Hourly LDB Reports

Liquidity Data Bank (tm), Within Day Updates
All futures on the Chicago Board of Trade list.

The Chicago Board of Trade is now releasing within-day clearing, as the trading is reconciled. Included are the total volume at each price, Cti1, 2, 3, 4 volumes at each price and the Market Profile (tm); i.e., the Liquidity Data Bank. Release times are approximately hourly, starting just before 9 AM and ending around 6:00 PM. There are eight releases in all, nine if you count the 'second reconciliation' which normally arrives between 6:30 and 7:00 PM.

Hourly LDB data represent the first ever case of actual volume becoming available during the trading day. The trader can follow volume changes as they are cleared, tracking demand as it changes throughout the day. Clearing always runs behind the ticker, for obvious reasons. How far behind depends on the clearing process: when the data are received, volume, out trades and whatever other problems they run into. Fortunately, the delays for a market tend to be about the same day by day. As the day latens they lag more. The second reconciliation with 80 to 90 percent completion comes out around 6 PM Chicago time. This is the final hourly report. The third and final reconciliation is about 9 PM.

Purpose of the Liquidity Data Bank Report
Auction market data (Market Profile, Overlay Demand Curves, Liquidity Data and BuySell Data) all support the basic need of traders: to find if a market move, a breakout, will succeed or fail. Market Profile is the basic building block, giving the details of the session containing the activity. Overlays place the session within the context of the market unit (whether balancing or trending). Liquidity data adds 1) the correct volume at each price and 2) which exchange members are responsible for that volume. BuySell data further expands the Liquidity data to show the details of the volume; who is buying and how much, who is selling and how much. These four data sets, Market Profile, Overlay Demand Curve, Liquidity Data and BuySell Data contain the detailed information required to answer the simple question "what are the chances this move will succeed?".

In the Market Profile data type discussion (in the Background Reading section), the question of continuation-or-not for the strong down move in the July 1998 soybeans on March 2, was resolved, in part, because the end-of-day LDB volume showed low volume late in the day. Had there been uncertainty about the volume, the next day hourlies could be used to confirm (or refute) the volume decision.

Having a series of LDB's as the clearing is accomplished provides two basic ways to understand what a market is doing. The latest cumulative report shows (as with all LDB reports) who is creating the volume, where the trading is and the location of the Value-Area. Comparing the latest release to the previous gives differentials. Changes in volume from period to period shows the direction of the market and how the Value-Area is being modified. New trading outside the Value-Area is strong evidence for a change in value.

Also, relative changes in trading between the various Cti groupings can give a tip-off of structural change in the market. Cti2 (commercial) trading is normally in the Value-Area. When an unusual amount of Cti2 activity is found outside the Value-Area the commercials may be 'capping' the market (identifying resistance or support levels). Alternatively, such activity can be of a 'go with' nature, when the commercials are leading a trend.

As the TPO distribution is modified from additional trading, another level of information is added. If the bell continues to grow, the market is rotating and is stable. If the earlier distribution becomes deformed from a bell shape, or if trading occurs outside the bell, a new market process is at work.

These updates provide a framework in which Market Profile theory can be used as a decision support tool. One has the earliest possible information to measure items such as the volume required to cut off a move, market balance changes, the variations in trading volume between the various types of traders, trade facilitation; and all the other elements of profile theory for within-day analyses. Market understanding that was formerly based solely on TPO's now draws on volume as well. Analysis of the day time frame is enhanced.

On a larger scale, hourly updates offer current information to further analyses arrived at through the Overlay Demand Curve. Overall market understanding there develops an expected/unexpected scenario, where 'unexpected' refers to a change in market condition. Changes in market condition occur at a crossover point, one that can often be identified in the day time frame.

As an example, we will go through the successive LDB reports on the U S T-bonds (day) for the December delivery, trading on November 24, 1992. We identify each download time and discuss the market situation that is currently known from the ticker.

