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Market Profile Problems with the CBOT Liquidity Data Bank
September 9, 2005



In 1985 the Chicago Board of Trade (CBOT) began producing the Liquidity Data Bank (1). Their rules for the profile part of the report included: the half-hour bars are identified by letters (A = 8 to 8:30, B = 8:30 to 9, etc., in central time) and TPO's are continuous from the highest to the lowest price in each half-hour bar, or period. It went without saying that TPO's are reported only inside the period trading range. CBOT specified the TPO letters, as is abundantly clear in reference 1. These rules conserved the form and integrity of the Market Profile, used so extensively in the Steidlmayer Market Profile analysis (1, 2). The CBOT thought so highly of the concepts introduced by the Market Profile that they trademarked the name.

An unannounced change to the Market Profile part of the LDB data from the CBOT occurred in February 2003. The TPO continuity rule was dropped. Additional spurious TPO's began to be reported. The new data no longer identifies half-hour timeframes as in reference 1. Now, TPO's are identified with three characters making the standard Market Profile display generation a virtual impossibility without intervention and interpretation by the user.

To illustrate the differences between the old and new LDB data sets, Table 1 shows the old and Table 2, the new. Table 1 displays the half-hour bars from the (old) LDB report for soybeans on October 18, 2002 compared with the half-hour bars generated from tick data. Note that differences between the 'C' columns (CBOT) and the 'T' columns (tick data) are never more than one price tick. e.g. F period: CBOT reported trading at 5470, tick data showed one less price tick, and so forth for G and H periods.) Small differences are to be expected because the data derive from different sources: Ticks are reported as they occur, LDB clearing data is from the final end-of-day tallies at the exchange and are corrected for out trades and other errors. 

  
TPO Bars from Pre 2003 LDB Data and Independent Ticks
Comparison of CBOT TPOs (C) with Tick Data (T) for each half-hour bar. 
Soybeans Nov 02, Oct, 18, 2002

  PERIOD  D      E      F      G      H      I      J      K
         C T    C T    C T    C T    C T    C T    C T    C T
 Price          
  5514   D D
  5512   D D    E E
  5510   D D    E E
  5506   D D    E E
  5504   D D    E E    F F
  5502   D D    E E    F F
  5500   D D    E E    F F           H H    I I
  5496   D D    E E    F F           H H    I I
  5494   D D    E E    F F           H H    I I
  5492   D D           F F    G      H H    I I    J J
  5490   D D           F F    G G    H H    I I    J J
  5486   D D           F F    G G    H H    I I    J J
  5484   D D           F F    G G    H H    I I    J J
  5482                 F F    G G      H    I I    J J
  5480                 F F    G G           I I    J J    K K
  5476                 F F    G G           I I    J J    K K
  5474                 F F    G G                  J J    K K
  5472                 F F    G G                         K K
  5470                 F      G                           K K
  5466                                                    K K
  5464                                                    K K
  5462                                                    K K
  5460                                                    K K
  5456                                                    K K
  5454                                                    K K
Table 1. Half hour bars for Soybeans, Nov 2002, October 18, 2002. The 30 minute bars are in pairs. First is the information from the Liquidity Data, as reported by the CBOT. Second is from the independently collected tick data. The comparison is quite close, never more than a single price tick.

The (new) post February 2003 comparison in Table 2 tells a far different tale. In the first half-hour, D period (09:30 to 10), agreement between 'C' column (CBOT) and 'T' column (ticks) exists at prices 7434 to 7374, accepting that C column omissions at 7382 and 7376 reflect no trading at those prices. The errors set in from 7372 to 7284, where the spurious TPO's appear. There are 20 price ticks from 7434 to 7374 for which there is valid trading. From 7372 to 7284 the spurious LDB data covers 22 price ticks. A like analysis for E period shows valid data from 7402 to 7340 (27 price ticks), with spurious data from 7430 to 7404 (7 price ticks) on the upper side and from 7336 to 7284 (20 price ticks) on the down. 
TPO Bars from New 2003 LDB Data and Independent Ticks
Comparison of CBOT TPOs (C) with Tick Data (T): 
Soybeans Nov 03, Oct, 17, 2003

