Frank

Well, I am interacting with Multicharts for the first time so have no legacy axe to grind. Until I see somebody do it, I am of the opinion that if you demand powerful charting functionality, you basically need to separate your charting from your trading platform. Tradestation has a problem doing both in terms of data delays and system crashes during high-volume moments. After playing around with Ensign, I am reminded how easy it is to write a few lines in EasyLanguage and have it do EXACTLY what you want. Therefore, as of now, I think the cleanest way to do this is to run Multicharts to get the EL functionality (with a data feed from eSignal) and then actually trade through someone like Interactive Brokers. As a cost-effective approach, running MC through Open Ecry makes a ton of sense -- free data and $99/mo for the powerful functionality of EasyLanguage/PowerLanguage is a fantastic deal.

Tresor, "MC's new beta version has a scanner functionality now. " what does that mean?

well, update is that I have been playing with Ensign and I am only on day 1 of a Multicharts trial and already know the answer to my original question. Multicharts is the answer. This is an easy decision for me as I am pretty decent at EasyLanguage and Multicharts 'PowerLanguage' is virtually identical. The first few indicators I inputed with EL code worked flawlessly. Actually, the PowerLanguage editor looks superior to EL as its easier to read since its colored and there is a number for each code line.

well nick, all of the savvy traders I interact with agree, while EL is an excellent software-analysis tool -- Tradestation is not a good platform for day-trading. at any given moment, it may be acting admirably -- but over time, it has proven to be an inadequate trading platform.

why did you leave MC once you learned to use it? sounds like you liked it. I have found EasyLanguage to be very powerful --- its just that TS has some serious baggage. I cannot compare EL to Ensign because I have never learned Ensign --- Ensign might be even more powerful than EL and I just don't know it. I was wondering if you just weren't using the EL functionality (in MC) or if there was some other reason why you would recommend MC but aren't using it now... on a side note, I noticed you get free data if you use Multicharts through Open Ecry -- maybe I should do that? Open account with Open Ecry and run Multicharts through it... I am playing around with Ensign ESPL - their programming language - and it does look interesting -- its just that without a good text on it -- could be a lot of work and frustration for something that end of day is not better than EL.

I used to love Tradestation. However, its pretty clear to me that Tradestation as a trading platform is seriously flawed. It started when they told me their architecture doesn't support the vertical axis functionality needed to do good Market Profile. Ok, but the straw that broke camels back is the apparent delay in data that occurs using Tradestation. I have many trader opinions who agree that they receive quotes faster on other platforms than they do on Tradestation. Clearly, trading with delayed data is major problem -- even if the delay is relatively small. (not to mention the outages that seemed to have been worked out by TS until this year). This brings me to my question; after investigating the marketplace, I see 2 solid options: Multicharts and Ensign. Ensign is a problem because I would effectively have to learn all the small tricks of EL programming I have figured out --- ie, tons of new syntax to learn. Multicharts sounds like great option as it says it can run EasyLanguage and apparently has an architecture that supports Market Profile. My fear with Multicharts is that it goes the way of Tradestation --- slows down and or there are problems in translating EL to MC. However, if it works -- my existing EasyLanguage skillset could be utilized. I see no real big cost difference. If anyone has done a thorough competitive analysis of Ensign vs Multicharts, maybe you can chime in with which way I should lean and which direction to head as a trial. A related question, what is fastest way to learn Ensign programming? --- I am not aware of a book on Ensign -- which is how I got started in EasyLanguage originally. thx

you need to add a statement, try: entriestoday(date)<1; can add it as a condition like this: condition1=entriestoday(date)<1; if condition1 then buy next bar at market; or just add it in to the buy command statement ------ to add anything added to inputs, you need to simply declare that you want then and then define it with a default number. ie, inputs: stopout (350); setstoploss(stopout); ---- good luck

so far, this is certainly not clear fraud, in my opinion. you have to see some embezzlement or fabricated documents with a paper trail of clear intent --- an email statement like that or some verbal comments are not going to mean much in a court of law.

