Volume value area versus time-print filters

Three filters, not one map

Market profile is a time-and-price auction map built from how many brackets traded at each price. It describes session shape and opening control, not traded size.

Volume profile is a size-weighted map of the same session. The accepted-value zone belongs here when it is computed from reported volume rather than from time prints.

A liquidity filter is a same-session test of whether the auction is actually facilitating trade. It is used before treating a price as executable.

Time-price opportunity is not volume

A value area built from time-price opportunity counts is not the same construction as a value area built from reported session volume.

A time-price opportunity is a count of time brackets that traded at a price. It can estimate volume, but it becomes misleading when size clusters in a few wing periods.

Time-price opportunity totals can misstate volume when a large share of size occurs in one or two periods on the wings of the distribution.

When the liquidity-data bank arrives

The liquidity-data bank is a post-session volume and participant report used to settle the volume-based value area and to inspect who was active.

The value area is the price zone treated as accepted value. When a liquidity-bank volume report exists, this zone is computed from that volume, not from a time-price opportunity count.

An evening volume report can correct an intraday time-print estimate, but trades already done that session cannot be revised until the next opening.

Where an exchange does not publish a liquidity-bank volume report, time-price opportunity estimates are the only available value-area proxy.

Opening control changed names

Pioneer range was the earlier name for the opening window. It was tied to the assumption that locals controlled the first two periods in every market.

The opening control window once labeled as a two-period pioneer range was later generalized to initial balance because not all markets showed the same early local-control pattern.

Customer-type indicator and who is active

The customer-type indicator splits activity into locals, commercials, member-for-member accounts, and public or other accounts. It is used to see which group is pressing the auction.

Local floor activity was characterized as having little effect on price direction, while commercial activity is hybrid and can either resemble local flow or supply a visible directional push.

Member-for-member and public customer types were treated as other-time-frame participants, and their shares were becoming available as separate series.

A same-session facilitation test

One same-session liquidity filter compared the count of distinct price steps to the count of time-price opportunities to judge whether the market was facilitating trade.

That comparison is the trade-facilitation factor. It is used before treating a price as executable.

These reports were not free public tape

Auction-profile and liquidity-bank reports were not carried like ordinary high-low-close prints. They required a paid computer feed rather than being free public tape.