2000issue C011-9
Who accepted price first in the auction
The 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. Editorial reading: treat that split as an execution filter and read time structure with volume at price before residual flow is treated as confirmation.
- The 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.
- One-way price travel is treated as acceptance until opposing volume appears, and volume at price locates whether that opposition starts a reversal or a shift into a range.
- Commercial traders usually sell above value and buy below it, while residual traders often react later across a wider range; the opposite commercial pattern is read as initiative.
- Editorial reading: a price move is only as executable as the group absorbing it, so residual flow is not confirmation until Market Profile time structure and volume at price agree.
The print beside the Market Profile
The Liquidity Data Bank lists volume at each price, splits that volume among four customer trade indicator groups, and prints those columns beside the session Market Profile brackets. The four groups are floor traders (Cti1), commercial clearing members (Cti2), members filling orders for other members and nonclearing commercials (Cti3), and members filling public or other-customer orders (Cti4).
Floor traders typically supply the largest share of day volume by taking a few ticks on large size. Residual traders, Cti3 and Cti4 together, are described as about 25% to 35% of the day and as trading a wider range than floor or commercial flow.
Acceptance until opposition appears
One-way price travel is treated as acceptance until opposing volume appears. That opposition is read as either the start of a reversal or a shift into a range, and volume at price is the tool used to locate those points.
The volume value area is the contiguous prices that hold about seventy percent of session volume and mark where size was accepted. The TPO value area is the value band built from time-price opportunities rather than contract count, and it can sit slightly apart from the volume value area.
The 30 August soybean print
In the 30 August 1999 September soybean print, session volume was 4078 contracts with floor traders at 48.5%, commercials at 1.0%, and residuals at 50.5%. Residual dominance plus a 1.6% opening-volume share was read as a trending rather than balanced auction.
That same soybean session put 3132 contracts, or 76.8% of volume, between 464.40 and 470.00. The volume value area width of 56 compared with 32 on 27 August, and commercials clustered at 465.60 on the lower extreme rather than at the upper extreme.
Consecutive-profile tests
Consecutive-profile tests compared trade-facilitation direction, rising session volume from 3080 to 4078, volume at the extremes, value-area width, volume value area versus TPO value area, and the average of the five largest volume-percentage prices (10.74 then 9.06). Most of those tests pointed higher, and the 31 August profile continued upward.
Dispersion of volume allocates half the peak price's share to each side of the highest-volume print inside the TPO value area. The method is described as unhelpful on trend days, and the 30 August soybean case produced 45.35% above that peak versus 15.05% below.
Responsive and initiative commercial flow
Commercial traders are described as responding first. Responsive activity is commercial selling above value or buying below value. Initiative activity is the opposite pattern, commercial buying above value or selling below it, and it is read as a shift in their perception of value rather than a defense of the old range.
Commercial share inside the volume value area is compared with the share above and below it and with a roughly ten-day average. Hourly Liquidity Data Bank updates show which group is active as the value area forms.
Treasury bond net volume
In the late-1999 Treasury bond case, commercials sold from 28 to 30 September while the public bought, prices fell into 25 October, then public buying rose after 28 October without commercial buying enthusiasm.
Net volume activity is signed commercial versus public participation over days to weeks, used to see which group is initiating and which is following. Commercial and public net volume are described as generally negatively correlated, with commercials entering and exiting first and residual flow producing the wider range.
All readings on this track · 20 readings
- 1987Intraday Value Area construction from TPO counts
- 1987Constructing session market profiles from half-hour auctions
- 1988Volume value area versus time-print filters
- 1988Auction control from a price, volume, and time ledger
- 1988Constructing intraday trade-facilitation percentile tables
- 1988Constructing session decisions from auction age and volume
- 1989Range extension after the opening auction
- 1989Constructing value maps from auction volume overlays
- 1989The bull hook as a next-session opening-range breakout filter
- 1990Incomplete volume-at-price samples and auction reads
- 1990Constructing overlay profiles to map auction value
- 1990Constructing daily overlay profiles for auction brackets and breaks
- 1990Volume-confirmed facilitation as an execution gate for half-hour breakouts
- 1992Volume-box construction with named spreadsheet macros
- 1993Commercial volume caps outside the value area
- 1993Hourly participant volume as a live filter for day trades
- 1999Assembling the daily auction from time-price opportunities
- 2000Who accepted price first in the auction
- 2002Treat the session as an auction: find value, then judge the breakout
- 2002Auction structure, trader constraints, and the opening range