  PERIOD  D      E      F      G      H      I      J      K
         C T    C T    C T    C T    C T    C T    C T    C T
 Price
  7434   D D    
  7430   D D    E
  7424   D D    E
  7420   D D
  7414   D D    E                                         K
  7412   D D
  7410   D D    E                                         K
  7404   D D    E
  7402   D D    E E
  7400   D D    E E                                       K
  7396   D D    E E
  7394   D D    E E    F
  7392   D D    E E
  7390   D D    E E    F                                  K
  7386   D D    E E
  7384   D D    E E    F
  7382     D    E E
  7380   D D    E E    F F
  7376     D    E E    F F
  7374   D D    E E    F F
  7372            E    F F
  7370          E E    F F    G G    H H
  7366            E    F F    G G      H
  7364          E E    F F    G G      H 
  7362          E E    F F    G G      H
  7360   D      E E    F F    G G    H H    I
  7356          E E    F F      G    H H
  7354          E E    F F    G G    H H    I      J
  7352            E    F F    G G    H H
  7350   D      E E    F F    G G    H H    I I
  7346            E    F F      G    H H    I I
  7344   D      E E    F F    G G    H H    I I    J
  7342            E    F F    G G    H H      I
  7340          E E    F F    G G    H H    I I    J
  7336                        G G    H H    I I
  7334   D      E      F      G G    H H    I I    J
  7332                          G    H H    I I
  7330   D      E             G G    H H    I I    J      K
  7326                        G G      H    I I
  7324   D      E             G G    H H    I I    J
  7322                        G G    H H    I I    J
  7320   D                    G G    H H    I I    J J
  7316                        G G      H      I      J
  7314                 F      G G    H H    I I    J J    K
  7312                          G      H    I I    J J
  7310                 F      G G    H H    I I    J J    K K
  7304          E      F      G G      H    I      J J    K K
  7302                                             J J      K
  7300   D      E                           I      J J    K K
  7296                                               J      K 
  7294                 F                    I      J J    K K
  7292                                               J      K
  7290          E                           I      J J    K K
  7284   D      E      F                    I      J J    K K
  7282                                               J    K K
  7280                                      I      J J    K K
  7276                                             J J    K K
  7274                                      I      J J    K K
  7272                                             J J      K
  7270                                             J J    K K
  7266                                             J J
  7264                                             J J
Table 2. Half hour bars for Soybeans, Nov 2003, October 17, 2003. The 30 minute bars are in pairs. First is the information from the Liquidity Data, as reported by the CBOT. Second is from the independently collected tick data. The comparison shows exceptionally poor agreement. Data from the LDB TPO's is a poor match for actual trading as reported in the tick bars in table 3.

It should be noted that the large numbers of errors in Table 2 is in no way unusual. All the CBOT LDB data from floor operations displays spurious TPO's and gaps where there is no trading within a high low range for most half-hour bars. The electronic data do not display the spurious TCP's. However, it too is Market Profile unfriendly in the posting of TPO's. A 24 hour market day begins shortly after the close, i.e. April 2 data is collected from about 4 PM on April 1, ending at the close of April 2. The order of arrival of data for a Market Profile is sequential with time. However, the new LDB data is not reported sequentially. If a particular price trades both in the overnight, non-floor-hour times and in the day market hours, the day time TPO's will be listed in the data before the earlier night trading. It is left to the user to unscramble the times, a most unfriendly task for a trader using the data.

The net result of the data errors for both floor and electronic trading is that valid Market Profiles, as defined in reference 1, CBOT Market Profile, are at best difficult to construct and in many cases impossible to make correctly at all. These errors are included in all the LDB data reported by the CBOT since February 2003. At the current time, there is no valid source for the CBOT Market Profile.


References
1. CBOT Market Profile (J.P. Steidlmayer) CBOT internal pub. 1985, 1991
2. Steidlmayer on Markets, Wiley 1989


Appendix
Table 3. Raw data (LDB and tick bars) used in Tables 1 and 2. 
CBOT VOLUME REPORT: Liquidity Data bank for Table 1

TRADING DATE:  10 18 02

CONTRACT: NOV 02 SOYBEANS (CBOT) DAY   
 
TRADING BEGINS 0930 (CST);CLOSES 1315;TPO SYMBOLS ARE DEFGHIJK
FIRST PERIOD IS 30 MINS;SUBSEQUENT PERIODS ARE ALL 30 MINS

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)

