Market Structure: Market behavior within a day, the relation of volume to price and time

Market Unit: Time elapsed for the balance to trend and back to balance cycle

Members: Individuals owning a ‘seat’ on an exchange (see Cti)

Meta-Profile: A Price - Time display of a market for one day or other time period as desired

Data base: Real or delayed quotes (ticks)
     Consists of Price, Brackets (TPTs) and 70% TPT Range
       Price: price at which a trade is reported, a quote or tick
       Brackets (TPTs): Time frame in which the quote is reported (A = 0800, B = 0830, etc.)
       70% TPT Range of the time-period selected (day or other): Central 70% of TPT range beginning at highest TPT
      
       Meta-Profile is provided by many vendors misnamed as Market Profile.

Middle (of Bracket): Center of value FAQD.21

Minor Auction: Short term market behavior within a Major Auction
        e.g. a 3 day trend inside a 9 day balance

MOC: Order to broker to trade a position ‘market on close’

Money Management: Plan for use of leverage in futures trading

Month 0: Basics of Auction Market Analysis for Home Study Course Details of Trader Control Package

Month123: First quarter of Home Study Course: Major Auction, First Six

                         (Fluctuation/Volatility, Hourly LDB)

Month456: Second quarter of Home Study Course: Four Reference Points

                         (Volume, Volatility, Trade Facilitation, Quadrant of Close,

                          Money Management, Workbook, Market Condition, Exiting)

Month789: Third quarter of Home Study Course: Eight Reference Points

                        (Value Area, Point of Control, Shape, Range, InitialBalance

                         Major to Minor Auction, Commercials, Reference Pts Review

MonthABC: Fourth quarter of Home Study Course: Five Reference Points

                        (New Highs/Lows, Total TPOs/TPTs, TPOs/TPTs above/below Middle,

                         Top4/Bottom4 Ticks, # Periods in Congestion), Technical

                         Analysis, Test Phase, Review)

New Highs/Lows: Market extreme over preset number of days

Node: Pause during a trend, caused by price-volume congestion VGT*

Octant: One-eighth of bracket price range; measured from the limits  FAQD.1 - 3, 6-11, 14-16

Octant-to-middle: Typical responsive trade target 3/8 of range VGT*

Octant-to-limit: Typical responsive trade risk 1/8 of range VGT*

Off Floor Members: Locals away from floor, Cti3

Open/High/Low/Close: Daily (newspaper) exchange data VGT*, FAQB.3

Order: Instructions to your broker to buy or sell a futures contract

Overlay Demand Curve: TPT Volume distribution ==> market condition

Phases of the Market: See Market Cycle

Point of Control (POC): Price of TPO/TPT maximum on Market/Meta Profile FAQC.5

Position: Your holding in a contract, either long or short

Price Rotation: Behavior of price in a balanced market FAQD.25

Profile Tutorial Game: Profile trading in a game format.

Public: Non-members. Speculators, creators of demand, LDB Cti4

Quadrant: Day’s trading range (price) in fourths, quadrant 1 is upper

                        (2) Overlay range division, quadrant 1 is upper

Reference Points: Significant descriptors of a market, usually value related, e.g. Market Profile value area, commercial capping, etc.

    Basic Six Reference Points: (Overlay Limits, Octant, Internal Trend, Commercials, Nodes)

         Overlay Demand Curves (tm)

            Structure of distribution (market phase)

            Locating value

            Inconsistencies
                  e.g. 5 day disagrees with 10 day

        Internal Trend (movement within a balance)

        Commercial Activity
           Capping/Going with
               Capping if public demand fading
               Going with if public demand strong

        Nodes:  Pauses in a trend (congestion)
            Pause if short term
            Congestion if trend is stopped

    Initial Balance (floor trader control)
        Approximately first hour of trading (floor)

    Major Auction

    Minor Auction

   New Highs/Lows

        Strong indication of continuation

    Breakouts

    Profit potential

    Value

    Quadrant of close

Rebalanced market: After commercial buffering

Relative behavior: Difference between short and long Overlays e.g. 5 day vs 20 day

Responsive: Trading inside a balance, short at top, long at bottom, market offered opportunity

Responsive Day Trading: Trading inside a balanced market

Rotation (Market): Price path within a balanced market

Rotation Index/Quadrant of Close: Measure of internal trends

Rotation Profile: Market Profile type display using full day range VGT*

Scale Up (Down) Trading: Strategy for trading multiple contracts

Shape Factor (proprietary): Evaluation of day distribution

Short Position: Futures contract with right to sell the commodity

Short timeframe traders: those who must trade (locals, commercials)

Slip: Filling a trade at a worse price than ordered

Stop: Preset exit point for a trade (protective)

Structure: Shape of a day's profile, distribution of volume

Swing Trading: Short term trend trading (1 to 3 days)