***HOURLY LDB REPORT, TABLE AND PROFILE***
Download number 1 on 24-NOV-1992 at 08:51 Download finish time
Download number 2 on 24-NOV-1992 at 10:04
Download number 3 on 24-NOV-1992 at 11:14
Download number 4 on 24-NOV-1992 at 12:20
Download number 5 on 24-NOV-1992 at 14:14
Download number 6 on 24-NOV-1992 at 15:58
Download number 7 on 24-NOV-1992 at 16:57
Download number 8 on 24-NOV-1992 at 18:25

For download number 1 which occurred at 08:49

 
CBOT VOLUME REPORT
 
TRADING DATE:  11 24 92
 
CONTRACT: DEC 92 US T BOND (CBOT) DAY
 
TRADING BEGINS 0720 (CST);CLOSES 1405;TPO SYMBOLS ARE Z$ABCDEFGHIJKLM
FIRST PERIOD IS 10 MINS;SUBSEQUENT PERIODS ARE ALL 30 MINS

 
      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10318      350   2.7  48.6   2.9   0.3  48.3 ZB
      10317     2470  19.1  64.7   8.5   0.2  26.6 ZAB
      10316     1778  13.8  51.6  21.0   0.0  27.4 Z$AB
      10315      508   3.9  64.4   0.4   0.8  34.4 Z$AB
      10314      376   2.9  69.9   6.9   0.3  22.9 Z$A
      10313     1870  14.5  54.0   5.7   3.4  37.0 $A
      10312     2142  16.6  55.9  19.9   0.7  23.4 $A
      10311     1762  13.6  51.7  10.2   0.7  37.4 $
      10310      626   4.8  66.1   8.0   0.0  25.9 $
      10309       52   0.4  48.1  38.5   0.0  13.5 $
      10308      978   7.6  50.0  21.5   0.0  28.5 $
 
      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10317    10906  84.5  57.1  12.1   0.9  29.9 ZAB$
V-A   10311
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY      12912     56.7  12.5   0.8  30.0
VOLUME FOR ALL US T BOND (CBOT) DAY         15195     50.7  11.3   1.8  36.2
 

TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10318
LOWER        10314
CONTROL      10315
 
           ALL  Z   $   A   B
TPO-UPR     9   0   4   8   9
TPO-LWR     7   0   0   4   7
 
TPO-TOT    24   5  14  20  24
PRC-TKS    11   5  11  11  11
TF-FAC    2.2 1.0 1.3 1.8 2.2

***Commentary on market as of 8:49 The ticker, monitored separately, shows a range of 10307 to 10318 for the time frame from 7:20 to 8:49. Evidently, the 10307 report is an error that was removed from the data during the clearing.

The first two periods (initial balance) set a base from 10308 to 10318. Then a bell distribution formed from 10312 to 10318, centered at 10315. Peak volume at 10317 indicates an upward bias to the distribution. Low volume at 10318 indicates rejection.

Price movement above 10318 or below 10312 would be considered breakouts initially, then, possibly extension or growth of the bell distribution.

For download number 2 which occurred at 10:02 :

 

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10326       57   0.1  82.5   0.0   0.0  17.5 D
      10325       60   0.1  61.7   0.0   0.0  38.2 CD
      10324      243   0.3  32.9  26.7   0.8  39.5 CD
      10323      360   0.4  17.8   8.6  11.9  61.7 CD
      10322      268   0.3   0.0   3.7  24.3  72.0 C
      10321      914   1.1   0.0   0.0   5.5  94.5 C
      10320       48   0.1   0.0   0.0   0.0 100.0 C
      10319        4   0.0  50.0   0.0   0.0  50.0 C
      10318      756   0.9  56.0   2.0   1.3  40.7 ZBC
      10317    11590  14.2  72.5   7.0   1.8  18.7 ZABC
      10316     8238  10.1  50.0  12.1   1.9  36.0 Z$ABC
      10315     4032   4.9  60.9   2.8   1.2  35.1 Z$ABC
      10314     6176   7.6  57.9   5.8   2.3  34.0 Z$AC
      10313    16346  20.0  66.3   9.4   3.4  20.9 $A
      10312    15744  19.3  64.2  10.0   3.3  22.6 $A
      10311     8640  10.6  62.5   8.4   2.7  26.3 $
      10310     5480   6.7  58.0   3.9   5.9  32.2 $
      10309      638   0.8  46.9  14.1   0.2  38.9 $
      10308     2032   2.5  44.8  17.6   0.0  37.5 $

