Frank

Follow up from earlier post for todays action. So we know that the market has strong tendency to pick a price in the opening few 30-min bars range and 'overlap there' --- I have quantified this tendency in stats above. Unless there is strong reason to believe otherwise, this should be your baseline expectation. These stats are very strong. So in real-time environment, some real-time logic can really add to this statistically based framework. Today -- the market tried down --- is that consistent with higher timeframe selling? Didn't seem like it given that C had large overlap with B -- but whenever you have a big bar, you must start to consider the fact that market generated info may be telling you something. In this case -- you can watch how the volume builds out within the big bar, how the big bar closes --- and what happens in the subsequent bar. Any trade you do should be consistent with that real-time logic. You may have to scratch if conditions change -- but you should have a thesis and monitor that thesis as more information streams at you. well, volume built up well off the low of the C bar and D pressed back up towards the low of B. This creates a possible '4 overlap price' at 96.25 -- hey, that fits what the statistics would tell you.... You know that '4 overlap price' is coming at somepoint -- it happens EVERY day. And it happens every day before i. That doesn't mean the market is always a FADE, it is just something to watch for and think about as you digest incoming real-time market generated information in the context of any higher timeframe structure... As you get closer to the end of D --- it should be clear that this is headed back into the range of B (to the overlap price and probably a bit higher). Bottom line, the thesis of a 'bracket' is being supported increasingly by real-time information.

re Globex -- decide if globex session is strong one or not --- if strong -- that direction will generally generate a move beyond that globex extreme. if its up but weak, then that would be consistent with a selling tail and might hold all day. here is snapshot from a globex volume perspective for today

I agree that a premature move up or down is not 'likely' to sustain and fadeable. I would note though that the market just doesn't make high AND low both late in day very often. It should be one or the other. For example, how often in past 2 years has there been a high and low made BOTH in 'J or later'?? -- this is easily quantifiable: last 540 days, this has happened 31 times, which is <6%. This is not a forecast for today, just a statement of historical fact. edit: note that several of these 31 occurences were on FOMC days and so these stats might actually overstate the odds relative to today.

It is a difficult bet to think price will move away and STAY away from an existing wide POC. That said, late in day there is very likely to be a move above the high or below the low set earlier in day -- as volume comes back into the market late in day. The N bar is one of the best range bars of the day (volume surges on this bar) so this is the most likely time of day for a violation of an earlier high or low and attempt to break away from value. That said, MP is all about 'imbalance' -- including the imbalance of volume -- not just raw volume. So reading this imbalance in real time is another way to think about 'monitoring for continuation'. In a nutshell, while value is being established currently, and this is expected to continue further -- there should be a move away later in day -- this attempt could very well end up failing and go right back to the (wide) POC. Given this situation, its best to just enter 'with or in anticipation of...' that expected rush of volume and then 'ladder out' as price moves to/through the earlier high or low -- and/or trail a breakeven stop on partial, imo.

good posts ant. so bracketing day --- the final POC can be estimated for today as statistically speaking, the fianl POC will be within the range of the 'opening few 30-min bars' the majority of the time -- and todays action very consistent with that. Given that the range is not wide --- logic dictates that expectation would be for significant further overlap on that price --- call it somewhere mid-90s' (call it 96.50 just to pick a price). Thus selling above that final projected POC is consistent with trading value. should we get extended overlap -- a late day breakout could continue yesterdays selling. but only after significant overlap or else the statistical tendency would put the likelihood on a failure until price overlaps at least 8 bars -- more likely 9. already have 6.

I see your perspective and I won't chase in general -- but this is the situation, (where price is leading value and value is clearly in process of a migration) --- where I have noticed that there is generally an 'overshoot' --- that is, even if value does end up forming somewhere within the range of the momentum bar (in this case within the price range of E), there will STILL be a move below that price. I will get to the statistics that support this in the future -- but it is a strong tendency and definitely tradeable ---not as a hold, just for a 'get a short on ABOVE projected value' and 'get out at/below the projected value area.'

good point on the re-entry of the previous days range for 2nd time. fits a little bit with my 1st concept in an indirect way --- today, the market at first appeared to be showing strong movement away from previous days range in B today -- but this was a trap, just like it was back on July 13th as it rinsed one direction and trapping those who didn't exit out in C (outside the range of B). note that there is a clear and obvious tip-off that the '4 overlapping bars' would be delayed relative to 'normal' when D closed on its low -- and then E showed further momentum beyond the low of B. this was also a first-hour breakout after an extremely narrow pit-session bar on Monday -- which is normally a 'go-with' in MP anyway. but clearly when a bar closes on its low as it did in D -- then E elongates away from that weak close, the 'market generated information' is telling you something. A test up in F would have been another place to short -- but instead it went further lower --- and then you did get the 4 overlapping bars by i -- consistent with the stats I posted - if you don't get the 4 overlapping bars early on -- then you WILL get 4 overlapping bars by i (this is 99% over past 2+ years) -- so when F does not test up and does not elongate further down --- you know that the move is mature and needs to rest. There is power in combining the statistical tendencies with a common sense read of the bars. If you back the chart up to the end of E (see below) -- given the low close (marked by the italic 'E') -- if you just think logically --- at which price would you now be expecting a 4 overlap price? its pretty clear that there is no price to overlap on anytime soon --- and that in real-time, you know that this is consistent with a trending market and not a 'bracketing' market --- that is, you KNOW there is going to be a 'delay' to the 'normal statistical tendency' and you are in a 'special' type of momentum day. here is how the chart looked at the end of E -- just to point out the obvious...

