CISCO Futures
14571 E. Mississippi Ave. #202
Aurora, CO 80012
303-306-1521 800 800 7227 fax 303-306-1572
http://www.cisco-futures.com dljones@cisco-futures.com
Part 1. Examples of Liquidity Data Bank Reports
1. Typical LDB Report for 'normal' day U2, Feb 14, 1997
2. Up-action and Commercial cap U2, Jan 24, 1997
Measuring commercial action at extremes
3. Low-action and Commercial cap U2, Jan 27, 1997
4. Commercial-drive U2, Jan 23, 1997
5. Public-drive U2, May 3, 1996
6. Market Phases: Balance, Test, Trend, Test: 4/25, 4/26, 4/29, 4/30, 5/1/96
Part 2. Workout of a Trend Trade
Defining a Balance phase: Overlay Demand Curves
Five days of Market Profile
Overlay Demand Curve of same five days (with gap)
Overlay Demand Curve of same five days + 20 day Overlay
LDB for 5/1/96
20 day Overlay + 5 day for 5/2/96
LDB for 5/2/96 Trade short from Overlay
LDB for 5/3/96
LDB for 5/6/96 Cap
Part 3. Hourly Liquidity Data Bank Reports from the CBOT
Part 4. New Ideas: Buy-Sell Data, Night Trading
LDB Report 7/22/98
Buy-Sell 7/22/98
Overnight 7/22/98
> References
> Mind Over Markets, Dalton, et al, p135-162 Probus 1991
> CBOT Market Profile(tm) Sec. 6, 1991 (1800THECBOT)
> Applications of the Market Profile(tm), Index, Jones, 1988 (CISCO)
> Value Based Power Trading, p34-46, Jones, 1993 (CISCO)
Part 1. Displays of LDB Action, with Commentary 1. A Typical Medium to High Volume Day in the T-bonds CBOT VOLUME REPORT CONTRACT: MAR 97 T-BOND (CBOT) DAY TRADING DATE: 02 14 97 TRADING BEGINS 0720 (CST);CLOSES 1405;TPO SYMBOLS ARE Z$ABCDEFGHIJKLM FIRST PERIOD IS 10 MINS; SUBSEQUENT PERIODS ARE 30 MINS PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*) 11403 7184 1.1 49.1 3.3 0.7 46.8 $ 11402 4896 0.7 48.2 3.1 4.5 44.2 $ 11401 7084 1.0 55.1 4.2 1.3 39.5 $ 11400 16372 2.4 47.2 8.6 4.1 40.1 $ 11331 19596 2.9 48.8 6.9 3.5 40.8 $ADI 11330 68960 10.2 54.6 5.9 4.5 35.0 $ADHI 11329 67608 10.0 60.1 6.2 5.7 28.1 $ADFGHI 11328 59766 8.8 57.4 5.3 6.9 30.4 $ADFGH 11327 57208 8.4 59.8 8.4 5.2 26.6 $ACDEFGH 11326 87684 12.9 61.5 7.6 4.4 26.5 $ABCDEFG 11325 60158 8.9 58.3 6.8 6.9 28.0 $ABCDEFG 11324 52612 7.8 59.3 8.8 7.5 24.4 $ABCDEG 11323 47976 7.1 58.9 7.1 6.9 27.1 ZABCDE 11322 40318 5.9 60.1 5.2 6.3 28.5 ZABCDE 11321 33546 5.0 59.6 4.0 7.5 28.9 ZBE 11320 23264 3.4 55.0 1.8 6.2 37.1 ZB 11319 11826 1.7 52.6 5.5 4.8 37.1 ZB 11318 10714 1.6 55.2 5.2 3.6 35.9 Z 11317 872 0.1 55.0 0.0 6.8 38.2 Z %CTI1 %CTI2 %CTI3 %CTI4 VOLUME FOR MAR 97 T-BOND (CBOT) DAY 677644 57.8 6.4 5.7 30.0 VOLUME FOR ALL T-BOND (CBOT) DAY 684378 57.9 6.4 5.6 30.1 70% VOLUME SUMMARY PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS 11330 501972 74.1 58.8 7.0 5.8 28.4 Z$ABCDEFGHIPQR 11323 O/H/L/C SUMMARY PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS OPEN 11320 45804 6.8 54.4 3.6 5.2 36.8 ZB 11318 HIGH 11403 7184 1.1 49.1 3.3 0.7 46.8 $ LOW 11317 872 0.1 55.0 0.0 6.8 38.2 Z CLOSE 11331 88556 13.1 53.3 6.1 4.3 36.3 $ADHI 11330 QUADRANTS PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS QD 1 11403 191700 28.3 55.0 6.1 4.5 34.4 $ADFGHI 11329 QD 2 11328 264816 39.1 59.5 7.1 5.7 27.7 $ABCDEFGHPQR 11325 QD 3 11324 174452 25.7 59.4 6.6 7.0 26.9 Z$ABCDEG 11321 QD 4 11320 46676 6.9 54.4 3.5 5.2 36.8 ZB 11317 TPO ANALYSIS FOR CURRENT DAY VALUE AREA FROM TPOS: UPPER 11329 CONTROL 11326 LOWER 11322 ALL Z $ A B C D E F G H I J K L M TPO-UPR 30 0 0 10 10 11 16 17 20 23 27 30 30 30 30 30 TPO-LWR 34 0 0 8 18 22 26 31 32 34 34 34 34 34 34 34 TPO-TOT 78 7 19 29 37 43 53 60 65 71 75 78 78 78 78 78 PRC-TKS 19 7 19 19 19 19 19 19 19 19 19 19 19 19 19 19 TF-FAC 4.1 1.0 1.0 1.5 1.9 2.3 2.8 3.2 3.4 3.7 3.9 4.1 4.1 4.1 4.1 4.1 Details of the report