Incomplete volume-at-price samples and auction reads

A public file for the third auction dimension

Market Profile treats volume at each price as the third auction dimension that locates acceptance or value. Related price-time-volume work does the same, so the daily volume-at-price file is the required input.

In 1984 an exchange published a public volume-at-each-price file so non-members could see the per-price activity that floor observers had previously watched in the pit.

The published file comes from the second reconciliation

The published file is built from the second clearing reconciliation submitted around 17:00 Central. That cut contains only about 70 percent of that day's volume.

The rest of the session arrives in a third reconciliation around 21:00 and a fourth the next morning around 10:00 after out-trades are settled.

Typical published files show only about 75 percent of final cleared volume. About 25 percent of trades therefore have no assigned price in the file many users treat as complete.

A large sample is still not a census

An informal user survey found that more than 80 percent believed they were reviewing the entire prior session rather than a sample.

A three-out-of-four sample is still not a census. The publisher has not shown that the included prints are random, or that excluded trades do not systematically omit certain prices or clock periods.

What the missing prints left out

Side-by-side second and third reconciliations consistently understated institutional CTI4 volume. Market Profile and volume-confirmation users therefore likely understated longer-horizon participation in bonds.

Missing prints appeared tied to the last two hours of the day rather than to prior-evening activity. That window can dominate the close and the volume profile.

How the file counts volume

Volume in the file is reported as paired buys and sells. That total must be halved to recover traded volume.

Editorial interpretation: Market Profile is a price-time-volume auction map of acceptance or value from how much traded at each price, not from price and time alone. The volume profile is the distribution of that size across prices. Volume confirmation uses per-price and per-period volume to qualify who participated and whether the close was a thin or heavy print. Each of those reads can only use the size the early file assigned.

Editorial interpretation: a late-session gap in the final hours can dominate close location and the shape of the volume profile, while an understated CTI4 slice changes how volume confirmation reads the lasting participant.