The profiles demonstrated earlier show one way for the profile to present data from different timeframes. Timeframes have always posed a problem for the profile and in those days it was dealt with by either breaking profiles or combining them. Today we take and combine information from higher time frames, post/map it to global variables and then retrieve it in lower time frames for information and execution. Here is a shot of one of our indicators of a weighted index of multi-time frame biases. I have discussed the formulation of such indicators of weighted biases in another thread: A month or so ago I had a couple of conversations with Peter and while I must say that most of what I know of market theory came from his teachings, I am sorry to report that his concepts and technologies are still bound by the data and technical constraints of the 80's. I agree with the notion that if you know the markets well enough you need very little and if you know almost any set of indicators well enough that is all you will need. For me/us the profile is no longer enough and with faster, more intelligent processing available we have mostly moved on.

Tams, Thanks for posting yet another piece of useful code. We do something similar which is a simple "show me bar" in Easy Language that plots the percentage of upticks and the percentage of downticks currently inside either a time or volume bar. It posts the downtick percentage at the high of the bar in red and the uptick percentage at the low in blue - easy to code and very straight forward. It will give the user an idea of how the volume/commitment bias inside the developing current bar is shaping up.

Thanks SoulTrader, Now, finally, even the dumbest on Wall St., are learning what the smartest have known all along - which is that it is not their captal, cash-flow or customer base that is their most important asset but rather it is their intellectual capital. Two decades ago I wrote on how astounding it was that major brokerages spent 90% of their IT budget on back office functions rather than to providing timely, useful information to their clients or better yet, as Goldman demonstrates again and again - trade the information for the benefit of their clients, partners and the company.

Thanks for the kind words. We divide the day session of the ES into 405 windows of the appropriate length for each of the six different time frames and then compare volume & commitment to that same (each of six) lengths, updated every minute throughout the 405 minute session to the same levels of volume and commitment over the previous 62 days. It tells us how current activity in 6 different time frames compares to activity in those same time frames - at those same times of day in the past - compare to today's activity. The idea is that what is a lot of either volume or commitment during the middle of the sesion is actually very little during the first or last parts of the session - hence "time of day normalized." This comparison is a help in spotting "out of sequence" activity in either volume or commercial trader commitment. BTW - I notice San Francisco - we moved to Las Vegas from Hillsborough - just south of you - Cheers

While not presented in Excel here is our idea of a real market dashboard. The top line shows longer term trader commitment so far that session as well as current trade flow as measured by contracts per minute. The red, yellow and green bars are buy/sell signals in 11 different time frames and a are constantly changing throughout the session. Blue bars on the left show the percentage of time of day normalized volume in 6 different time frames. The pie charts demonstrate the buying and selling during the most recent blocks of trade and are constantly pulsing with surges of buying and selling power. The price ladder in the middle shows current and recent prices. The red and green bars on the right show time of session normalized trader commitment over 6 time frames. The balance of trade is shown on the bottom left and price on the bottom right.

Thank you for the kind words. Below is a shot of the last 3 hours of today's (08/03) trade on a 5k ES chart with 7 trade signals. Times are PST. This graph is mostly a period of chop and yet still well defines several points of opportrunity. This is the result of a feed-back loop that adjusts to different levels of bias and trader commitment. We don't believe that the passage of time motivates changes in price but rather it is an imbalance in commercial order flow that produces changes in price and these weighted indexes of biases are one way to measure that force as it is applied to price.

And for those that really want to get a bit deeper into optimization theory check out the attached article on "Ant Algorithms for Discrete Optimization." From the Introduction - "Ant algorithms were first proposed by Dorigo and Colleges as a multi-agent approach to difficult combinatorial optimization problems...." IJ.23-alife99.pdf

Samarai, Trade Station's most recent upgrades include a genetic, survival of the fittest, optimization routine that cuts optimization runs to a fraction of the time required by brute force. I have been using Trade Station and other products from Bill Cruz and his brother longer than anyone and the only 2 issues I have with Trade Station are 1) the lack of granularity of their time stamp and 2) No optimization for multi-core technology. I have information from inside Trade Station that they are working on both of those issues. We have a shift to Multicharts under consideration especially since MC uses Easy Language and we will be able to port any of the several thousand indicators, strategies and functions that we have written over the years. The issue for us is that we are very familiar with TradeStation and would hate to change and start almost from scratch if it is just a matter of a few months until Trade Station implements these changes. We have been able to get around the time stamp issue with certain dll's and for some or our optimizations we have built our own engine that runs outside TS. Our most recent work is about intra-bar (inside the bar) trading. BTW San Antonio can be a very fun town. I was born there and spent my summers on nearby Lake McQueeney.

Here is a link to a thread on this board that I posted as a primer on how to formulate such an index of weighted biases. http://www.traderslaboratory.com/forums/f34/primer-formulation-index-weighted-biases-6400.html

We use biases from higher time frames to keep us out of trouble and in opportunity regardless of the speed of the market. In a previous post on bias based trading I have described how to formulate such indicators of bias. Here is a shot of the last 5 hours of trading in today's (7/27/2009) ES. Times are PST.

Yahoo does a good job for free and even includes links to the meaning/significance of the numbers here: Economic Calendar: Financial Calendars - Yahoo! Finance

Vars: BarWhen(0), BarsSince(0), MA(0); If C crosses over MA then BarWhen = BarNumber; BarsSince = BarNumber - BarWhen;