I don't know the details of this but this doesn't sound at first blush to be a crime. Showing confidence in the asset class you are involved in is par for the course. These guys were dead wrong --- but being wrong is not a prison-worthy offense -- the penalty is generally losing your job. Having a rosy outlook on a market, despite near-term volatility, is basically what every sales pitch on Wall Street is about. maybe there was outright fraud that will come out of this -- but right now, this looks like a bunch of lawyers making scapegoats out of guys that just had a flaw in their 'strategy'. The flaw was that the asset class was hugely overvalued and they were obviously leveraged long. not a good place to be. throw on top of that the fact that it is/was an illiquid market. these guys should have been fired for sure. but prison? that should be reserved for outright fraud.

yes. if its easy, check out what is the actual ratio per day of the week too... ie, 1.89 for Wednesdays vs 1.67 for mondays? thanks dbntina, I am hack programmer -- I can make indicators that do these things and then count them but I don't know how to do statistical research studies like this. frank

1 other stat I keep is the final 'high to low' range for the day --- but kept as a ratio vs the range of the first 60-mins. ie, how often is the final range more than 2.0x the range of the initital 60-mins. this 2.0x guideline can sometimes help give a bit of a guideline to help 'see' the structure of the day. dbntina, can you run those stats if you get a chance? total range / initial balance range...

right, look back at the day in retrospect and see if 'highestbar>lowestbar' (> means 'after' to Tradestation) or lowestbar>highestbar.... so: if highestbar>lowestbar, then which 30-min bar was the highestbar made? if lowestbar>highestbar then which 30-min bar was the lowestbar made? frank

hi dbntina, lets discuss. you can see how the data is skewed such that a key high or low is made in the first 1-2 hours. that is good information as you will not be fighting the key 'bigger-picture' movement for the day if you keep this in mind. but the other question is how often does the market extend such that it chooses a direction and continues in that direction for the rest of the day. for example, can you run the data with a filter in it? ie, if the highest bar for the day came before the lowest bar for the day (high made first), what are the statistics on when the FINAL low will come? which period is the market likely to make its final low? the second case is then, if the lowest bar for the day comes before the highest bar of the day (low made first), what are the statistics on when the FINAL high will come? I have tracked this for the past year and curious if my data lines up with last 5 years. My data shows that there is about a 2 in 3 chance of the FINAL high or low not occuring until after 2:30pm, with actually many occurences not until after 3:30pm.

FOMC Week and Options Expiration Week Will Tend to be screwy. Here is review for the week:

The core high-level intraday model says that more often than not, the market will choose a direction and then continue that direction until the last hour. But let's quantify this tendency. Since Thanksgiving, the 110 trading days have seen 70 days (64%) that had this tendency. That is, the high or low for the day was made AFTER 3pm. If we add 'Period L' into it as well (2:30pm or later), it becomes 80/110 -- or 73%. This is not a forecast of the future -- simply a statement of fact about the last 110 days. I am still trying to figure out how to actually use this tendency. But the vague idea is to think that on any given day, once the market has chosen a direction --- more often than not, the S&P's will tend to continue in the chosen direction until the final hour.

Here is same material presented slightly differently. Wednesday morning saw higher timeframe sellers come in Period-D. Remember that when you are above the previous days high, you should be looking for a potential B-E reversal. The market traded down on Wednesday and this selling spilled over into Thursday. On Thursday, the market went below Wednesdays low in Period-D. The 60-min auction appeared to be down at the time. But below the previous days low and a reversal UP in periods B-E is a buy signal. Thus, you need to be on guard that the selling cycle that began on Wednesday (above Tuesdays high) could be over. On Friday, you were in day 2 of a new value migration up. Below the high of Thursday is a long possibility if get a reversal UP in periods B-E. We did make a low in E and then proceeded to march up through previous days high. Note that all 5 days this week made the intraday high or low in B-E and 4 of 5 didn't stop going that chosen direction until at least 'L-Period'. The market will tend to do this but don't expect it to happen every day like it did this week. Can expect generally 3+ of 5 days in a given to act like this...

potential 'laggards are in' signal this morning.. selling tail in 'D period' on a penetration of previous day high. this occured into key 89.00 resistance. could be 'excess high'

note that the S&Ps made a low 3 mins before 3pm, this fits the 'L-P' model -- though it is more common for S&Ps to make a low after 3pm, 3 mins is close enough to call it 'afternoon low.' also, the profile did not 'elongate' to the downside. looks like this was a 'long liquidation' (inventory adjustment that may have completed) and not a lot of new selling (ie, an elongated profile -- which would imply continuation). The market would still be 'expected' to violate todays low tomorrow. But tomorrow might be a day to go long if/when that happens.