for a typical day The typical Liquidity Data Bank Report is in three parts: The Volume Report, The Price Report and the TPO Report. The Volume Report The graphic lists volume at each price and allocates the individual percentages of the floor members (cti1), commercial members (cti2), members trading off floor (cti3) and members trading for the public and all others. Additionally, the TPO's are tabulated for each price as the 'Brackets'. Volumes are in one-half round turns. Divide by two to compare these volumes with the ones found in the newspaper. Highest volume at 113:26 defines the 'point of control'. This is the center of value for the day, defining fair value. The distribution of volumes is bell-shaped about the center, indicating a balanced market. The Market Profile (letters on the right) confirm the balance. Price rotation started up on the open ($ period), came down to bottom out in the next (Z) period and continued up and down the rest of the day. Cti1 (floor traders), Cti2 (commercials) and Cti3 (members off floor) all tended to trade more heavily nearer the center. The Public (Cti4) had higher percentage volume at the top and bottom. This shows the public 'pushing the envelope', looking for trends. The members are more satisfied with balanced markets where the risk is small. A two line table carries the total volume for the future and summed volume for all futures in that commodity group. Volume for the March T-bond above is 677,644 sides, or 338,822 contracts traded. The next table, the 70% Volume Summary, provides the volume Value Area. The Value Area is the central 70% of the day's trading, centered about the 'Point of Control' (POC). The POC is the highest volume point. The Price Report The Price Report classifies the trading volume by Open, High, Low and Close and also by Quadrants (quarters of the trading range). Tabulation by Open, High, Low and Close gives a feel for the activity at these specific prices and ranges (for open and close). Quadrants show relative trading amounts throughout the range. Quadrants are figured as one-quarter of the total range, with the extra (one to three) prices added to the one of the quadrants--usually the top one. The TPO Report TPO's are available for all futures, LDB's only for CBOT and CME. CISCO computes the Value Area from the TPO's to be compared with the volume Value Area above. Also in the table is a period-by-period listing of the numbers of TPO's above and below the Point of Control, where now the POC is centered around the price with the maximum TPO's. Also listed are the TPO totals as a function of time (half-hours), the price ticks, or range in time (PR-TKS) and the developing trade facilitation factor (TF-FAC). The TF factor is the total price ticks divided into the total TPO's, or the average TPO's per price. Commentary On the price-volume display note: 1) The volume is heaviest in the middle and feathers out at the upper and lower price limits. 2) Cti1, the floor member's volume percentage, is relatively even throughout the range. The scalper is the middleman--everyone trades through them. 3) Cti2, the commercial members are also relatively evenly spread over the range. If there were 'commercial buffering' one would see excessive commercial volume near the top or bottom of the range. 4) Cti3, the member's trading is also spread relatively evenly over the entire range. 5) Public trading, Cti4, is heaviest near the price limits, where price is often rejected. Public demand normally drives price away from balance, oftentimes only to be brought back sharply by the commercials (capping). The Price Reports, O/H/L/C Summary and Quadrants can show asymmetries that indicate demand fall-off or enhancements. 