Constructing intraday trade-facilitation percentile tables

What trade facilitation is measuring

Trade facilitation is whether an auction is still hosting two-sided participation, as opposed to drying up through a shrinking range and heavier time spent on each price. Sessions that stop facilitating trade over several days are described as showing falling volume, a narrowing range, and a rising number of time-price prints on each price increment.

A same-session facilitation measure is constructed from two running within-day counts: time-price opportunities and ticks traversed, with a third reading formed from their ratio. The market profile is the lettered half-hour price structure from which those running time-price totals and the facilitation look-ups are taken.

A time-price opportunity counts the prices printed inside a lettered half-hour bracket, and the running total of these prints is the raw input to the facilitation table. Tick count records how many minimum price increments the session has traversed so far and is used as a range-growth cross-check on the time-price count.

How the percentile ladders are built

The reference ladders were built from 210 Treasury-bond auction-report days from mid-October 1986 through 24 August 1987, a window chosen because it mixed advancing, declining, quiet, and active conditions.

Construction converts each day into a TPO line: a single day's series of running time-price totals at the close of each half-hour letter, from the opening bracket through the final bracket, lettered A through L. Those days are sorted on the final-period total, averaged in groups of 10 to produce 21 rows, and mapped onto a 0-100 percent scale in 5 percent steps. The mapped value is the trade-facilitation factor, a zero-to-one-hundred percentile that locates the current cumulative print or tick total against that compressed historical sample of like sessions.

Because the sort is anchored on the last period, earlier half-hour columns need not rise uniformly. A small group size of 10 days per average is given as the reason a middle column can show a local bump.

Reading the print and tick tables

In the worked look-up, 86 time-price prints by period H sit next to a table value of 85 and read as an 85 percent facilitation score. The most active sample day reaches 215 prints, while the quietest row has 6 or fewer prints in A and 32 or fewer by G.

After-the-fact session snapshots span a near-zero reading on a quiet day with 34 prints and 8 ticks, mid-range 45 percent / 45 percent on a 99-print / 24-tick day, and very high readings on 185-print / 88-tick days.

The ratio ladder and split readings

The ratio ladder starts near 1.0 in period A. At the top of the sample it rises by somewhat less than a factor of three from A to L, while at the bottom it runs from 1 to 4.8, with the high ratios attributed to profiles that fatten when facilitation is low.

A split reading is treated as an alert rather than a single grade. One later snapshot showed 48 prints at period I for a 5 percent time-price score, about 55 percent on ticks, and a 2.1 print-to-tick ratio that mapped to 100 percent on the ratio table.

Volume as a fourth check after the close

Official volume is left out of the live tables because it was not available during the session. After the close it is specified as a fourth confirmation. Volume confirmation uses that official volume, once it exists, as a fourth cross-check that can accept or modify the three live facilitation readings.

Volume profile, the distribution of traded size across price, is treated here as an after-close check because live volume was not part of the daytime tables. The same arithmetic can be rebuilt for other futures once historical half-hour profiles exist.