good --- glad to hear you liked the ioamt room --- Billy is fun to listen to during the day {seems to always have me laughing about something}.
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Trading with Market Profile
- Thread starter They
- Start date
Quote from bundlemaker:
TS does not have a true market profile. They do offer a "price distribution" indicator. IMHO, it's not very useful. There are some 3rd party app's that allow true volume profiling and market profile.
Any names of 3rd party apps that offer true volume profiling and market profile - particularly any which can build a multi day profile of any length as per CQG.
Also any TS apps that offer something similar to Marketdelta's 'Marketdelta' indicator and bid ask strikes indicator. Something along the lines of TS2000 Buyers Vs Sellers activity bar (which I can't get to work)
I want something that will give me some (obviuosly very rough) idea of whether market is net short or net long in a short term cycle (not straightforward as new open interest comes into it and for every buyer there is a seller) and wether a position marked by a distribution profile established yesterday was closed out today or whether thinness of counterparties might force its closing or reversal to be carried over by one or two days.
Quote from mokwit:
...I want something that will give me some (obviuosly very rough) idea of whether market is net short or net long in a short term cycle...
Interesting concept. Each open contract must (could) have a timestamp attached to it which would allow a system to give you the average age of longs/shorts or a ratio of open shorts/longs from today or over the past X number of days etc.
In order to implement that you'd need to keep the complete dataset of open contracts with their timestamps and add to that and remove from it as each contract is traded.
Although the programming of this idea is relatively simple I don't think that the data is available in realtime - at least I've never seen a data vendor providing that sort of info - yet.
Anybody else have any ideas here?
Maybe don't need that level of accuracy, what I really want to know is when 'they' bought, then ramped it to a distribution level did 'they' close or reverse all today or, as often seems the case does it go over to another day before the next stage. Sometimes you can get a feel for this just be looking at the profiles, but that of course is after the profile has completed for the day - same principle as it being much easier to spot a trend day at the close than the open.
What I am looking at is using MP to get a better idea of where we are in Taylor's 3 - 5 day cycle. A study of cycle free float turnover is also something to look at. what I have noticed with ramped stocks is that if for example a stock turns over its entire freefloat in one trend day, you don't want to be a buyer next day no matter what the bar or pattern indicates.
As for 'they' - I am talking about Asian mrkets some of which undoubtedly have a 'they' for individual stocks if not the whole market/index heavyweight and sometimes what appears to be 'they' is probably the collective unconscious of the market - unconnected people moving in lockstep. One thing I have noticed is that when prop desks are hitting a small market/index heavyweights hard it tends to be for 3-5 days.
What I am looking at is using MP to get a better idea of where we are in Taylor's 3 - 5 day cycle. A study of cycle free float turnover is also something to look at. what I have noticed with ramped stocks is that if for example a stock turns over its entire freefloat in one trend day, you don't want to be a buyer next day no matter what the bar or pattern indicates.
As for 'they' - I am talking about Asian mrkets some of which undoubtedly have a 'they' for individual stocks if not the whole market/index heavyweight and sometimes what appears to be 'they' is probably the collective unconscious of the market - unconnected people moving in lockstep. One thing I have noticed is that when prop desks are hitting a small market/index heavyweights hard it tends to be for 3-5 days.
I'm not sure if you're aware but in the S&P futures market the value traded on the eminis each day is greater than the value traded on the big car. However, the value carried overnight is bigger on the big car.
If you were doing this sort of analysis you would probably want to combine the data from both SP and ES to get the true picture.
If you were doing this sort of analysis you would probably want to combine the data from both SP and ES to get the true picture.
Quote from mokwit:
Any names of 3rd party apps that offer true volume profiling and market profile - particularly any which can build a multi day profile of any length as per CQG.
Also any TS apps that offer something similar to Marketdelta's 'Marketdelta' indicator and bid ask strikes indicator. Something along the lines of TS2000 Buyers Vs Sellers activity bar (which I can't get to work)
I want something that will give me some (obviuosly very rough) idea of whether market is net short or net long in a short term cycle (not straightforward as new open interest comes into it and for every buyer there is a seller) and wether a position marked by a distribution profile established yesterday was closed out today or whether thinness of counterparties might force its closing or reversal to be carried over by one or two days.
Mokwit,
My research indicates that using bid/ask data in the way you describe is not accurate. If you logically think about it, you can come to the same conclusion. Just because there is net activity on the bid doesn't mean the market is net short. There are too many other mitigating factors that disallow that assumption. I had looked into cash/futures differential on an extremely short term basis to suggest where and who was net long or short. In the end, I realized that knowing where supply and demand was historically located far outwweighed any real time determinations. I don't even use MP per se anymore, determining true supply and demand isn't that complicated.
Just my 2 cents.
ps- for TS market profile, there is some guy in France who has a product that I thought was kind of pricey, google MP and TS, that might turn up the site, I can't recall it myself.
Quote from bundlemaker:
My research indicates that using bid/ask data in the way you describe is not accurate.
I ran a fairly extensive back test that used the size on the bid/ask to trigger trades and found that no matter which way I traded (tested) that system the net result was breakeven.
My conclusion was that size on the bid/ask did not support a move in the expected direction more than 50% of the time. I believe I also ran some stats on that as well as a simulated back test with the same results.
This was about a year ago that I ran this and I believe that I used the ES as the testing field. Don't remember the exact details as it was a while back.
Quote from bundlemaker:
I figured you'd mention those two days. On both occaisions, longer term demand came into play. I refer to supply and demand in a strict sense, but use a simple, but proprietary method for determing the levels (ie. not really volume profiling but a close enough surrogate, and there's more to it than just volume at price, if you're in Bills room, I don't do it how he does)
The market has a single fundamental behaviour- balance to imbalance and back. This applies to volatility also. The underlying cause (not really a cause, more like a scenario) for increasing volatility is a widening gap between various supply and demand levels.
Hope this helps
Bundle, How's the new site doing? I tried the homepage link you sent me a while back and can't connect.
Luke,
My Dad passed away mid-sept and things have been busy regarding sorting out family issues. Please check out the site in two weeks. We have a deadline due to an SFO article coming out in Dec issue. THanks for your continued interest.
RE: bid/ask data
It's not that there is nothing useful in tracking trade on the bid versus the ask. You just can't do it in a vacuum. Bid/ask activity relative to objectively defined supply/demand may provide something interesting to look at.
My Dad passed away mid-sept and things have been busy regarding sorting out family issues. Please check out the site in two weeks. We have a deadline due to an SFO article coming out in Dec issue. THanks for your continued interest.
RE: bid/ask data
It's not that there is nothing useful in tracking trade on the bid versus the ask. You just can't do it in a vacuum. Bid/ask activity relative to objectively defined supply/demand may provide something interesting to look at.