Just wanted to show a somewhat similar profile from July 13, 2009 Note the similarities: Big Rinse washout/fakeout 1 direction in C --- then no overlap and big bar (this one in F vs todays that occured in E) as HARD auction the other way launches big move.

Today a good example of a market that does NOT overlap in the morning session. Instead of the typical overlap --- a very large 'E bar' (11 -11:30 EST) shows a trending move. It is very important to not get caught repeatedly trading against a market showing momentum. You can tell this very clearly by keeping a watch on the 30-min chart. Thus concept #4) Respect and seek trades 'with' a market showing big bar momentum. Today was tricky to actually find an entry -- despite being quite clear one-sided momentum based selling.

guess I deleted that video so I just did a quick new one [ame=http://www.youtube.com/watch?v=__kAyu1xS74]YouTube - OEC EL[/ame]

this is very simple to do nab999 I can't see your code so just assume this is 10 and 20 sma crossover and you can convert it as you see fit..... value1=average(c, 10)-average(c,20); condition1=average(c, 10)>average(c,20); condition2=average(c, 10)<average(c,20); plot1(value1,"MovAvgX"); plot2(0,"ZeroLine"); if condition1 then setplotcolor(1,green); if condition2 then setplotcolor(1,red);

Using this mornings action as example of this concept. Consistent with just about every day, the market found short term value after a directional attempt -- 'value traders' can use this information to incorporate into overall mosaic. Clearly, the market was not as weak as it probably appeared to many -- the market found value within the opening 30-min range and did relatively narrow C and D bars (10am - 11am EST), which eventually led to a major bear trap.

Concept #2 In the book 'The Theory of Poker' by David Sklansky -- he writes; ["Beginning poker players sometimes ask "What do you do in this particular situation?" There is really no correct answer to that question because its the wrong question.... The right question is "What do you CONSIDER in this particular situation before determining what to do?"] So, what I am saying here is something to 'consider' -- which takes into account the market profile concept of VALUE. This is a Sklansky type of thing -- don't take this too literally, its highly situational. What is value? One way to define it is that value is where price trades more than any other price (the statistical 'mode'). I won't go into this topic any more than this because that is not the purpose here. Instead, let me just present this idea --- that is --- price will show significant 'overlap' on the vast majority of days. Yes, there is the occassional outlier -- but nevertheless, overlapping price is inevitible on every day. This is not to say every move is a fade -- hardly -- I am just presenting a concept to CONSIDER. Let's look at some statistics that support this idea --- over the past ~2 years, there has been a price on the 30-min chart that has shown 4 30-min bars of 'overlap' 99+% of the time (last 536 trading days). Not only that, the S&P futures have actually shown 4 bars of overlap on 96% of days by 1pm. Thus a concept born from actual market generated statistics might be.... Expect the market to form some type of tentative 'value' (overlapping price) by lunchtime and take this market-generated information and put it into proper context of all the other existing factors that you are considering at the time to handicap if price is leading value (trending behavior) - or is price not showing momentum and therefore the market is likely to 'bracket'? Here are some stats of 30-min bar overlap at the end of each bar.

I am not tape-reader extraordinaire but I have seen so many games with bid/ask movement -- combined with fact that algorithmic shops have fiber optics and state of art systems that are just plain faster such that no matter what rule I write to try to capture if the last trade was a buy or a sell, their systems will continue to fool my rule. That said, there is only so much you can do with those games if there is 'real' buying or selling -- so I propose this idea: is the bid/ask spread ticking up or down as a % of total bid/ask moves within a given time period? If there are 60 trades within a 1-min period, and the bid/ask moves up twice and down once, then there was net buying. Over multiple rolling periods of aggregated bid/ask movement, real buying or selling will have hard time fooling this 'frequency' rule... comments appreciated

hey zdo, I was hoping someone had already done that for me... I checked out audiology.com but that doesn't look like the right site...?...? can you send a link? a question is do you want a 15 or 30 seconds wav file to play if market gets active ?-- and continue to play if stays active? --- or do you want a simple 1 syllable alert for each time an event triggers -- which you may have repeat over and over if you'd like --- for X amount of ticks or minutes. this is so easily customizable that you can do whatever you want with any sound you want. alternatively, you can play a different file if its 'pea shooter only' environment -- ie, activity is unusually low.

