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Pricing

Research method

Market profile

Market profile is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.

Output
Research filter
Input
Order book, spread, volume, auction and trading costs
Horizon
Seconds to the order life cycle
Best use
Choose an executable order and account for implementation cost.

Registry evidence level: replicated. This is a navigation record, not a performance claim.

  • Input: Order book, spread, volume, auction and trading costs.
  • Output: filter.
  • Use boundary: Choose an executable order and account for implementation cost.
The graph3

How the method is built, and where it has been read

Depends on

Read in the archive24 of 26 readings

1987Intraday Value Area construction from TPO countsAuction and volume1987Constructing session market profiles from half-hour auctionsAuction and volume1988Constructing a value area from TPO, volume, and order flowAuction and volume1988Constructing Value Area trends from half-hour auction profilesAuction and volume1988Volume value area versus time-print filtersAuction and volume1988Auction control from a price, volume, and time ledgerAuction and volume1988Constructing intraday trade-facilitation percentile tablesAuction and volume1988Constructing session decisions from auction age and volumeAuction and volume1989Range extension after the opening auctionAuction and volume1989The bull hook as a next-session opening-range breakout filterEntry and exit rules1989Constructing value maps from auction volume overlaysAuction and volume1989Four-state money-flow-index as permission for a next-bar breakout-systemEntry and exit rules1990Incomplete volume-at-price samples and auction readsAuction and volume1990Constructing overlay profiles to map auction valueAuction and volume1990Constructing daily overlay profiles for auction brackets and breaksAuction and volume1990Volume-confirmed facilitation as an execution gate for half-hour breakoutsAuction and volume1992Volume-box construction with named spreadsheet macrosAuction and volume1993Commercial volume caps outside the value areaAuction and volume1993Hourly participant volume as a live filter for day tradesAuction and volume1999Assembling the daily auction from time-price opportunitiesAuction and volume2000Who accepted price first in the auctionAuction and volume2002Treat the session as an auction: find value, then judge the breakoutAuction and volume2002Auction structure, trader constraints, and the opening rangeAuction and volume2007Market Profile as auction context for inventory imbalanceAuction and volume
This registry entry describes a research method. It is not investment advice and does not make a performance claim.