Timeframe: Attitude of trader: short timeframer must trade (floor),

          long timeframer trades on opportunity (public)

Trade Management: All aspects of making a trade

Trader Control Database: Daily set of trading reference points FAQE.1-10

Technical Analysis: Formula, model trading FAQB.4-8

Test: Market condition, breakout of balance (phase 2), stop of trend (4)

Text: Value Based power Trading, D.L. Jones, Probus 1993 Value Based Power Trading Text

Thirty Minute Bars: Basic data for Market Profile, Overlays;

    augmented for more detailed viewing by 15 minute bars

Tick Data: Listing of price changes occurring on the floor

TPO: A cleared price traded within a 30 or 15 minute timeframe. TPO means 'Time Price Opportunity'

    TPOs are used to determine day type: Normal, Normal Variation, Trend, Double-Distribution,
    Nontrend and Neutral.FAQC.3
    The change to non-continuous TPOs in the LDB data on January 2, 2003 makes recognition
    of day type difficult or impossible.

TPT: A price (quote) reported within a 30 minute (or other) timeframe, TPT means

    'That Price Ticked', i.e. it was reported on the quoter.
    TPTs are continuous in a period, i.e. there is a TPT for each price between the
    high and low in the e.g. 30 minute period.  

Trade Facilitation Factor: Measure of market liquidity. Average number of TPTs per price.

Trader Control Package: Source of TCP database, multiple reference points for finding 'Market Condition' (longer term value)

Trend: Market condition of imbalance, price moving, value indefinite
    A time frame is implied, e.g. "the trend is up over the last 3 days" although the
    market might be in a 9 day balance overall.

Trend End: Market condition at start of a new bracket or balance--start of a new market unit

Trend Trade: Longer timeframe trade, few days to a week or more

Unexpected: Change in market condition, i.e. balance to trend, or trend to balance

Value: Central price range of a balanced market, poorly defined elsewhere

Value Analytics: Combination of Market Condition and profile reference points: composite trading information

Value Area: Market Profile: Central 70% of cleared volume for the day FAQC.4
    Meta-Profile: Central 70% of TPTs/TPOs for the designated time-period.

Value Based Power Trading: General framework for Auction Market Analysis:
    CISCO textbook of the same name

Value Region: Overlay Demand Curve: Central approximately 85% of the aggregate TPOs for the multi-day Overlay. Valid only for single distributions. The upper limit of the value region is the support price and the lower limit is the resistance. Different time frames, e.g. 4 days and 12 days, if both in balance, will have different support/resistance pairs.

Visual Graphics: Compact presentation of Trader Control Database  FAQH.1-10

Volatility Activity Level: Average price range of half hour data VGT*

Volume: Variously: contracts traded, ticks or TPO's VGT*, FAQA.6; FAQD.32

Volume behavior:

    Distribution
        Location of high demand, and time of occurrence

    Consistency
        Distribution of demand throughout range

    Increasing/decreasing
        Longer term, multi-day demand level pattern

*VGT: ‘Visual Graphic Terminology", Explanation of Visual Graphic

 

CISCO Visual Graphic Terminology

Overlay: Is a plot of trading volume versus price for a chosen time period.
         The time periods in the Visual Graphic are the last 5, 10 and 20 days.
         It is a picture of the prices where heaviest/lightest trading occurred.
         The trading volume used is a special type of volume called TPO volume.
         The TPO volume at a particular price is the number of different 30 
         minute trading periods during which that price was traded at least
         once. On the Visual Graphic the overlays are headed by the words 
         "20 day Overlay", "10 day Overlay" or "5 day Overlay". Below
         the Overlay are words "Bracketing" if the Overlay is bracketing, or
         the words "No Bracket" if the overlay is not bracketing. If the
         overlay is not Bracketing, the number of distributions is given.   

Distributions: These are accumulations of TPO volume in the overlay that 
               contain at least 4 prices. Distributions that are bell-shaped,
               have price rotation within the distribution, contain the close
               of the latest trading day and that are the only distribution in
               the overlay are called brackets. For the overlays that are not
               bracketing, the Visual Graphic lists the number of distributions
               below the overlay, as well as the upper limit ('U') and lower 
               limit ('L') for the first 4 distributions. For an overlay that 
               is bracketing, there is just one distribution - the bracket. 

Bracket: Is an overlay with one bell-shaped distribution of TPO volume
         that has the latest day's close inside the distribution and
         that has at least 4 prices. An overlay that is bracketing is in 
         balance. The price should not just form a bell shape but should also 
         show price rotation within the bracket. The Rotation profile (see
         below) lets you determine this visually. For bracketing overlays,
         the Visual Graphic displays the words "Bracketing" below each 
         Overlay and also lists the bracket limits('U' and 'L'), bracket
         octants ('UO' and 'LO') and middle ('M') below each overlay. Also
         shown below bracketing overlays are the Octant-to-middle $ amount
         and the Octant-to-limit $ amount. 