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10317    70766  86.7  63.4   8.6   2.6  25.3 ZABC$
V-A   10311
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY      81626     61.2   8.4   2.9  27.6
VOLUME FOR ALL US T BOND (CBOT) DAY         85203     61.0   8.0   2.8  28.2


TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10320
LOWER        10311
CONTROL      10316
 
           ALL  Z   $   A   B   C   D
TPO-UPR    13   0   4   8   9   7  13
TPO-LWR    13   0   0   4   7  13  13
 
TPO-TOT    40   5  14  20  24  36  40
PRC-TKS    19   5  11  11  11  18  19
TF-FAC    2.1 1.0 1.3 1.8 2.2 2.0 2.1

***Commentary on market as of 10:02
The ticker, monitored separately, shows a range of 10316 to 10317 from 8:50 to 9:00, 10317 to 10322 from 9:00 to 9:15, 10321 to 10326 from 9:15 to 9:30, and price then ranging from 10323 to 10325 until the download.

Price breakout at 10319 moved up to 10326 before rotating back into the range 10323 to 10325 to possibly start another bell curve. At this time there are two distributions; a 'double distribution up day' or a 'trend day' in Market Profile parlance.

Peak volume in the new distribution is 360 at 10323. It is too early in the development of this distribution to tell if it is real or just a pause in an up move. Price above 10325 would be evidence for continuation.

For download number 3 which came at 11:06 :


 
      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10327        1   0.0 100.0   0.0   0.0   0.0 EF
      10326      385   0.3  66.0   1.3   0.0  32.7 DEF
      10325     1752   1.3  53.0  15.0   1.6  30.4 CDEF
      10324     3931   3.0  60.3   9.1   2.7  28.0 CDEF
      10323     1574   1.2  56.6  14.9   5.1  23.3 CDE
      10322     1566   1.2  43.2   1.5   6.0  49.3 CE
      10321     4772   3.6  49.2   5.4   3.6  41.8 C
      10320     4810   3.7  58.9   9.0   2.1  29.9 C
      10319     4182   3.2  58.1   9.9   5.1  26.8 C
      10318     3076   2.3  49.2   5.5   5.3  40.0 ZBC
      10317    19722  15.0  69.0   8.4   3.1  19.5 ZABC
      10316    16978  12.9  54.7  14.5   2.1  28.7 Z$ABC
      10315     6188   4.7  58.6   7.0   1.3  33.2 Z$ABC
      10314     7702   5.9  59.0   5.3   3.5  32.2 Z$AC
      10313    19006  14.5  66.0   8.8   5.5  19.7 $A
      10312    17704  13.5  63.2   9.4   3.1  24.3 $A
      10311     9290   7.1  62.3   8.0   2.5  27.1 $
      10310     5704   4.3  58.5   3.7   5.7  32.1 $
      10309      842   0.6  47.6  22.6   0.1  29.7 $
      10308     2304   1.8  45.5  19.9   0.0  34.6 $

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10317    96590  73.5  62.7   9.3   3.3  24.7 ZABC$
V-A   10311
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY     131489     60.5   9.2   3.4  26.9
VOLUME FOR ALL US T BOND (CBOT) DAY        136411     60.6   8.8   3.3  27.3

 
TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10323
LOWER        10309
CONTROL      10316
 
           ALL  Z   $   A   B   C   D   E   F
TPO-UPR    25   0   4   8   9   7  13  20  25
TPO-LWR    13   0   0   4   7  13  13  13  13
 
TPO-TOT    50   5  14  20  24  36  40  46  50
PRC-TKS    20   5  11  11  11  18  19  20  20
TF-FAC    2.5 1.0 1.3 1.8 2.2 2.0 2.1 2.3 2.5

***Commentary on market as of 11:06
The ticker, monitored separately, shows a range of 10324 to 10330 for the 10:00 to 11:00, the total range between downloads. Price had returned to 10327 by the start of this download.