50 bucks, that is funny tell ya what, I will post Excel-VBA code and anyone who wants to make a $45 discretionaary donation may do so --- private me for my wiring instructions (that was joke, I just copied this from an internet post): http://www.j-walk.com/ss/excel/tips/tip87.htm -------------- Private Declare Function PlaySound Lib "winmm.dll" _ Alias "PlaySoundA" (ByVal lpszName As String, _ ByVal hModule As Long, ByVal dwFlags As Long) As Long Function Alarm(Cell, Condition) Dim WAVFile As String Const SND_ASYNC = &H1 Const SND_FILENAME = &H20000 On Error GoTo ErrHandler If Evaluate(Cell.Value & Condition) Then WAVFile = ThisWorkbook.Path & "\xylafone.wav" 'Edit .wav filename Call PlaySound(WAVFile, 0&, SND_ASYNC Or SND_FILENAME) Alarm = True Exit Function End If ErrHandler: Alarm = False End Function ---------------- just need to stick the WAV file in same folder as the excel file is in and use the following example syntax to refer to a cell (say filter picks up something in A1): =Alarm(A1, ">999") Note that even without your own .wav file -- it works with just that very common 'donk sound' a computer makes. ie, if in a column A and try to go left --- a little beep/donk sound tells you that you can't go that way. then you can add as many filters and different sounds as you would like -- for free of course. I am not a programmer fwiw.

Electronic Market Pit Noise -- computer triggered audio alerts with customized filter features. I was playing around with audio alerts triggered from a scrolling time & sales feed I get as a DDE link into Excel as a way to alert me when certain activity levels exceed various levels (ie, the market gets active while I am engaged in an instant message conference about how hot the current guest on CNBC is and distracted from the action -- an audio alert helps here). I was first trying to find a .wav file that simulated pit noise from an exchange --- but I couldn't find it. For now, I am just playing a chime rather than pit noise. Here is an example, if multiple 1000 block ES contracts trade within a 100 tick sequence, the audio alert triggers --- the crowd gets loud and plays for 30 seconds --- or the chime starts chiming X times... Just curious if others care to share their methods? Also, does anyone have a .wav file of pit noise that they can post? Something that sounds like this: http://flooredthemovie.com/community/

Daniel, I deleted the video off youtube so it no longer works -- I can re-post one but I am not at home so will have to get back to you. momentom, yes OEC runs EL and you can trade from the chart.

Did you add the complied indicator to the chart? Compiling it just validates the code is working. Rightclick on a chart and go to add 'imported' indicator. You can also check the indicator library under plug-INS. Again, right click and look for the 'plug ins' or series for the library. - not at computer so going by memory

You don't need to know how to program -- you just need to be comfortable with standard computer skills like navigating a file system. First off, you need to download the ' custom indicators' add-in on the OEC website and once downloaded then re-boot your system.

great effort Ant.. I would think this would be more sustainable if you would lessen the amount of work. I started a thread which I will get back to when I return home from vacation but basically, what about keeping this to a lesser workload -- and therefore more sustainable by simply stating a MP concept for a trade -- and then showing the application of that concept in an example. Regarding the chart you just posted -- the one that I think is a tough trade is the first one --- long back at 980... can you explain that concept further? Seems like you are still 'in balance' at 980 with such large volume nodes having been built there and subjecting yourself to serious chop entering there. In real-time, there could of course be very strong order flow or some other reason why a long is correct there --- but on a higher timeframe, which is what you are doing here --- I don't understand why 980 would be a long. You did go below 980 and now you might be expecting to test the other side of the range -- but on a strict higher-timeframe basis -- you are in a bracket and not a trending market and your entry is dead center of the bracket. comments appreciated... edit: said another way --- perhaps as a concept --- 'look to enter opposite direction, anticipating a trending move -- if there is a test of a key gap which fails to close said gap by a very small margin -- a spot to look for this entry is if the market does return to center of bracket' --- then discuss that particular example... just my 2 cents, discard if you'd like, of course.

Just catching up on this thread and got a nice chuckle. But I think I want to change the metaphor... The market is like a nightclub in Hollywood and we are strategizing in the mens room here at traderslab. Outside sits sits the prize - the young Hollywood actresses and we are sharing tips - but not ALL the tips. Only thing you can do is perhaps 'enhance' your approach. Dittmar is the old-school grizzled veteran who was around when it was all much easier - when 'they' were just giving it away. But these days, you need to adapt -- the principles are still the same. -- imbalance is the time to get in involved - attempting to bag Jessica alba or Kate bosworth when stone sober is just too tough. So, don't expect too much here, a few tips here and there should be plenty good for a playa with some existing game.

question on the specific situation in this Heads Up Display (HUD)... not for this particular situations importance -- just as an example of walking through a situation to understand how this HUD is organized... Any comment on my comments??