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1987issue C081-4

Intraday Value Area construction from TPO counts

The official Value Area is marked after the close as the 70% range of daily volume. Before that overlay is available, a session estimate can be rebuilt from accumulating TPO counts by expanding from the highest time-at-price until 70% of the peak count is enclosed.

  • The official Value Area is computed after the close by overlaying traded volume on the completed price-time profile and marking the 70% range of daily volume.
  • A session estimate substitutes TPO counts for printed volume at each traded price and can be refreshed as new half-hour blocks print.
  • Construction starts at the highest TPO count and adds mass on alternate sides of that center until 70% of the peak count is enclosed.
  • A Value Area that widens on rising volume is read as the auction facilitating trade; a range that narrows on falling volume is read as a warning of change.
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Current trackMarket profile23 readingsVolume profile24 readings

The official mark waits for the close

The official Value Area is computed after the close by overlaying traded volume on the completed price-time profile and marking the 70% range of daily volume. That overlay is the volume profile: the same price ladder with traded volume at each tick.

A session estimate can be built before the close by substituting TPO counts for printed volume at each traded price. The substitution leaves a usable 70% activity range while the official volume report is still unavailable.

TPO counts keep the map current

Market Profile records each traded price together with the half-hour TPO block in which it printed, so the distribution can be updated throughout the session rather than only after the close.

A TPO is a time-price opportunity: a half-hour block in which a given price traded, counted as time spent at that price. The finished session map often finishes as a bell-shaped distribution of time-at-price.

Construction from the modal price

Construction starts at the price with the highest TPO count, then adds TPO mass on alternate sides of that center until 70% of the peak TPO count is enclosed. The enclosed prices are the estimated Value Area.

The result is a contiguous price range that concentrates the designated share of session activity. After the close, that same idea is marked as the 70% range of daily volume.

TPO count by price as the 6 February 1987 T-bond session builds

Each bar is the number of half-hour TPO letters printed at that price in the four Market Profile snapshots. Prints pile up at 100 14/32 and 100 15/32 (11 each by 1:30 p.m.), which is the mode you expand from until about 70 percent of the session’s TPOs are enclosed. By that stamp CISCO’s estimate had already tightened to 100 11/32–100 16/32, inside the official post-close volume Value Area of 100 11/32–100 20/32.
Each bar is the number of half-hour TPO letters printed at that price in the four Market Profile snapshots. Prints pile up at 100 14/32 and 100 15/32 (11 each by 1:30 p.m.), which is the mode you expand from until about 70 percent of the session’s TPOs are enclosed. By that stamp CISCO’s estimate had already tightened to 100 11/32–100 16/32, inside the official post-close volume Value Area of 100 11/32–100 20/32.March 1987 U.S. T-bonds · session snapshots 10:30 a.m.–1:30 p.m. · 1987-02-06T00:00:00.000Z to 1987-02-06T00:00:00.000Z

Letter strings were counted at each price. The 100 13/32 cell at 1:30 p.m. is 9 prints (B–H, J, K): period I never printed there at 12:30, and that count is what makes the ladder total the printed 76 TPOs.

Facilitating trade and a narrowing range

A Value Area that widens over several days on rising volume is read as the auction facilitating trade. A Value Area that narrows on falling volume is read as a warning of change.

Facilitating trade is the auction state inferred when breadth of range and depth of activity are sufficient to meet two-sided demand. A narrowing Value Area on falling activity is treated as a sign of change.

By 1:30 p.m. on 6 February the estimated Value Area span was 6/32 versus 17/32 the prior day, which was taken as evidence the market was no longer facilitating trade. The next session opened lower and closed at 99 19/32.

TPO estimates versus the volume overlay

Recalculating end-of-day Value Areas from TPOs instead of volume placed T-bond estimates within one tick in 57 of 80 cases (71%) and within two ticks in more than 81% of cases.

The same TPO-versus-volume check for soybeans was within one tick in 51 of 76 cases (67%) and within two ticks more than 80% of the time.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
1 of 20 in the Market profile track
19871-9 pp.Next on Market profileConstructing session market profiles from half-hour auctionsA market profile stacks time/price opportunities that participants accept or reject, on the premise that a market exists to facilitate trade.
All readings on this track · 20 readings
  1. 1987Intraday Value Area construction from TPO counts
  2. 1987Constructing session market profiles from half-hour auctions
  3. 1988Volume value area versus time-print filters
  4. 1988Auction control from a price, volume, and time ledger
  5. 1988Constructing intraday trade-facilitation percentile tables
  6. 1988Constructing session decisions from auction age and volume
  7. 1989Range extension after the opening auction
  8. 1989Constructing value maps from auction volume overlays
  9. 1989The bull hook as a next-session opening-range breakout filter
  10. 1990Incomplete volume-at-price samples and auction reads
  11. 1990Constructing overlay profiles to map auction value
  12. 1990Constructing daily overlay profiles for auction brackets and breaks
  13. 1990Volume-confirmed facilitation as an execution gate for half-hour breakouts
  14. 1992Volume-box construction with named spreadsheet macros
  15. 1993Commercial volume caps outside the value area
  16. 1993Hourly participant volume as a live filter for day trades
  17. 1999Assembling the daily auction from time-price opportunities
  18. 2000Who accepted price first in the auction
  19. 2002Treat the session as an auction: find value, then judge the breakout
  20. 2002Auction structure, trader constraints, and the opening range
By fieldAuction and volume33 readingsBy year198721 readings
All 23 readings tagged Market profile
Also on Market profile5 readings
1988Auction control from a price, volume, and time ledger1988Constructing intraday trade-facilitation percentile tables1988Constructing session decisions from auction age and volume1988Volume value area versus time-print filters1989Constructing value maps from auction volume overlays