Hourly participant volume as a live filter for day trades

A live filter on an open day trade

Hourly cleared-volume releases let a day trader reassess an open position while the session is still live. A stalled trade can be recognized, and a working trade can be rechecked as it nears a target.

Market Profile collapses half-hour session letters onto the price axis so each price shows which time periods traded there. Those letters mark an initial base, the early-session price range from which later upside or downside breakouts are measured. Breakout analysis used the opening through 8:30 a.m. range, Market Profile letters Z, dollar, and A, as that base, then judged later upside or downside prints against the next cleared-volume download.

Editorial note: TradersWeek reads that early base as setup only. The open-position decision comes with each later hourly participant-volume slice, used as a keep, flatten, or extend filter.

What each hourly report adds

An hourly cleared-volume report is an intraday release of volume at each price, split by floor, commercial, off-floor, and public participant classes. Each hourly report lists volume at price plus the share of that volume from those four classes, so period-to-period mix changes show whether a price move is supported and by which class.

The illustrated report places price, volume, percent of total volume, four participant-class percentages, and Market Profile time brackets on one grid. Volume profile is that cleared volume distributed across prices, including each price’s share of total volume and the central region treated as value. The report defines the value area as the prices containing the central 70 percent of volume, treated as the session’s current estimate of value.

Who is doing the work away from value

Volume confirmation compares successive hourly participant-volume mixes at prices beyond the base to decide whether a move is supported or stalling.

In Treasury bond futures, public volume was typically around 26 percent of the total. Breakouts were treated as normally led by that public flow, and a fade in public volume was read as a likely stall. A public-led breakout is a move away from the early-session base accompanied by above-average public volume, read as longer-horizon participants driving the auction.

Commercials usually trade inside the day’s heaviest-volume region, the value area. When they become active away from value in a balanced market they buy lows or sell highs and push price back toward the middle of the range. That pattern is commercial capping: responsive commercial buying below value or selling above value that contains a balanced auction.

Public leadership after an upside breakout

On the January 25, 1993 session, the first download around 8:45 a.m. set a base of 10612 to 10621, with commercial volume at 16.1 percent and public volume at 27.1 percent described as about average for that contract.

After that upside breakout, 3604 contracts were cleared at 10622 through 10624. Commercial share there was 25.4 percent versus a 12.7 percent session average, and public share was 27.7 percent, which was taken as public leadership of the move.

Public control on a downside session

On the January 7, 1993 downside session, volume just below the early base was very low, floor traders were selling mainly to the public, and commercials were not buying responsively. Later hourly prints continued to show public control as price worked lower.

Commercials buying below a wide base

On the wide-base session that opened 10318 to 10409, volume below 10318 showed public trading at 25.9 percent, below average, and commercial trading at 28.6 percent versus an 11.2 percent average, read as commercials buying below value. That third release arrived after price had already dipped in C period and recovered in D.

Editorial note: TradersWeek reads the first two sessions as public-led keep or extend filters, because the work away from the initial base stayed with the public. The third session is read as a commercial-capping flatten, because the work below value was done by commercials rather than by the public.