alleyb

The establishment of identifying early the type of day actually comes from the Data Warehouse first. EG: What follows (ie probability) on a Monday that is also a Bond Auction Day (or whatever the daily event is) that follows the previous Friday's NFP which was a Incomplete Neutral Day IE: In simplistic terms it is a case of asking questions along the lines of where is the market in relation to today's open in relation to: previous Close/Highs/Lows/POC Short Medium Long Term/: What is the market doing IE Lower Highs Lower Lows with Constant Rotation (this is Key) and what is happening to Value both in terms of emerging or in terms of Short Medium and Long Term. Understanding the Position (Long/Short and How Many... what used to be established from the CBOT LDB) of the Street is also useful and I have developed and shown how to do this without the official LDB in MP101 and MP102. Understanding the position of the market in relation to the 4 steps of activity as well can help. EG: All we did this am (Nov 10th) was revert to the recent mean which was also a POC from which the selling then started in earnest trapping many who were trying to trade from a fundamental/event risk point of view who had little understanding of those matters. After all who cares what the funnymentals really are for its not the funnymentals that count but the price reaction to them that matters. If the expected is not happening then the opposite must be true. From all this the pattern of the volume will then be self evident to confirm as to whether the market is a Trend Day or not displaying the patterns of 1st / 2nd / 3rd STD whereby it becomes necessary to foresake Trade Location to be on board the Vertical Move as opposed to requiring Trade Location in a Horizontal Move. The day Nov 10th was marked as not a Trend Day at all but a Normal Variation Day with Trend Like Properties which then culminated with the late trade being some form of Incomplete Neutral Distribution. Please note that some of the phrases I am using are mine not Pete's/Dalton's/Jones's and represent the direction that so called Traditional MP is moving into as the markets evolve. At least it is the direction that I moved to some years ago. PS: The Data Warehouse shows that Trend days in the Traditional sense occur 11.67% of the time but in terms of the evolving New MP or Adjusted MP actually occur 19.58% IE: 1/5th or One Day Per Week and there is no preference to which Week or which Month of the Year. The most likely day for a Trend Day is actually a Thursday

Trader 74 http://www.tradingclinic.com/oneoff/80rule.pdf here is the original definition of the 80% rule however like many things with MP it requires an updated definition and the updated definition according to me is that once value has been entered then the probability of getting to 80% of the opposite side of the value range is 80%. There are various "tricks" that one can additionally input depending on previous reference points. If you trade value areas as support and resistance then you may get a scalp trade but in the majority of times if you have travelled right the way through value you will pop out the other side. When do value areas work well whereby you can buy the bottom and sell the top then the earlier in the opening range the more likely it will work but thereafter the less likely it will work. You have to understand when the market is in vertical or horizontal mode As to how to build a strategy and expect direction then I initially refer you to my previous post. Stop loss is about both risk management and money management where time is also input into the equation depending on trade location. Frankly to answer your question could potentially take a several chapters to answer and again I repeat you seem to want a rule based approach and although there are certainly many potential rules for entry and exit including stops you have to start at the beginning by asking questions: EG where is the market in relation to previous reference points and what is it trying to do now. From this you can formulate a strategy undertanding that a vertical market has a completely different entry and exit style to a horizontal market.

observation over many years rather than devine science You say it is curious. then you must not have read from Don Jones of Cisco-Futures that he believes the optimal profile timeframe to be 28+ minutes rather than 30

As a Prop. Trader I used MP across 240 minutes for FX and 30 minutes for futures markets. Still do although I suspect there is a case for finding a way to break the 30 minutes up into segment of 26 mintes. that is not 26 minutes continuous but 26 + 4 = 30 then another 26 + 4 etc.

as to TPO vs Volume Profile. I use both. Ultimately it is all about the pattern so find whatever works for you and do not deviate and if you have seen it before trust it to work again