hi winnie, we had 'auction reversal' this morning.. I am expecting this to trend down until after 3pm... here is a trick, yesterday we made high last and today we opened below yesterdays open. this is an auction-reversal signal (combination of a high close and open below previous opening price). this is a 'shock' gap and adds fuel to the fire as trapped longs have to sell when market breaks lower. The first day of auction-reversal should be the most dynamic day. I have big short on... hoping for the best. we'll see.

hi winnie, btw, in profile -- for whatever reason, the first 30-minutes is 'B period' (not A). also, there is no 'o-period' -- it goes straight from N to P. I can guess why but it doesn't really matter, I am just following 'their' etiquette. ok, to fine-tune the entry, I use either a support level from past days or an oscillator pattern or an oscillator divergence. a little tape reading adds to the context. today, I was looking to go long. but the 'fat' part of fridays profile was 1390.75 -- you can see this by watching the volume at price every day and recording the highest volume price. there was significant contract volume at 90.75 on Friday and we were under that today --- so this was a resistance level. it would be tough to go long too close to that level as that was your profit objective (buy below value, sell at/near value) so you wanted to wait for price to push down and then go long. we pushed up right off the open and into 89.00 and reversed. As we pushed down, volume was weak --- which weakens the short-side argument and adds positive context to your original long-side gameplan. just after 10:30am, a momentum-price divergence developed. price made a lower low while the 3/10 oscillator made a higher low. this is a well-known technical signal you should study. a divergence like this is a very short-term thing but you are just looking for a decent price to go long -- your real play is the market profile structure that you have analyzed. the divergence occured and price tested up and then back down just as 'D-period' ended. Your expectation is that the low in D would hold. It traded down very slightly below this during the first minute of E. This is the kind of movement you just have to ride out. E is still a decent 'reversal zone' -- and it only violated the D-low for a brief moment in time. Sometimes, the market will continue to move against you there and you will have to figure a way out of your position. In this case, that low was the low for the day and price marched up until N-period, consistent with the structural bullish higher-timeframe bias. note that the market ended up testing the previous days high volume price at ~1390.75 and finding resistance late in the day. btw, I used a 800tick 24-hr chart here. I am watching the futures across many timeframes and usually time a divergence using either the 400-tick, 800-tick or 1600-tick charts. this part of trading, the very short-term nuances of entries, are very much a 'feel' thing.

there is no magic with the 40 sma. I am using it only to 'represent' where current price has moved 'from' in order to gauge 'value migration.' It is being used as a 'reference point' to help guide me. As price and the moving average converge, you might say the current auction is 'aging' -- but not necessarily over. Remember, it's not over until you get a sign of 'excess.' I do not want to be looking for reversals ALL the time or else I would miss out on lots of good trades. The market will often auction one direction and then chop around while the moving average 'catches up' to current price. As this happens, you get closer to auction reversal and should be on the lookout for 'excess' -- as reviewed above. (also, note that occassionally -- the 'excess' signal is kind of grew -- using a moving average will act as a bit of a safety-net in case I missed the signal). btw, 'vwap' measures todays average price. I never look at vwap for a period longer than current day. there might be use in such but I have not discovered such. hope that helps a little bit, frank

Today was good example of a market fitting into the framework I showed over the weekend. Thought I would share it for the concepts it shows. 1) 'Value Migration' -- Concept is to try to trade with 'value migration' until an auction has ended. 2) 'B to E' / 'L toP' Framework of a market choosing a direction and staying with it until the afternoon. Friday saw 'value' form near 1390.75. Today, the market traded below the previous days value and below the previous days low. When value is migrating up on the higher timeframe (uptrend) and price is below recent value, the play is to look long (below value) and target a play back to previous value. You are getting asymmetric location because price is below value during an upward value migration. Note also how the market made its low during the mornign (B-E) and its high during the afternoon (L-P). This was a very classic structure day.

winnie, I am a relatively new trader trying to learn. I have been at it a little over 2 years. I find that putting trading concepts into my own words really helps me think about it as I relate these core trading concepts I am learning back to recent trading experiences.

