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Soultrader, I can post the Tradestation ELD code for the Market Profile study, but it is an invalid file type for posting to this forum. The files will be password protected though. :D

 

Yes I totally understand about password protecting it. I also enabled the .EDL type files for attachment function.

 

Thank you :)

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WOW.... I have been dying to get my hands on MP for Tradestation. Is there any chance I can use it for my platform with your permission?

 

Soultrader, the attached TradeStation ELD file contains code that draws the daily Market Profile graphic. I haven't tested it on every market though. It creates the Market Profile in real-time; however, if you see any discrepancy in the Market Profile for the current day, just reapply the indicator. The indicator is currently password protected, but I may open up the code at a later time. Below is a sample of a chart with Market Profile study applied to it.

 

In general, the indicator is easy to use and is intended for use on intraday charts less than or equal to 30 minutes. Let me know if you have any problems with the files. Enjoy.

 

Some additional info:

 

// MarketProfile: Generates Daily Market Profile

//

// Supporting functions: CountTPOs(), CalcPOC(), CalcValueArea(), PlotMarketProfile(), and GetArrayIndex()

//

// Note: The Market Profile graphic is updated in REAL-TIME and starts

// drawing on the second bar of the day. Make sure that there is

// enough bars in the chart to successfully plot this indicator (according

// MAXBARSBACK).

//

// To determine the recommended value of the ArraySz parameter, run

// this indicator with the GetArraySz parameter set to true and view the

// EasyLanguage Output Bar. When this parameter is enabled, the profile

// will not be drawn.

//

// Intended for use on 30min charts, but may be used on intraday charts from

// 1 to 30 mins.

 

P.S. How do I post charts/images so that they display larger? Thanks.

 

EDIT: The latest Market Profile indicator has been posted in the Trading Indicators forum.

MP.jpg.8de7dddea4ae8acf4a628acea4cee9cb.jpg

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Thank you soooo much Antonio :) I have been literally dying to get my hands on a market profile for TS. I am very easy language illiterate. As a matter of fact, I have minimal knowledge of coding. To make this website was as tough as trading.

 

I may have some questions regarding the indicator and I may pm you if its okay.

 

Also regarding the images: you can either attach an image or post the image in your thread. To do this, there is a image button located next to the attachment button. It looks something like this:insertimage.gif

 

You can then place the url of the image and it will show the actual size. I will try to enable some members to be able to upload files on my server... I am still trying to figure out how to do that.

 

I will let you know when I get this fixed. Thanks again :)

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Carter,

 

Below is a chart containing examples of what I look at each day. Keep in mind that I have the benefit of hindsight here... :)

 

On the left side of the chart is a composite profile for 8/16 to 8/31. You can see from the normal distribution that a mature, short-term, balanced area has formed and imbalance is expected. While the bracket is forming, I would focus on fading the extremes of the bracket on weak internals. As price approaches the extremes I would monitor market internals and look for divergences between price and ticks/volume, etc. on a 1 min or 5 min chart. I would also look for divergences between the S&P and Dow, look at bid/ask info, and identify high volume nodes and single prints as key reference areas. I am always looking for a confluence of key reference areas.

 

On 9/1, the market broke out of balance, but the higher prices were rejected, and the market traded back into the balance area. Within the next two days, the market returned to the lower limit of the composite profile and bounced off it. As the market traded, it left clues behind (i.e., it "tipped its hand"). So here is what I saw today and what I'll be looking at tomorrow...

 

Today, 9/11, the market traded away from the high volume node of the previous 2 days and tested the lows of the composite of 8/16-8/31 and 9/7-9/8. This set up a high probability trade to the long side. Notice that the market will test one extreme, and if rejected, will often test the opposite extreme. This happens enough times to make it worth watching. In fact, this is one of my favorite trades. Notice where the market stopped today - in the single print area of 9/6 and 9/7. That is, on 9/6 there were single prints around 1314.75, and on 9/7 the market bounced off that area. Today it did the same.

 

So what are the key reference points for tomorrow... The ES closed at 1312. To the downside, the key reference area is around 1309, the single prints from today, the high volume node of 9/7-9/8, and the high volume node of 8/16-8/31. To the upside, I will be paying close attention to how the ES trades around 1314.25, the high of today and 9/7, and the single prints of 9/6. I'll stop here, but I hope this gives you some idea of how I trade.

 

[ATTACH]63[/ATTACH]

 

 

I would like to ask a question regarding your market analysis. Your methods seem very interesting. How do you analyze to determine whether tomorrow will be a trending day or a consolidation day?

 

Do you look for high volume price levels in either direction? For example, if a high volume area is close to the current price, would you expect prices to reverse at these points? If the current price is trading between two high volume areas that are relatively close to each other, would this be enough information to consider a consolidation day?

 

Thank you.

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I would like to ask a question regarding your market analysis. Your methods seem very interesting. How do you analyze to determine whether tomorrow will be a trending day or a consolidation day?

 

Do you look for high volume price levels in either direction? For example, if a high volume area is close to the current price, would you expect prices to reverse at these points? If the current price is trading between two high volume areas that are relatively close to each other, would this be enough information to consider a consolidation day?

 

Thank you.

 

Piptrader,

 

As you alluded to, it is critical to determine market condition (consolidation or trending, or in Market Profile parlance, balance or imbalance). You would then adjust your trade strategy accordingly. In a trading range, you would sell the top of the bracket and buy the bottom of the bracket. I stay away from trading in the middle because it offers poor trade location and that's where a lot of the noise is, unless the bracket is getting mature and imbalance is expected, then I would enter at the high volume node with a target to one the extremes of the balance area. If the market trades near the bracket limit, I will then monitor market internals to see if a breakout is likely. You never know what the market is going to do until it reaches a key level and then the market is monitored for strength/weakness. That's one main reason why I don't believe in mechanical systems. You can't follow these guidelines blindly, like fade the POC all the time, you won't be a consistent trader IMO.