1) O/H/L/C Summary reports low volumes at the top and bottom and a narrow trading range, indicative of little new demand. 2) Quadrants volume are relatively equal, except for the bottom one, QD 4, which is much smaller. This might indicate quick rejection at the bottom and argue for somewhat higher prices in the near term. However, the day is in balance and any tendency is questionable. It is true that in moving markets, closes tend to lie in the quadrant nearest the direction, QD 4 for down trends, QD 1 for up trends. The TPO Report helps catalog the development of the day. 1) In this case, the TPO count upper and lower deviated little throughout the day. Recall that the dividing line between upper and lower is the POC. In a balanced market the POC deviates little. If the market is moving the POC also moves and the upper/lower results tend to lose significance. Here, the imbalance, while small, does show some latent demand on the upside. 2) Total TPO's and Price ticks, as they develop, are another measure of market movement. Today, the maximum range was reached by TPO period $, very early on. So the market spent the day rotating or balancing. The pair is the raw material for the TF factor. A factor of 4.1 is relatively high, meaning the market is not facilitating trade very well. If, at period F, say, the market started moving, PRC-TKS would start increasing and the TF factor would drop. 2. Commercial Capping at the Top CBOT VOLUME REPORT LDB.UPACTION CONTRACT: MAR 97 T-BOND (CBOT) DAY TRADING DATE: 01 24 97 TRADING BEGINS 0720 (CST);CLOSES 1405;TPO SYMBOLS ARE Z$ABCDEFGHIJKLM FIRST PERIOD IS 10 MINS;SUBSEQUENT PERIODS ARE ALL 30 MINS PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*) 11021 5144 0.6 61.9 5.5 4.0 28.7 A 11020 14792 1.7 60.7 10.0 2.8 26.5 AB <== Comml 11019 18870 2.2 57.7 11.6 2.5 28.2 ZAB 11018 24750 2.9 64.7 2.8 5.8 26.8 Z$AB 11017 26416 3.1 63.5 6.4 4.0 26.1 Z$AB 11016 27500 3.2 64.7 5.2 2.4 27.7 Z$ABC 11015 31434 3.7 63.9 5.7 4.1 26.3 Z$ABC 11014 49398 5.8 67.3 5.4 5.1 22.3 Z$BC 11013 21270 2.5 54.8 8.5 4.1 32.6 Z$BC 11012 37534 4.4 61.3 7.4 4.8 26.5 $BC 11011 23372 2.7 63.6 4.5 5.6 26.3 BCD 11010 35890 4.2 60.9 6.6 3.5 29.0 BCD 11009 22878 2.7 56.1 7.3 3.5 33.1 BCDLM 11008 28954 3.4 56.5 10.0 6.3 27.3 DLM 11007 37888 4.4 61.3 6.7 3.9 28.1 DELM 11006 25458 3.0 52.4 8.3 3.4 36.0 DEILM 11005 30626 3.6 49.3 15.0 4.8 30.9 EHIJL 11004 29198 3.4 45.6 10.5 4.1 39.8 EGHIJL 11003 45294 5.3 54.8 8.0 4.9 32.4 EGHJKL 11002 55636 6.5 52.9 10.6 4.6 32.0 EFGHJKL 11001 67648 7.9 56.3 12.9 4.3 26.6 EFGHJKL 11000 71224 8.3 54.1 8.2 4.1 33.5 EFGHJKL 10931 34482 4.0 58.3 9.1 4.0 28.6 EFJK 10930 48864 5.7 55.4 7.9 4.0 32.7 EJK 10929 27894 3.3 56.7 4.6 5.3 33.4 EJ 10928 12078 1.4 52.0 5.9 3.5 38.6 EJ 10927 3682 0.4 45.6 3.1 3.0 48.4 J %CTI1 %CTI2 %CTI3 %CTI4 VOLUME FOR MAR 97 T-BOND (CBOT) DAY 858174 57.6 8.2 4.3 29.9 VOLUME FOR ALL T-BOND (CBOT) DAY 859160 57.6 8.2 4.3 30.0 70% VOLUME SUMMARY PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS 11013 616216 71.8 55.7 9.1 4.3 30.8 Z$BCDEFGHIJKLMPQR 10930 Commentary Cti2 (commercial) volumes at 11020 and 11019 are well above their daily average of 8.2 percent. Near the top, where volume is already waning, Commercial selling of 3,000 or so contracts has a large effect. We can infer that this happened late in A period (8 to 8:30 AM) because the market moved down in B period. It was a cap and had its effect as late as J period (12:30 to 1:00 PM). The capping is calculated using the method explained in Value Based Power Trading, pg 34ff.