Constructing session decisions from auction age and volume

Read the session as a labelled price ladder

A complete session report, the liquidity data bank, labels every traded price with its volume, the class of participant at that price, and the time period in which that price printed.

This auction-market framing is dated to 1984 and is presented as deeper than daily open-high-low-close, volume, and open-interest summaries.

A market profile is the price-by-time map of a session, showing which prices printed in which time brackets. A volume profile is the same price ladder annotated with how much volume traded at each price. The liquidity data bank attaches volume, participant class, and time bracket to every traded price.

Age the major auction first

The first construction step is to establish the major auction's direction, state, and age. The major auction is the longer-lived auction whose direction, state, and age set the background for the day.

Condition parameters for that major auction are taken from historical volume-bank records before the latest report is used to define the minor trend. The minor auction is the latest completed session's trend relative to that background auction.

Treat a non-facilitating tape as information-poor

Trade facilitation is whether the tape is successfully attracting two-sided business. If it is not, the session is treated as information-poor.

If the market is not facilitating trade, the procedure skips the alignment cases because the session yields little information and a fast breakout should be expected.

Branch into five paths only after trade is facilitated

When trade is facilitated, the outline branches on whether the major auction is trending and on the latest completed day's type, producing five operating paths. Day type classifies that latest completed session as trending, flat, or counter to the major auction.

Those paths distinguish same-direction continuation, a flat minor inside a trending major, a countertrend minor, a fully bracketing tape, and a flat major with a trending minor described as a common birthplace of new trends.

A bracketing market is the case in which both the major and minor auctions are flat, so the outline favors day-trading or standing aside.

Condition the volume bank before the live profile

After that orientation, exact condition work on the volume-bank is required before the new session's live price-time profile is used.

Session analysis is that step-by-step reading of auction state, volume-bank condition, and live profile before an order is chosen.

Build what the quotes allow

A full volume-bank was then produced only for futures listed on one exchange, but a price-time profile can be built from quotes in any market. Estimated volume-bank values plus daily summary fields can still locate trends and recent day types.