I am a tradional kind of guy in that the original NYSE hours plus the 15 minutes IE: 9:30am-4:15pm ET for Stock Indices and 8:20am-3pm for Bonds etc not only work but there is a reason why they still work. The mutual funds and asset managers and fund managers etc still work traditional hours and in fact in many cases what the exchanges have not figured out is that many funds require the exchange to be open to be able ot transact business from a fiduciary point of view (there is a little matter that many people are in fact forbidden to transact business outside of the office due to compliance reason not least of which is a taped phone) and the exchanges are officially open the hours stated. There are other reasons in that the guys who make up the large proportion of volume have little interest in working more than the necessary hours per day and they in turn when they train people pass down the same old traditional ways and it is likely to be like this for at least another generation of fund managers. You will note that I am borne out in this in the sheer volume that originates in markets at the "open" and the "close" where it is not unual in Mini S&P for example to have a 1 minute 100k+ volume bar at those times

agekay. In an attampt to show you that the distribution is the same here I have re-stated the September contract to show the same composite but with a different timescale to get rid of the noise to show you that the September and December distributions are in fact the same. The differences at individual prices is accounted for the fact that the December trades at a small premium to the September but you still do not get it because you do not countenance the fact that the MP footprint is like an internal brain for the market and numbers repeat. The same numbers are applicable in September can be used in December and you will find that the volume pattern will replicate

I sense a degree of frustration. Maybe you missed the point numbers clusters volume nodes whatever you want to refer to will repeat. It is not about adjusting for the gap but just perhaps in case you are a visual person then here are the current charts for the September S&P and the December and you can then draw your own conclusions. I apologise if S&P is not the contract that you ultimately had in mind bit the principal remains the same

AgeKay you potentially open up a discussion that is at the very heart of the day traders lack of knowledge about historic prices. DIFFERENT VENDORS HAVE DIFFERENT AMOUNTS OF HISTORY - a classic occurence would be in the Grains where the most amount of data I have found goes back to 1968 and yet the CBOT has been trading Corn since 1851 (and I do have somewhere a chart of Corn back to 1878) - and this therefore means that you don't know for example the beginning of time because all technical analysis has to start somewhere so if you compare 2 vendors with different history then you will find that the oscillator you entered will then give 2 different values and I have frequently thought that it must therefore be possible to force some algo trader to kick in their model once a certain level is passed because his chart does not give the full picture. Now you might argue that data back that far is irrelevant and I might agree except to say do you know what was the all time high in Wheat and when and you may be surprised to find out that it might not have been this year at all. To answer specifically the questions you pose. No it does not really matter what you use for the pattern will ultimately be the same, the levels will additionally be the same and as volume builds across what used to be the back month then you can start to shift focus more to the new front month as the data builds so long as you don't forget that numbers repeat themselves. As an aside Pete Steidlmayer used to say that the long term time frame trader was more evident in the back months for no day trader would venture past the front month and although you may find there is a lack of data in back months there will by default be the occasional spread trade, basis trade and of course there are all the settlement prices which will all go into your being able to see the historic distribution

Strikes me that fxmarketspace is about creating a platform that allows those who currently are barred from the EBS platform to participate in a similar way to how EBS operates. For individuals then the bucket shop is still the only aveneue unless you trade futures but there are many shortcomings to futures as already discussed IE the lack of pairs or at any rate liquid pairs being one of the key issues. Although futures markets standardize terms and conditions of a contract the hopscotch nature of all currency futures being a USD product thereby creating the inverse price structure to the spot in CAD or JPY or CHF also creates confusion and the fact that the GBP and the AUD and CAD are different size contracts to the Euro and CHF also does not help make the product as simple and straightforward as it could be. For those that wish to trade a single product then the CME currency futures in the majors is great way to particpate but what some might call the exotics or others might just call the X rates is frequently where the the 10000 pip moves are located - the GBP right now of course proving to be the exception but the current move in GBP is a once in 15 year occurence

The age old question makes me smile. There will always be a multitude oif opinions all slightly different. The Gann boys would argue that you compare March vs March, June vs June, September vs September, December vs December There will be others who say adjust the chart by stating that the new level is the equivalent of the old level and therefore if one still used paper hand drawn charts you would effectively cut the chart in two and then re splice it so that the new contract would line up the new price vs the old price. IE it became a matter of changing the scale. Then there is the school who says just leave the gap and treat it as a gap. I fall into this latter catorgary for it has become apparent that over the years within 4 days in over 90% of the times the gap is closed. There is a perfectly logical explanation for this occurence but to specifically answer your question then you will find that back months despite not having the same volume as front months has the same pattern and so you would create your long term profile with your "new" contract understanding that what I have said above applies in that the old levels will still be applicable to the new levels almost without exception. You see numbers repeat themselves constantly but most traders have such short term memories that they forget the footprint left by the history of the chart