Trading from 10328 to 10330 has not cleared by the time of this download. Although the upper prices are not posted, we can be sure that they will serve to fill out the upper distribution, which appears to be coming into balance. Peak volume and peak TPO count are both at 10324.

Now there is a lower limit for breakout at 10322 and an upper limit around 10329 (cannot tell exactly until the TPO's are all included).

For download number 4 which occurred at 12:09 :



      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10329       54   0.0  55.6   0.0   0.0  44.4 FGH
      10328     1054   0.6  51.8  12.3   3.3  32.5 FGH
      10327      665   0.4  49.2  13.5   2.6  34.7 EFGH
      10326     5603   3.0  59.9   7.5   0.7  31.9 DEFH
      10325     8378   4.5  65.6  11.1   1.8  21.5 CDEF
      10324    20357  10.8  60.3   6.5   2.1  31.1 CDEF
      10323     7976   4.2  61.7  10.5   5.0  22.9 CDE
      10322     2966   1.6  46.1   6.2   3.6  44.1 CE
      10321     9340   5.0  57.7   5.9   3.4  33.0 C
      10320     7128   3.8  63.1   8.3   2.3  26.3 C
      10319     8352   4.4  59.3  10.5   8.5  21.7 C
      10318     4764   2.5  50.9   6.6   7.3  35.2 ZBC
      10317    21546  11.5  68.2   7.9   3.0  20.9 ZABC
      10316    18682   9.9  56.6  13.4   2.0  27.9 Z$ABC
      10315     7032   3.7  58.1   8.3   1.2  32.4 Z$ABC
      10314     8516   4.5  58.1   6.0   3.2  32.8 Z$AC
      10313    19338  10.3  66.0   8.7   5.4  19.9 $A
      10312    17822   9.5  63.1   9.4   3.1  24.3 $A
      10311     9344   5.0  62.4   8.0   2.5  27.1 $
      10310     5706   3.0  58.5   3.7   5.7  32.1 $
      10309      852   0.5  47.1  22.3   0.1  30.5 $
      10308     2324   1.2  45.5  19.7   0.0  34.8 $
 
      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10321   131864  70.2  61.7   8.9   3.6  25.7 CZBA$
V-A   10311
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY     187799     61.0   8.8   3.3  26.9
VOLUME FOR ALL US T BOND (CBOT) DAY        195469     61.0   8.5   3.2  27.4

TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10325
LOWER        10309
CONTROL      10316
 
           ALL  Z   $   A   B   C   D   E   F   G   H
TPO-UPR    34   0   4   8   9   7  13  20  25  30  34
TPO-LWR    13   0   0   4   7  13  13  13  13  13  13
 
TPO-TOT    59   5  14  20  24  36  40  46  52  55  59
PRC-TKS    22   5  11  11  11  18  19  20  22  22  22
TF-FAC    2.7 1.0 1.3 1.8 2.2 2.0 2.1 2.3 2.4 2.5 2.7

***Commentary on market as of 12:09 The ticker, monitored separately, shows a range of 10326 to 10329 for the period between downloads.

Note that the high tick, 10330, observed before the previous download, has still not cleared. Possibly it was an error, or out-trade.

The upper distribution is now filled out. Breakout on the upside would be at 10329, on the low side at 10321. Volume peaks at 10324, on the low side of the distribution. This point may be a local (day) resistance.

For download number 5 which occurred at 13:58 :