Bracket Limits: These are the extreme upper/lower price edges of the bracket.
                Technically the edges are determined as the price at which
                the TPO volume changes from 3 to 2 or less (5 and 10 day 
                overlay) or 5 to 4 or less (20 day overlay). These price limits
                form the alerts for a breakout - the possible beginning of a 
                trend. They also form the stops for responsive trades. They are
                shown on the Visual Graphic below bracketing overlays the 
                right of 'U' and 'L'.  

Bracket Octants: The Octant price is 1/8 of the bracket width from a Limit.
                 This price is an alert for an extreme excursion of price
                 from the center of the bracket. They are shown on the Visual
                 Graphic below bracketing overlays to the right of 'UO' and 
                 'LO'
 
Bracket Quadrant: The Quadrant price is 1/4 of the bracket width from a Limit.
                  This price is an alert to the return of price, that 
                  previously broke out of the bracket, to the bracket center. 
                  The Bracket Quadrant price is not shown on the Visual 
                  Graphic. 

Bracket Middle:  Is the middle price of the bracket. It represents the price
                 that is most often traded in a bracketing market. Price
                 excursions from the middle price occur with a bell-shaped
                 probability. The middle is the target for responsive trades
                 since when price reaches the middle it has a 50-50 chance
                 of moving up or down. Of course not all markets are able to
                 move across the bracket from the octant to the middle in
                 one trading day. The middle price is show on the Visual
                 Graphic to the right of the 'M' that is displayed below 
                 overlays that are bracketing. 

Octant-to-middle $ amount: Is the price difference between either octant price
                           and the middle price translated into dollars.
                           This is the $ profit for responsive trade entry
                           at either octant with exit at the middle.
                           On the Visual Graphic this $ amount is to the
                           right of the Upper Octant Price (also to the right
                           of the Lower Octant Price)  

Octant-to-limit $ amount: Is the price difference between upper octant and
                          upper limit of a bracket translated into dollars
                          (or lower octant and lower limit). This is the 
                          $ risk for responsive trade entry at the upper octant
                          and a stop out at the upper limit; also the
                          $ risk for breakout trade entry at the upper bracket 
                          limit and a stop out at the upper octant. (similarly
                          for lower octant and lower limit). On the Visual 
                          Graphic this $ amount is to the right of Octant-
                          to-middle $ amount.   

Breakout: Is the price movement outside of the bracket limits. This is
          an alert to the begining of a trend. This can be the entry
          price for a breakout trade. A Breakout is made easier to see
          by the current day 30 minute bars ('30 m bars') on the extreme       
          right of the Visual Graphic.

False Breakout: Is a breakout that is not sustained but instead price
                returns to the bracket and closes inside the bracket. A
                false breakout is easier to see by the current 30 minute
                bars ('30 m bars') on the extreme right of the Visual 
                Graphic.  

Trend Continuation: When a market is in a trend we would like to know if the
                    trend will continue or not. Items of information that
                    help us determine this are the trading volumes, commmercial
                    capping against direction of the trend, node formation,
                    and new bracket formation.

Rotation Profile: Is a plot of the number of days there was at least one trade
                  at each price. It also identifies each day by a symbol so 
                  that you can trace the rotation/non-rotation of price 
                  day-by-day. The plot is for the last 20 days of trading.
                  On the Visual Graphic, the Rotation Profile 'RotProf' is 
                  shown between the common price strip and the 20 day overlay.
                  The day symbols are 'a' through 't'. The 'a' is for 20
                  days ago and the 't' is for the latest day. The Rotation 
                  Profile is used to verify that a bracket has price rotating 
                  within it. It is also used to determine how many days price 
                  has been accumulating within a node, congestion or bracket
  
Node:  Is an accumulation of TPO volume around a narrow price-range over a day
       or two. Nodes are established in a trending market. They are sometimes
       a temporary pause in price movement and sometimes the start of congestion
       and the formation of a new bracket. When two nodes are established after
       a breakout, "value" has moved enough that the stop of a breakout trade 
       is moved from the old bracket octant to the last previous node. The 
       number of days of trading at each price is determined from the Rotation
       profile.

Congestion: Is an accumulation of TPO volume around a well defined price-range
            over more than a day but less than 5 days. Congestion is an alert
            to the possible formation of a new bracket. The number of days
            of trading at each price is determined from the Rotation profile.