The version you found is actually the 2nd version of the handbook and was originally available for $500 quite a large amount of money back in 1989 for such a book. There was in fact an earlier version written in if I remember 1984 but the CBOT lost it however all is not lost for I possess a copy and it is imho a much easier read and better presented The following were all CBOT senoir staff members: The Editor and writer was Shera Buyer Robert Menchin was a consulting editor Michael Boyle developed the format for the MP Graphic Richard Stack worked with CQG to make the MP graphic available Carolyn McDonald designed the cover and the interior layout Leslie Villarosa, Johnathan Laing, Robert Jirout all contibuted and this manual had a forward by Pete and I quote: Trading is not a lost art in America. It is a skill that has never been fully developed. While the economic climate is relatively stable, a passive approach to the market was possible asnd even advisable. But with the advent of increased market volatility, an active trading strategy is the logival choice of individual and prefessional investors alike. It is further confirmed by soaring trading volume in all debt, equity and commodity markets. Although today's market conditions clearly call for a more active investment strategy, many individuals are deterred from this approach by the risk. This risk is real but with market understanding it can be managed Trading successfully is not as difficult as it is sometimes thought to be. Basically I believe trading is explained by this simple equation: Market understanding times you plus your trading method equals results. Successful traders have two things in common - a thorough understanding of market activity and a strict trading discipline. Discipline varies from person to person but market structure is fixed and subject to understanding. True understanding greatly reduces and often eliminates the market's known risk factors leaving the trader free to deal with unpredicatable developments and his own temperament. Your personal approach dominates the equation. No one is more capable of handling that factor that you are. You in effect control your own destiny. The CBOT service gives you the tools to understand market acticity. And if you overlay a disciplined trading approach on the market's basic structural organization you can improve your trading results. In order to recognize opportunitym to respond appropriately and to make timely adjustments as you go, you need to know what the market is doing and under what conditions. The difference between knowing and guessing is vital. I hope this manual will allow you to capitalize on the difference and to accept trading as a legitimate investment alternative to passive portfolio management J Peter Steidlmayer end quote Reminder this was written in as I say 1984 and could have been written today

MP can be applied to anything including individual stocks for at its root is the standard bell curve and therefore it is about statistical analysis out of which is borne probability studies. Using this one can create trading rules for entry and exit. MP used in multiple baskets IE say 100 IBM +1 Currency Future Plus +1 Bond Future +1 Stock Indices is an additional way of incorporating MP whereby it becomes a diversified (debateable I know) basket but this style is really only applicable for institutional accounts

There is as much liquidity as you want during normal trading hours in each center due to the arb who are constantly doing exchange futures for physical (EFP) except right at Govt reports when they momentarily turn the algo off and then you will find out that the liquidity is thin and gaps quite normal. As for turning your nose up at tic volume then you obviously are not aware that tic volume is at least 95% correlated to actual cash or underlying volume on all studies done in futures marklets vs cash markets. Your point about less pairs is correct for the futures markets cannot even provide liquidity in Gbp/Jpy but in Eur/Jpy there is a constant 5 tic bid offer spread again due to the arb however to do something like Aud/Jpy you would have to trade the seperate contracts where as well there is a difference in size the Aud contract being $100k and the Jpy contract being $125k thereby creating a mismatch unless you have the capabilty of trading size. The question as to volume I thought I had made the point in that the eternal question of how much can move the market 1 tic/pip is it depends IE sometimes it takes 1million to move the mkt and sometimes 1 billion

You can use tic volume of spot as a proxy. Within a 3 trillion a day market knowing how much moves the market one pip is irrelevant. One day it might be 1 million another 1 billion. It depends on time of day and center, customer, market maker etc. As for Futures then there is a constant arbitrage by the spot jokeys who are trying to pick off the retail hence the reason why there is any genuine liquidity in futures at all. Note what happens at Govt. Reports when the Arb conveniently turns its algo off