      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10330      310   0.1  51.0   0.6   0.0  48.4 FHIJK
      10329     3972   1.8  59.5  11.2   2.1  27.2 FGHIJK
      10328     9856   4.5  60.6   9.9   2.1  27.4 FGHIJK
      10327     5003   2.3  64.0   6.9   1.5  27.6 EFGHIJK
      10326     9933   4.5  55.8  10.5   2.0  31.7 DEFHIJK
      10325    10512   4.8  67.9  10.7   1.7  19.7 CDEFIK
      10324    22823  10.4  61.0   6.8   2.1  30.1 CDEFK
      10323     9962   4.5  61.0  10.9   4.9  23.2 CDE
      10322     3010   1.4  46.3   6.1   3.7  43.9 CE
      10321     9654   4.4  57.8   6.1   3.2  32.8 C
      10320     7408   3.4  62.8   8.3   2.5  26.4 C
      10319     8554   3.9  59.3  10.7   8.3  21.8 C
      10318     4802   2.2  50.9   6.5   7.3  35.3 ZBC
      10317    22108  10.1  67.8   7.7   3.0  21.6 ZABC
      10316    19084   8.7  56.6  13.2   2.1  28.2 Z$ABC
      10315     7046   3.2  58.1   8.3   1.2  32.4 Z$ABC
      10314     8814   4.0  57.8   6.2   3.1  32.9 Z$AC
      10313    19628   9.0  65.9   8.9   5.4  19.9 $A
      10312    18136   8.3  63.0   9.9   3.1  24.0 $A
      10311     9542   4.4  62.2   7.8   2.5  27.5 $
      10310     5886   2.7  58.3   3.9   6.0  31.8 $
      10309      852   0.4  47.1  22.3   0.1  30.5 $
      10308     2326   1.1  45.5  19.7   0.0  34.8 $
 
      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10328   158569  72.3  60.5   8.9   3.0  27.6 FGHIJKEDCZBA$
V-A   10314
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY     219221     61.0   9.0   3.2  26.8
VOLUME FOR ALL US T BOND (CBOT) DAY        228935     60.9   8.6   3.1  27.4
 
 
TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10330
LOWER        10317
CONTROL      10326
 
           ALL  Z   $   A   B   C   D   E   F   G   H   I   J   K
TPO-UPR    24   0   4   8   9   7  13  20  25  30  36  42  20  24
TPO-LWR    41   0   0   4   7  13  13  13  13  13  13  13  39  41
 
TPO-TOT    79   5  14  20  24  36  40  46  53  56  61  67  72  79
PRC-TKS    23   5  11  11  11  18  19  20  23  23  23  23  23  23
TF-FAC    3.4 1.0 1.3 1.8 2.2 2.0 2.1 2.3 2.3 2.4 2.7 2.9 3.1 3.4

***Commentary on market as of 13:58 The ticker, monitored separately, shows a range of 10327 to 10330 for the period between downloads.

Peak volume is at 10324, TPO point of control is 10327. The distribution is not symmetrical.

This is the last LDB before the close. Breakout on the upside will be at 10331, on the downside, 10321. But time is short for more development in this session.

There will be three more downloads before evening trading starts at 17:20. For download number 6 which occurred at 15:42 :



      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10331      178   0.1  51.7   3.9   0.0  44.4 ILM
      10330     4702   1.5  67.0   5.6   2.5  24.9 FHIJKLM
      10329    18652   5.9  61.3   6.9   3.7  28.1 FGHIJKLM
      10328    31410  10.0  62.3   9.2   3.6  24.9 FGHIJKLM
      10327    29431   9.4  63.1   7.7   5.3  23.9 EFGHIJKL
      10326    15343   4.9  58.4  10.8   3.6  27.3 DEFHIJKL
      10325    13748   4.4  67.3   9.1   3.5  20.1 CDEFIK
      10324    25913   8.3  58.3   9.8   2.4  29.5 CDEFK
      10323    11214   3.6  60.1  10.6   4.8  24.5 CDE
      10322     3338   1.1  47.9   5.5   3.4  43.2 CE
      10321    10216   3.3  58.2   6.4   3.3  32.1 C
      10320     8094   2.6  62.6   7.7   2.7  27.1 C
      10319     9364   3.0  60.7  10.0   7.8  21.6 C
      10318     5370   1.7  52.4   6.0   6.5  35.1 ZBC
      10317    25692   8.2  65.5   6.8   3.0  24.6 ZABC
      10316    20766   6.6  55.1  12.3   2.2  30.4 Z$ABC
      10315     7588   2.4  58.8   8.4   1.8  31.1 Z$ABC
      10314     9252   3.0  57.7   6.6   3.1  32.6 Z$AC
      10313    20996   6.7  65.8   8.8   5.7  19.7 $A
      10312    21040   6.7  61.1   9.2   3.3  26.3 $A
      10311    11318   3.6  59.9   7.5   2.1  30.4 $
      10310     6736   2.1  55.8   4.2   6.8  33.2 $
      10309      884   0.3  45.7  21.5   0.3  32.5 $
      10308     2368   0.8  45.5  19.3   0.0  35.1 $
 