Chapter 6 Part 2: In Part 1 of the Chapter 6 discussion was the concept that ‘excess’ (gap or tail) marks the end of one auction and the beginning of another. This is the more common and clear way to ‘mark’ the beginning of a new auction. But there is another. The less frequent way one auction ends is simply when volume in the direction of the auction just dries up. Its ‘as if the participants that were driving the directional move are ‘all in’ and there is nobody left [to drive further directional movement].’ That is, there may not be a significant tail on the day of the auction low. No matter how an auction ends, you need to develop visual aids (indicators) such that you can judge order-flow and classify where you believe you are in the 2-way auction process. Where the ‘innovator’ and ‘laggard’ are interacting may be a grey area and you will need to make a judgment for when order-flow has changed to a degree that marks an auction has ended. Chapter 7 is entitled ‘Short-Term Auctions’ --- so we are now into the overlapping area of multi-day and intraday auctions. This is a good spot to layout a structure to the intraday market that will be of aid as the book continues. I find it a good way to think about the structure of order-flow by mapping out how a day unfolds. This topic might be thought of as another way to avoid being ‘the laggard.’ A market can close the day in one of 3 general ways. It can either make an afternoon high or an afternoon low relative to the morning high or low -- or it can close somewhat near the center of the range. Let’s classify each day by whether it trades from ‘high to low’ or ‘low to high’ and then think contextually about HOW the market did what it did based on which 30-min bar it made its high or low. (note each period is lettered such that the 30min period ended 10am = ‘B period’, 10:30 = ‘C’ etc…) First let’s look at the most common intraday ‘structures’: 1. A day that makes a low early in the day and then trades up 2. A day that makes a high early in the day and then trades down These are the more common structures and there is contextual information to be gleaned when the market does OR does NOT trade in line with the above ‘blueprint days.’ For example, a day that makes a low in ‘F period’ may be expected to have less range expansion to the upside than if the low were made in B or C. The fact that price did not reverse in one of the earlier periods may indicate less conviction on the part of higher-timeframe longs. On the other hand, a low made later in the day (H/I+) that then recovers strongly into the close could be indicative of an overcrowded short-side as all those traders playing for the market to trade down until the afternoon will be trapped as the market did not follow-thru to the downside. This idea will give you more contextual information to synthesize with other information. A common way to discuss concepts in Markets In Profile is to discuss a concept and then think about what would be ‘expected’ to happen after XYZ occurs. The ‘expected’ does not always happen of course but there might be valuable information in the fact that the expected didn’t happen. After a good ‘auction reversal’ – you would ‘expect’ that early in the next auction, the market will trade strongly into late in the day. New ‘daily’ auctions should show strong conviction. The profile should certainly elongate with a close that extends into periods M-P. This would be the ‘expected.’ A related idea in Markets In Profile is ‘Attempted Direction’. Using the B-E to L-P high/low framework, we can categorize days into something resembling ‘expected result from attempted direction’. For example, a market that opens (B-period) and auctions strongly lower is obviously ‘attempting’ to go down --- the expected response might be that it continues through L-P. If instead it makes a low in ‘E’, this is information related to the overall structure. Short-term momentum traders are likely loaded up on shorts in a market that they expect to continue down. If higher-timeframe innovators like this location and would like to adjust their inventories to the long-side, the momentum based short-sellers will eventually be forced to cover. (remember, a ‘E-low’ that violates the previous day low (possible ‘buying tail’) is an ‘innovator entry’). You of course do not have to take any entry you view as ‘possible innovator entry’. But you should be aware of the structures at work as they are giving clues. Let’s look at a recent example:

Auction Trend is a breakthrough achievment in Market Profile history I first developed in 1978............ uh, just kidding: 'Auction Trend' is a random name I gave to my indicator. Didn't know what to call it and spent a good 8 seconds thinking about it before I decided on that. I defined the indicator in the above post -- here is the EasyLanguage code. it is nothing special and should be used in context with many other indicators. value1=(vwap_h+c)/2; value2=value1-average(c,40)[1]; plot1(value2,"value2"); plot2(5,"5"); plot3(-5,"-5"); if value2>=0 then setplotcolor(1,green) else setplotcolor(1,red);