Here's the MP chart for S&P for Friday 8/29. It's not necessarily an ideal day for what you are looking for However there are many aspects which are close. Additional to my comments on the chart there were certainly some interesting Fib Ratios to be noticed. The G period lows coincided with the Gap from 8/27 and the 38% from the 1261 low on 8/20 to 8/28 high at 1300 and the day's lows coincided with 50% (PS this is not a Fib number as so many would like everyone to believe but is just the mean) from the 8/26 lows to 8/28 high The question as to how long to stay in a trade means that you have to descend down (or even up) the timeframes to establish what time frame the market is actually auctioning EG: The Market started in roughly a 15-30 minute until the 1292-1290 area was broken at which point it descended into varying modes of 1-5 minute charts then it expanded the time frame backout for the doldrums to 15-60 minutes again before the sell down which was then back to the 1-5 minute charts. Unfortunately Friday was not really a very good example for the purposes of this threads excercise in terms of demonstrating how the auction time frame moves from say a more normal 30 minute or longer down to the 1 minute chart and back out. In terms of moving averages then on a 5 minute chart once the 100 period was broken the control ma appears to have been the 10 period on the 10 minute

Here's a weekly continous chart of the British Pound. It has been possible at varying moments in this chart to fade the moves however the returns afforded were frequently less than 50 tics (or pips as the FX guys refer to the tic) although there were upmoves of approx 150 in the 4hourly chart (with ATR of 50-75 tics per bar) and in reality the faders were just doing the bidding that the one time frame seller needed to create the necessary liquidity to keep selling that turned into at times almost open mouth disbelief at how far can the move carry on as the faders exited at each and every fresh break of the lows. What has become evident from this chart in the lower time frames is the seller operated early in the move at 1am Chicago time IE it was UK driven. (Note more Hedge Funds exist and manage their money out of London than any other center these days) but then there were secondary moves of selling that came in around 7:20am with the official opening of Pit Futures trading. (Yes yes I know the markets are electronic blah blah but this latter point is perhaps better kept for a discussion another time and on another thread). PS:The chances are that we are trading 1.7037-1.8470 with 1.7375/1.7395 as a hidden pivot for the Dec 2008 contract

FFTrader I will try to help re chart but I need to know something first so that I can find a bespoke (to you) scenario (hopefully). What are the markets that you trade and what is your modus operandi. IE scalper, swing etc...how long do you stay in a trade, and if possible what is your defined method of risk management. I am asking for quite a lot I know but I want to try to find something that is in context for YOU

afl007 one could write reams on the subject but I suspect that you want the simple answer for I detect in your language something that suggests rule based or systematic approach to the trade. Traditional MP structure was determined by the TPO and a histogram of tic volume. Tic volume has a very good correlation to actual volume and time spent at a price generates volume however afl007 you are correct to notice that there are times that the high TPO is not necessarily the high volume price. In a Normal Distribution it was always assumed that the two would coincide where as in reality they do not have to. In patterns that are not Normal Distributions there is a skew that becomes more pronounced as the pattern becomes more elongated and where there may very well be High Volume POC that are different from the TPO POC. There is a current fixation by the volume watchers as to X amount of volume being the POC on a given day whereas the reality is that it makes little difference whether 28k or 32k trade at a price. If the High Volume POC is close to the TPO POC it has little meaning and note that in many EU markets where there is a netting algorithm on the open that it is quite possible for the High Volume POC to occur at a distance from the TPO POC. All high volume represents is where the majority were satisfied at the price engendering so called Value and therefore Fair Price to both sides at that given moment and similarily the type of scenario that you have noticed represents a similar satisfaction. Please remember that the POC is not the place to initiate trade for it represents where your broker becomes rich and where you are allowed to scratch bad trade location. All I can suggest is do not get too fixatd by the High Volume POC but look at the larger picture of the distribution and ask the questions some of which are; where, what, how, in relation to, ....etc