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10331   233431  74.4  60.9   8.7   3.7  26.6 $ZABCDEFGHIJKLM
V-A   10316
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY     313613     60.8   8.7   3.7  26.8
VOLUME FOR ALL US T BOND (CBOT) DAY        329135     60.7   8.3   3.6  27.4
 
TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10331
LOWER        10318
CONTROL      10326
 
           ALL  Z   $   A   B   C   D   E   F   G   H   I   J   K   L   M
TPO-UPR    34   0   4   8   9   7  13  20  25  30  36  42  20  24  30  34
TPO-LWR    41   0   0   4   7  13  13  13  13  13  13  13  39  41  41  41
 
TPO-TOT    90   5  14  20  24  36  40  46  53  56  61  68  73  80  86  90
PRC-TKS    24   5  11  11  11  18  19  20  23  23  23  24  24  24  24  24
TF-FAC    3.8 1.0 1.3 1.8 2.2 2.0 2.1 2.3 2.3 2.4 2.7 2.8 3.0 3.3 3.6 3.8

***Commentary on market as of 15:42 :
Close is 10330. Peak volume is at 10328, upside breakout at 10400, downside breakout 10321.

For download number 7 which occurred at 16:39 :



      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10331      646   0.2  49.5   9.8   1.5  39.2 ILM
      10330    10092   2.9  62.3   2.7   1.9  33.2 FHIJKLM
      10329    23808   6.9  60.6   7.2   3.5  28.7 FGHIJKLM
      10328    39972  11.6  61.4   8.2   3.8  26.7 FGHIJKLM
      10327    35747  10.4  62.6   7.1   5.5  24.8 EFGHIJKL
      10326    17513   5.1  56.7  10.0   3.6  29.7 DEFHIJKL
      10325    15024   4.4  65.8   8.8   3.6  21.8 CDEFIK
      10324    26137   7.6  58.0  10.1   2.6  29.3 CDEFK
      10323    11282   3.3  60.1  10.5   4.8  24.6 CDE
      10322     3338   1.0  47.9   5.5   3.4  43.2 CE
      10321    10234   3.0  58.2   6.3   3.4  32.1 C
      10320     8100   2.3  62.6   7.7   2.7  27.1 C
      10319     9594   2.8  60.4   9.9   7.6  22.1 C
      10318     5370   1.6  52.4   6.0   6.5  35.1 ZBC
      10317    25740   7.5  65.5   6.8   3.1  24.6 ZABC
      10316    21716   6.3  54.8  11.8   2.1  31.2 Z$ABC
      10315     7598   2.2  58.8   8.4   1.8  31.1 Z$ABC
      10314     9252   2.7  57.7   6.6   3.1  32.6 Z$AC
      10313    21000   6.1  65.8   8.8   5.7  19.7 $A
      10312    21304   6.2  61.0   9.2   3.3  26.4 $A
      10311    11368   3.3  59.9   7.5   2.1  30.5 $
      10310     6738   2.0  55.8   4.2   6.8  33.2 $
      10309      884   0.3  45.7  21.5   0.3  32.5 $
      10308     2368   0.7  45.5  19.3   0.0  35.1 $
 

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10331   264313  76.7  60.4   8.2   3.8  27.6 ILMFHJKGEDCZBA$
V-A   10316
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY     344825     60.4   8.3   3.8  27.5
VOLUME FOR ALL US T BOND (CBOT) DAY        363387     60.3   8.0   3.6  28.1
 
TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
UPPER        10331
LOWER        10318
CONTROL      10326
 
           ALL  Z   $   A   B   C   D   E   F   G   H   I   J   K   L   M
TPO-UPR    34   0   4   8   9   7  13  20  25  30  36  42  20  24  30  34
TPO-LWR    41   0   0   4   7  13  13  13  13  13  13  13  39  41  41  41
 
TPO-TOT    90   5  14  20  24  36  40  46  53  56  61  68  73  80  86  90
PRC-TKS    24   5  11  11  11  18  19  20  23  23  23  24  24  24  24  24
TF-FAC    3.8 1.0 1.3 1.8 2.2 2.0 2.1 2.3 2.3 2.4 2.7 2.8 3.0 3.3 3.6 3.8

***Commentary on market as of 16:39 :
Close is 10330. Peak volume is at 10328, upside breakout at 10400, downside breakout 10321.

