Auction control from a price, volume, and time ledger

A three-constraint bargain

Buyers and sellers both want large size completed quickly. They are therefore compatible on volume and time and compete on price. The compromises they accept appear as movement of the price-time-volume point.

Editorial reading: TradersWeek treats every print as a ledger entry among price, size, and speed. The construction task is to record that bargain and test whether participation is expanding or fading, not to memorize named shapes.

Three principles for the ledger

The time-volume principle says that at a fixed price, greater intended size lengthens expected completion time for both sides. Buyer and seller time-volume curves need not coincide. An intersection of those curves sets expected transacted size and duration.

The price-volume principle says that within a fixed time, greater intended size lowers the price a seller can obtain and raises the price a buyer must pay. The curve intersection is the equilibrium price under those conditions.

The price-time principle says that for a fixed volume, a seller who insists on a higher price and a buyer who insists on a lower price each need more expected time to complete.

Raw time between trades is treated as too noisy to use directly. Useful timing information is described as requiring signal-processing methods. Price and volume can be studied with time held fixed.

How a linked histogram is built

A linked histogram stacks an activity measure such as volume, time, or volatility by price and tags each unit with its time of occurrence. Intensity of an arbitrary activity type can then be read at each price rather than from price location alone.

A volume profile is a histogram of transacted size by price. It is used to locate participation and to choose an executable order while accounting for implementation cost.

A market profile is a price-location display of auction activity. It is used to choose an executable order and account for implementation cost.

Editorial reading: both displays are built from the same three-constraint ledger. Linked activity-at-price stacks are then read for which side is being fed and which is being starved.

Expanding and fading participation

Volume-price analysis reads joint changes in price and size as a chart condition that can be stated as a falsifiable hypothesis.

A buying triangle is a rising-price, rising-volume stack. It is read as sellers feeding unsatisfied demand at higher prices and remaining in control while the shape persists. Once available sell volume is exhausted, the same shape is treated as a downside reversal cue.

A selling triangle is a falling-price, rising-volume stack. It is read as buyers being satisfied at lower prices until available supply is exhausted.

A falling-price, falling-volume sellers-atrophy stack is read as shrinking supply and a potential upside reversal when willing sellers disappear. A rising-price, falling-volume buyers-atrophy stack is read as shrinking demand at higher prices and a potential downside reversal. Both are atrophy triangles: stacks in which volume shrinks as price continues in the same direction, read as fading participation.

Atrophy turning points can be sketched by projecting volume toward disappearance. Buying and selling triangles require estimating when available volume is exhausted.

Testing structure robustness

Live profiles are usually less clean than the ideal triangles. A structure is treated as meaningful if it keeps its shape when the unit size used to build it is changed. It is treated as weak if it vanishes under that change. That test is structure robustness.