Karish. CTi2 operate early in the day and CTi4 later ForSearch. Tic volume has in all studies since the early 1980s been a good correlation for actual volume. Don Jones of cisco-futures did some studies that came out with 95% correlation, in my own I have found closer to 97%. The question to answer with FX is not necessarily the absolute volume but the pattern of the Profile and the pattern of the Tic Volume Histogram. In all studies speed is the essence as to how anxious the market is to cover/acquire a position. Again its not necessarily about how many lifted off the offer.... for taking of the offer is not necessarily always buyers. Think laterally and deeply about this statement. It is a good proxy but is not infallible. A good example may come this week with all the CBs announcements. Watch, observe, make notes, print out the charts and then ask questions.

there are a few add ins that various people provide mostly expensive imho and mostly again imho either too complicated in their output or just plain useless. I have been looking for an eld programmer for some time who wants to work WITH me rather than against me to produce what I believe should be the standard within Tradestaion. What is required is not that difficult to conceptulize but is mildly difficult to program. The issue is and no disrespect to the programmer community but certainly to the ones that I have met is that they wish to tell me the trader what I want to see output whereas what they want to create as a programmer incorporates what they think should be creating conflict of theory vs the real world that never seems to get together.? Now I've said that let's hope someone who genuinely wants to work WITH me will prove my experience of programmers wrong. To recap there are MP Tradestation add-ons but none that I would want to use

Mike - I have a Tradestation eld that in histogram fashion shows the dominance of buyer vs seller. It is a simple tool that you should be able to find an equivalent of on the Tradestation blogs but the reality is that I am a hands on type of trader and so I follow the tape and start observing and counting off 10k volume charts and I just figure a reasonable average - for averages are what count to an institution like hedge funds rather than a precise price - This work then is one element of input to my own LDB - other parts are in terms of establishing and correctly identifying the type of day and figuring the dominance of what type of trader eg yesterday Friday Aug 1st was a Normal Day which means that the Long Term or CTi2 or Commercial was active on the extremes selling high and buying low leaving the CTi4 or Non Commercial a net seller and Day Traders chopped up in the responsive trade that occurred where these latter guys bought high and sold low. Again I observe price or time and sales or ticker tape or volume however you wish to refer to it and futures being a zero sum game ie for every buyer there is a seller I count total volume exchanged ie 10k bar = 10k buyers vs 10k sellers = if price up then buyer more agressive and dominant. I don't get into precision of exact numbers for the difference between 10 or 12 is neither here nor there and then I look at the price movement amd the pattern that the Profile then takes on relative to certain key parameters. For example high volume and price did not move = buyer met his match vs seller and vice versa. Price up then buyer dominant etc. It is a little bit more complicated than just this to work out the LDB (Liquidity Data Bank) but its doable with a little bit of time and effort and in my MP101 and MP102 CBOT broadcasts I referred to one methodolgy of counting that is very valid and not too complicated but the reality is I want to know the position in terms of Lots or Units that the dominant trader is currently carrying. So right now the CTi2 are flat and the Cti4 are short 1 S&P and Long 1 Russell2k . As I say the 1 lot = 1 unit which will differ in real quantity from institution to institution. I care not to break it down anymore than number of lots or units for then I know what the street position is and I can position myself accordingly. So for Monday Aug 4th expect more responsive action in ES that screws up the short term trader for the snapbacks both ways likely to continue until the CTi2 enters the fray and the path of least resistance becomes established in an initiative manner which is likely lower once 1253 gives way on a Daily settlement basis and for higher I can't see a level to break...yet.. but suspect it has to be back above 1324-1332 Daily closing basis or 1382 on a Monthly closing basis This goes a little further than the pure scope of your question but hope it helps and no doubt will spawn loads more thoughts and questions. lol. Ask away.

firewalker the stats come from my own database or data warehouse as I like to refer to it

foresearch: He thought he was bigger than the market whether with or without upstairs or even on the desk approval. That organization felt that they could always push the market around and what was demonstrated was a total lack of culpability and risk management

I did a presentaion on June 6th that was for one hour but ended up being 3. (nothing unusual in that when I get involved. lol) It was such an interesting day that it necessitated the extention. With SoulTraders pre-acceptance and permission I place the link here. I urge you to spare the 3 hours needed for it was one of the most interesting days we have had for some time http://www.tradingclinic.com/oneoff/special20080606/special20080606.html