After two additional hours of clearing, the distribution is still not symmetrical, but the market appears to be balanced. If this market is truly in balance around 10327/10328, trading to 10400 or above would be expected in the evening session.

Evening trading (Project A) starts 15:30.

For download number 8 which occurred at 18:07 :



      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
      10331      736   0.2  54.3   8.6   2.0  35.1 ILM
      10330    11032   3.1  62.8   2.9   1.8  32.4 FHIJKLM
      10329    24752   7.0  60.5   7.4   3.8  28.4 FGHIJKLM
      10328    41690  11.8  60.8   8.3   4.1  26.8 FGHIJKLM
      10327    36961  10.5  62.4   7.2   5.6  24.8 EFGHIJKL
      10326    18255   5.2  56.4  10.3   3.9  29.5 DEFHIJKL
      10325    15384   4.4  65.5   8.8   3.8  22.0 CDEFIK
      10324    26575   7.5  58.3  10.2   2.6  28.9 CDEFK
      10323    11454   3.2  60.0  10.6   5.0  24.5 CDE
      10322     3378   1.0  47.9   5.4   3.4  43.3 CE
      10321    10276   2.9  58.2   6.3   3.3  32.1 C
      10320     8188   2.3  62.5   7.9   2.7  27.0 C
      10319     9774   2.8  60.9   9.9   7.4  21.7 C
      10318     5550   1.6  52.4   6.5   6.3  34.8 ZBC
      10317    26236   7.4  65.4   6.8   3.0  24.8 ZABC
      10316    21926   6.2  54.7  11.7   2.1  31.5 Z$ABC
      10315     7600   2.2  58.8   8.4   1.8  31.1 Z$ABC
      10314     9256   2.6  57.7   6.6   3.1  32.6 Z$AC
      10313    21378   6.0  65.5   8.6   5.6  20.2 $A
      10312    21486   6.1  61.0   9.2   3.3  26.4 $A
      10311    11434   3.2  59.9   7.5   2.1  30.5 $
      10310     6842   1.9  55.8   4.1   7.4  32.7 $
      10309      904   0.3  45.8  21.0   0.3  32.9 $
      10308     2368   0.7  45.5  19.3   0.0  35.1 $

      PRICE   VOLUME  %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
70%   10331   272167  77.0  60.3   8.3   3.9  27.5 ILMFHJKGEDCZBA$
V-A   10316
                                                     %CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR DEC 92 US T BOND (CBOT) DAY     353435     60.3   8.4   3.8  27.5
VOLUME FOR ALL US T BOND (CBOT) DAY        372497     60.2   8.1   3.7  28.1
 
TPO ANALYSIS FOR CURRENT DAY :
 
VALUE AREA FROM TPOS
 
UPPER        10331
LOWER        10318
CONTROL      10326
 
           ALL  Z   $   A   B   C   D   E   F   G   H   I   J   K   L   M
TPO-UPR    34   0   4   8   9   7  13  20  25  30  36  42  20  24  30  34
TPO-LWR    41   0   0   4   7  13  13  13  13  13  13  13  39  41  41  41
 
TPO-TOT    90   5  14  20  24  36  40  46  53  56  61  68  73  80  86  90
PRC-TKS    24   5  11  11  11  18  19  20  23  23  23  24  24  24  24  24
TF-FAC    3.8 1.0 1.3 1.8 2.2 2.0 2.1 2.3 2.3 2.4 2.7 2.8 3.0 3.3 3.6 3.8

*The MARKET PROFILE is a registered trademark of the Board of Trade of the City of Chicago 1998. ALL RIGHTS RESERVED.
Copyright CISCO 1992
This report may not be reproduced or retransmitted without the express written consent of CISCO.