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1999issue C121-8

Assembling the daily auction from time-price opportunities

Market Profile is built as a rotated distribution of time, price, and volume. The finished map of value and control is used to test a moving-average crossover before that signal is treated as executable.

  • Market Profile is a rotated distribution of time, price, and volume, not a conventional buy or sell indicator.
  • Each TPO letter records one half-hour at a price, and the value area is the band treated as the day's accepted equilibrium.
  • A move away from value on drying volume is constructed as rejection; the same move on rising activity is constructed as a revaluation of value.
  • A five- and 10-day moving-average crossover can print before the profile shows control, so the signal remains a hypothesis.
Entries in this reading3 entries
Current trackMarket profile23 readingsVolume profile24 readingsMoving-average crossover108 readings

A distribution map, not a signal

Market Profile is constructed as a rotated normal-distribution map of time, price, and volume, not as a conventional buy or sell indicator.

It is a decision-support map of time, price, and volume that organizes the session into a distribution rather than issuing buy or sell recommendations.

How time-price opportunities build the day

Each TPO letter records one half-hour of trading at a price. That letter is the building block of the daily profile.

The letter-to-clock mapping is not consistent across vendors, so the same letter need not mark the same clock interval in every display.

Day type is read from how the TPO distribution forms, including double-distribution structure when two separate value clusters appear.

Value area and the volume overlay

The value area is defined as the band containing about 70 percent of the session's trades and is treated as the day's equilibrium.

Volume profile is the volume overlay that shows whether a move away from value is being accepted or rejected.

A move away from value on drying volume is constructed as rejection. The same move on rising activity is constructed as a revaluation of value.

Initiative, responsive, and bracketing activity

Initiative activity is trade that continues in the direction of the prior session's control rather than fading it. Responsive activity is trade that fades an excursion from value and tries to return price to the accepted area.

The two are classified by whether longer-horizon participants continue or fade the prior day's control.

A bracketing market is identified when both other-timeframe buyers and sellers respond at the edges of a range. It is a range-bound auction in which both longer-horizon buyers and sellers answer at those edges.

Checking a moving-average crossover against control

A five- and 10-day moving-average crossover can print a sell signal before the profile shows sellers in control. The crossover is treated as a hypothesis rather than an executable condition.

A moving-average crossover is a chart signal from shorter and longer averages. It must still be checked against who controls the profile.

September 1999 T-bonds through the late-August breakdown

September T-bond futures roll over from the mid-July area near 12000 and then break after the late-August bounce fails. Weekly closes were read from the CQG daily pit chart the article pairs with the August 24–26 Market Profile insets; 11432 is the last print in that quote box. A trader should see that price was still holding the bounce when the averages crossed on August 24, and that the decisive decline only appears after the quiet session on August 26.
September T-bond futures roll over from the mid-July area near 12000 and then break after the late-August bounce fails. Weekly closes were read from the CQG daily pit chart the article pairs with the August 24–26 Market Profile insets; 11432 is the last print in that quote box. A trader should see that price was still holding the bounce when the averages crossed on August 24, and that the decisive decline only appears after the quiet session on August 26.USU9 September 1999 Treasury bond futures · Daily bars, sampled weekly · 1999-07-12T00:00:00.000Z to 1999-09-20T00:00:00.000Z

Closes other than the 20 September print of 11432 are digitized from the screenshot and rounded to the nearest 50 in the platform’s 32nds display. The article overlays both a 5-day and a 10-day average; only one smooth overlay is separable on the raster, so that single trace is shown. The left side of the same chart is hidden under the Market Profile callout and was not read.

The same construction beyond futures

The same construction can be applied beyond futures. Equity profile displays are available from software vendors.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
17 of 20 in the Market profile track
20001-9 pp.Next on Market profileWho accepted price first in the auctionThe Liquidity Data Bank lists volume at each price, splits it among four customer trade indicator groups, and prints those columns beside the session Market Profile brackets.
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 year199959 readings
All 23 readings tagged Market profile
Also on Market profile5 readings
1987Intraday Value Area construction from TPO counts1988Auction 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 filters