 

Once a market breaks out of a balance area, adjust trading strategy again. Follow the trend and buy pullbacks in uptrends and sell rallies in downtrends. Do not fade anymore. The composite Market Profile looks quite different for balance vs imbalance. See attachment. Of course, we have all experienced false breakouts and that's the way the market extends a trading range. How you enter a breakout depends on your personal trading plan, but we will always be wrong at some point and that's where our stops help.

 

In the first attachment, you will see two profiles. The first one is of the ES in a trading range and the second one is the ES trending. My definition of a balance market is one that has at least 3 TPOs at each price level and the market is trading within the upper and lower limit. When the profile starts to look like a well-defined bell-shaped curve with a high volume node near the middle of the distribution, I will be alert for a breakout. That means, I will monitor the extremes of the bracket using market internals and I will also try to enter at the high volume node to try to get into the market before it breaks out, hopefully. When the market starts to trend, I will start to get alert for consolidation again. The markets repeat this cycle over and over again. Notice in the chart what the profile looks like when a market is trending. It is thin and long with low volume areas (single prints) from the range extension. Again, this is not a mechanical system and it takes practice. This trading style will not give you green/red lights and you have to consider the context of what the market is doing. Too many traders do the same thing regardless what the market is doing, and that's a tough way to trade, I think. The key is to enter at "unfair" prices (i.e., away from value). That will give you the best trade location and excellent risk-reward. There are many trading strategies/tactics that one can develop trading market structure and market development using the Market Profile graphic. I gave a just a few ideas.

 

By the way, you can see consolidation and trending on any chart (see second attachment). I know I have oversimplified things quite a bit and some of it is apparrent, but I hope it helps. Good Luck!

ES.GIF.3a516713b21c09d3ab7231a55699fc07.GIF

ES2.GIF.621fd0fc148ff108008ba5b952f6a615.GIF

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Antonio

Thanks for your excellent indicator and explanation.

 

Wanted to know if its possible to draw the Composite Profile with the indicator you provided? And is it possible to limit the no. of days for which the profile is displayed?

 

Thanks Again.. :)

 

Epik

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Epik,

 

That version of the Market Profile indicator does not generate the composite profiles. I have another indicator for that. I'll try to enhance the indicator to display the Market Profile graphic for a specified number of days and post it. Thanks for the suggestion.

 

Regards,

Antonio

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I think that you need to have more than one "string to your bow", in that you need to be able to trade more than one market.

 

If you concentrate on one market, you may well get a good feel for the market, but it may be a little easier to get pulled into traders which maybe are not there - similar to the boredom comments elsewhere on the Forum.

 

If you can trade one market, there is probably a similar market(s) which acts in the same way. Your skills are transferable with research.

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Epik,

 

That version of the Market Profile indicator does not generate the composite profiles. I have another indicator for that. I'll try to enhance the indicator to display the Market Profile graphic for a specified number of days and post it. Thanks for the suggestion.

 

Regards,

Antonio

 

Thanks Antonio for your reply

 

:)

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The markets I have started to follow, besides the emini S&P, are the 30 yr Bonds, Euro, Crude Oil, Natural Gas, and Gold. I also look at the emini Dow to identify divergences between the Dow and the S&P, but I've been trading the emini S&P only. I plan on trading only the electronic markets, not the pit-traded markets. Any thoughts on applying Market Profile principles to these markets? I wish there was another market, in a different area, with the volatility and volume of the S&P. Why do some traders prefer the emini Dow over the emini S&P (besides the tick value of $5 vs $12.50).

 

Have you tried ER2? I trade this Russell exclusively and about 2-3 trades a day. I find it trends better than ES or YM. The liquidity is good I think, slippage is 1 tick and 2 if it's very busy like Fed news. 1 tick =$10. Of course there are day that are dead but the range on the dead days are 5 points but usually you can see 15-20 pts range.

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The Russell seems to be the hot emini right now. The YM suits me because its not too slow but not as fast as the ES. The ES is a little too jumpy for me.

 

What kind of personality does the ER have?

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Used to trade the ES, YM and NQ. NQ had little liquidity, erratic. YM was good there were time with 2-3 tick jumps as well, trends much better than ES. ES was just too much for me, trends very little, at least if it does, it's not enough to stay on it. Russell trends nicely and orderly once it finds directly or settled from opening. But even the opening sometimes can go straight up or straight down (this happened last few days) 10 pts easily.

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Used to trade the ES, YM and NQ. NQ had little liquidity, erratic. YM was good there were time with 2-3 tick jumps as well, trends much better than ES. ES was just too much for me, trends very little, at least if it does, it's not enough to stay on it. Russell trends nicely and orderly once it finds directly or settled from opening. But even the opening sometimes can go straight up or straight down (this happened last few days) 10 pts easily.

 

torero,

 

I have a couple questions regarding the ER. I have been trading the YM mainly but am looking for different markets to trade especially when the YM remains dull.

 

Do you use MP to trade the ER? What is considered a big lot on the ER? On the YM I like to watch for any lots over 10. On the ES I would look for 40-lots and above.

 

Would I be able to apply pivot based trading on the ER?

 

Thanks

 

Soultrader

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Yes, I use MP for ER2 as well but since I'm still learning MP, I use it as a support resistance for volume confirmation for now and works quite well. The best I've seen from using MP is POC, market seems to know it is there. I've seen it stop dead on that spot and reverse. But I'd recommend you watching it yourself as this is just my own observation and tell me if you see what I see.

 

Many traders use 50 lots that would use 100 for ES. But on trendy pace periods, I see good number of 10 lotters.

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