Commercial Activity: The commercial traders are very influential in determining
                     market direction. They can choose to support/resist a 
                     price movement. On the Visual Graphic we note if there
                     is upper and/or lower commercial activity for the last 10 
                     days in the chart below the label 'cti2'. The vertical
                     lines give the daily high-low price ranges for the last
                     10 trading days. The star '*' at the high and/or low of each 
                     daily high-low bar indicates upper and/or lower commercial
                     activity. For the latest trading day the commercial 
                     activity is also shown at the current days high/low by
                     'uc' and/or 'lc' in the space between the Rotation Profile
                     and the 20 day overlay. Also for the latest trading day 
                     the type of commercial activity is given below the 
                     Rotation Profile to the right of 'U comm' and/or 'L comm'
                     with one or more of the symbols V, A, Q. For the latest
                     day one can often use the 30 minute high-low price bars 
                     ,shown on the extreme right of the Visual Graphic under
                     heading '30 m bars' to determine if the commercial 
                     activity is supporting or resisting. If the close occurs
                     at the daily high or low the activity may be supporting
                     or resisting. If the close occurs in the middle of the
                     daily range the activity at earlier high and/or lows
                     is more likeley resisting (capping). The dashes on
                     the 'cti2' vertical bars are the daily closes and can
                     be used in the same way as the '30 m bars'.   
                     The commercial activity is especially useful in determinig
                     if value has changed suddenly in the last day or two, so
                     that the center of the overlay bracket is no longer value;
                     and also for determining if a trend is near to ending where
                     the commercials could be capping (resisting) the trend.
                      
Close:               You can see the close of trading for the latest trading 
                     day on the Visual Graphic between the Rotation Profile
                     and the 20 day overlay marked as 'cl'. Also the 30 minute
                     bars give the high-low range of the last 30 minutes of
                     trading. The data below the Rotation Profile gives the
                     closing prices 'C' for the latest and previous day. Also
                     the dashes in the commercial activity plot give the closes
                     for the last 10 days. In a bracketing scenario, the 
                     location of the latest day's close in the bracket octant
                     region may be an alert for a breakout. After a breakout
                     from a bracket, a close inside the bracket nullifies the
                     breakout as a "false" breakout. A close at the daily 
                     high or low along with corresponding commercial activity 
                     may imply the commercials are resisting or supporting 
                     price movement. A close in the center of the daily high-low
                     range may indicate that commmercial activity earlier at the
                     high and/or low was resisting price there (i.e. capping).

Volatility:          Is the average number of price ticks in each 30 minute
                     time period during the day. If the volatility of the
                     market is too high (greater than 10 for Bonds) you 
                     should avoid entering trading positions. Also this
                     volatility should not be large relative to the octant
                     size in a bracketing market. The volatility ('Vo') is
                     shown on the Visual Graphic under the Rotation Profile 
                     for the current and previous trading day.  
                
TF factor:            Is the total number of on-floor 30 minute periods during 
                     which a different price was traded at least once divided by
                     the total number of prices. This value is high (greater 
                     than 5) for markets that have "shut down" - they have a
                     small high-low range during the day. A Bracketing market 
                     with a high TF factor (shut-down market) is an alert for 
                     a break-out. A market in a trend will have a small TF 
                     factor except at the nodes. The TF factor ('Tf') is shown 
                     on the Visual Graphic under the Rotation Profile for the 
                     current and previous trading day.
  
Volume:              The total, public and commercial volume for the current
                     and previous trading day are shown on the Visual Graphic 
                     to the right of 'Tv', 'Cv', and 'Pv'. You should be alert
                     to increasing/decreasing volumes as well as large values.
                     For Bonds an average total volume is 100,000-400,000  and
                     a very high value is one above 500,000. 

30 minute bars:      These are shown on the extreme right of the Visual Graphic.
                     under the heading '30 m bars'. They represent the high-low
                     price ranges (bars) for every 30 minute time period for 
                     the latest trading day. They let you track the intitial 
                     balance price range (first two 30 minute periods) relative
                     to the rest of the trading day, see breakouts from brackets
                     more clearly, see price capping, see the local direction 
                     of the market, and locate the closing range relative to 
                     the bracket (or non-bracketing overlay).

Open,High,Low,Close: The prices for the Open, High, Low and Close for the
                     current and previous trading days are shown on the Visual
                     Graphic to the right of 'O', 'H', 'L', 'C' below the 
                     Rotation Profile. The 30 minute bars also show the 
                     high-low for the latest day as well as the opening and
                     closing ranges. The 'cti2' vertical bars show the 
                     daily high-low range for the last 10 days and the 
                     Rotation Profile 'RotProf' also shows the high-low range 
                     for the last 20 days in profile form. The 'cti2' dashes
                     show the closes for the last 10 days. The close for
                     the latest day is also shown as 'cl' between the 
                     Rotation Profile and the 20 day overlay.  

                      
  For more information contact CISCO Futures at:
  WEB address: www.cisco-futures.com
  Postal Address: PO Box 441396, Aurora, Co 80044 USA
  Telephone: 303-306-1521 or 1-800-800-7227
  Fax: 303-306-1598
  Email: dljones@cisco-futures.com