       5514      382   1.0  49.2   0.0   2.4  47.9 D
       5512      392   1.1  66.3   0.0   1.0  31.6 DE
       5510     2520   6.8  57.1   0.0   7.1  35.7 DE
       5506     1184   3.2  59.4   0.4   6.6  33.3 DE
       5504     2662   7.2  71.4   0.3   5.7  22.5 DEF
       5502     1128   3.0  69.2   1.8   8.3  20.4 DEF
       5500     3218   8.7  59.6   0.5   4.5  35.4 DEFHI
       5496     1132   3.0  65.5   2.3  11.0  20.8 DEFHI
       5494     2738   7.4  59.0   1.1   4.3  35.6 DEFHI
       5492     1448   3.9  65.1   0.3   6.3  28.2 DFGHIJ
       5490     3014   8.1  55.4   0.1   9.4  35.2 DFGHIJ
       5486     1802   4.8  64.1   0.0  11.7  24.2 DFGHIJ
       5484     1666   4.5  69.7   0.8   5.6  23.6 DFGHIJ
       5482     1340   3.6  59.9   0.0  11.6  28.6 FGHIJ
       5480     2668   7.2  56.7   0.3   7.6  35.5 FGIJK
       5476     1340   3.6  59.0   0.4  10.4  30.1 FGIJK
       5474     1434   3.9  58.2   0.1  13.2  28.4 FGJK
       5472     1068   2.9  57.1   1.9   7.9  33.1 FGK
       5470      980   2.6  47.1   0.0  14.9  37.9 FGK
       5466      756   2.0  43.3   7.8   6.9  41.8 K
       5464      808   2.2  45.3   0.4   9.3  44.8 K
       5462      152   0.4  82.9   6.6   3.9   5.3 K
       5460     2240   6.0  38.6   0.8   8.6  52.1 K
       5456      294   0.8  68.4   0.0  15.3  15.3 K
       5454      330   0.9  68.5   0.0   3.9  27.3 K

                                                     %CTI1 %CTI2 %CTI3 %CTI4

VOLUME FOR NOV 02 SOYBEANS (CBOT) DAY       36746     58.2   0.7   7.9  33.3
VOLUME FOR ALL SOYBEANS (CBOT) DAY          53650     54.6   1.2   6.5  37.8



Tick Data Half Hour Hour Bars for Table 1.

S  DEL-MO/YR 11 02  MO/DY/YR 10 18 02
OPEN,CLOSE        5490        5460
HIGH,LOW          5514        5454
# Ticks            483
                                                      SYM
 9:30: 0     5490     5514     5484     5514      109   D
10: 0: 0     5512     5512     5494     5496       62   E
10:30: 0     5502     5504     5472     5474       48   F
11: 0: 0     5474     5490     5472     5490       39   G
11:30: 0     5486     5500     5482     5492       48   H
12: 0: 0     5490     5500     5476     5486       56   I
12:30: 0     5484     5492     5474     5480       60   J
13: 0: 0     5480     5480     5454     5460       56   K



LDB data report used in Table 2.

CBOT VOLUME REPORT

TRADING DATE:  10 17 03

CONTRACT: NOV 03 SOYBEANS (CBOT) DAY   
 
TRADING BEGINS 0930 (CST);CLOSES 1315;TPO SYMBOLS ARE DEFGHIJK
FIRST PERIOD IS 30 MINS;SUBSEQUENT PERIODS ARE ALL 30 MINS

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)

       7434       52   0.1  50.0   0.0   9.6  40.4 D
       7430      120   0.2  50.0   0.0   5.0  45.0 DE
       7424      502   0.7  36.1   0.0   9.0  55.0 DE
       7420     1974   2.9  61.6   0.0   5.9  32.5 DK
       7414      682   1.0  56.0   0.4   7.8  35.8 DEK
       7412       30   0.0 100.0   0.0   0.0   0.0 DK
       7410     1996   2.9  50.6   0.5   5.9  43.0 DEK
       7404     1044   1.5  58.5   0.0   9.5  32.0 DE
       7402       18   0.0  50.0   0.0  22.2  27.8 DE
       7400     6146   9.0  48.5   1.7   6.3  43.6 DEK
       7396       12   0.0  50.0   0.0  33.3  16.7 DE
       7394     3270   4.8  62.4   0.0  10.1  27.5 DEF
       7392       16   0.0  50.0   0.0   0.0  50.0 DE
       7390     5762   8.4  60.9   0.1   8.9  30.1 DEFK
       7386       30   0.0  70.0   0.0  20.0  10.0 DE
       7384     2792   4.1  60.3   0.0  10.9  28.8 DEF
       7382       30   0.0  23.3   0.0  40.0  36.7 E
       7380     2058   3.0  71.4   0.1   7.2  21.2 DEF
       7376       36   0.1  50.0   0.0   0.0  50.0 EF
       7374      782   1.1  58.2   0.1   9.0  32.7 DEF
       7372        4   0.0  50.0   0.0  25.0  25.0 F
       7370     1164   1.7  58.3   0.0   8.5  33.2 EFGH
       7366       54   0.1  55.6   0.0  16.7  27.8 FG
       7364     1346   2.0  71.6   0.0  10.8  17.5 EFG
       7362       36   0.1  47.2   0.0  30.6  22.2 EFG
       7360     1942   2.8  63.8   0.0   8.4  27.8 DEFGHI
       7356       32   0.0  21.9   0.0  31.3  46.9 EH
       7354     2230   3.2  72.6   0.0   4.9  22.4 EFGHIJ
       7352       40   0.1  50.0   0.0  12.5  37.5 FGH
       7350     2556   3.7  56.1   1.2  17.4  25.3 DEFGHI
       7346       58   0.1  31.0   0.0  34.5  34.5 FHI
       7344     1078   1.6  66.0   0.0   9.2  24.8 DEFGHIJ
       7342      110   0.2  42.7   0.0   9.1  48.2 FGH
       7340     2294   3.3  60.2   0.0   9.3  30.6 EFGHIJ
       7336       70   0.1  48.6   0.0  41.4  10.0 GHI
       7334     2434   3.5  57.8   0.0   9.9  32.3 DEFGHIJ
       7332      114   0.2  47.4   0.0  31.6  21.1 HI
       7330     3272   4.8  61.8   0.0  12.5  25.8 DEGHIJK
       7326      106   0.2  52.8   0.0  16.0  31.1 GI
       7324     1056   1.5  53.5   0.3   7.7  38.5 DEGHIJ
       7322       26   0.0  50.0  26.9   3.8  19.2 GHIJ
       7320     1346   2.0  52.5   0.2   9.4  38.0 DGHIJ
       7316       10   0.0  50.0   0.0   0.0  50.0 G
       7314     1130   1.6  60.2   0.0  11.4  28.4 FGHIJK
       7312        6   0.0  50.0   0.0   0.0  50.0 IJ
       7310     1822   2.7  59.8   0.6   5.0  34.6 FGIJK
       7304     1332   1.9  55.0   0.1  11.6  33.4 EFGHIJK
       7302        2   0.0  50.0   0.0   0.0  50.0 IJ
       7300     2368   3.4  64.1   0.0   6.5  29.4 DEIJK
       7296       10   0.0  50.0   0.0   0.0  50.0 J
       7294     2294   3.3  57.7   0.3   8.1  34.0 FIJK
       7292        4   0.0 100.0   0.0   0.0   0.0 J
       7290     3382   4.9  50.1   0.0   6.9  42.9 EIJK
       7284     2784   4.1  63.1   0.0   4.6  32.3 DEFIJK
       7282        4   0.0  50.0   0.0   0.0  50.0 JK
       7280     2902   4.2  61.7   0.9   3.3  34.1 FIJK
       7276       10   0.0  50.0   0.0   0.0  50.0 JK
       7274     1228   1.8  61.9   0.0   5.0  33.1 IJK
       7272       16   0.0  50.0   0.0   6.3  43.8 J
       7270      554   0.8  43.1   0.2   1.4  55.2 JK
       7266        2   0.0  50.0   0.0   0.0  50.0 J
       7264       80   0.1  53.8   0.0   0.0  46.3 J

                                                     %CTI1 %CTI2 %CTI3 %CTI4

VOLUME FOR NOV 03 SOYBEANS (CBOT) DAY       68660     58.8   0.3   8.4  32.5
VOLUME FOR ALL SOYBEANS (CBOT) DAY         113652     55.9   0.8   6.0  37.3




Tick Data Half Hour Hour Bars for Table 2.

S  DEL-MO/YR 11 03  MO/DY/YR 10 17 03
OPEN,CLOSE        7400        7300
HIGH,LOW          7434        7264
# Ticks           1194
               O        H        L        C        T   SYM
 9:30: 0     7400     7434     7374     7390      249  D
10: 0: 0     7384     7402     7340     7350      197  E
10:30: 0     7344     7380     7340     7366      118  F
11: 0: 0     7364     7370     7304     7330      125  G
11:30: 0     7324     7360     7320     7354      104  H
12: 0: 0     7350     7350     7310     7324       99  I
12:30: 0     7320     7320     7264     7304      188  J
13: 0: 0     7310     7310     7270     7294      108  K
  
Table 3. LDB and Tick data for 'old' LDB data (Oct 2002) and 'new' (Oct 2003)