CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-368-9449
Market Profiles (tm) Develop Market Structure
The CISCO Comprehensive Volume* Report
Comprehensive Volume Report: Data for Trading
Market understanding is the key to successful trading.
Internet http//www.cisco-futures.com
Email dljones@cisco-futures.com
Liquidity Data Bank(LDB)(tm),
Commercial Activity and BuySell Statistics
Keywords
True volume by price, volume by member type, volume value area, commercial capping, volume distribution
over the day's price range, net BuySell for four member classes, finds who is driving a trend
*Volume in the LDB Report is actual cleared volume without spreads, etc. It is measured in 'sides' instead
of round turns. The volume numbers reported are two times the round turn volume from other sources.
Value Based Data
Market Profile
Overlay Demand Curve
Liquidity Data Bank
BuySell Data
Data Source:
CBOT Liquidity Data Bank (LDB)
CBOT BuySell Data
Purpose of the Liquidity Data Bank Report
Market Profile: A display of the PRICE - Volume and BRACKETS(*). In Section 1, below, it is the LDB Report with
the %VOL %CTI1 %CTI2 %CTI3 %CTI4 columns removed.
Auction market data (Market Profile, Meta-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. This can be
paraphrased as 'find a trend and jump on it as soon as possible, then start looking for the trend-ending
congestion and as soon as you see it, exit. LDB is a rich source of information, but possibly the most
valuable to the trader is volume. Decreasing volume goes hand-in-hand with congestion.
The Profile is the basic building block, locating the value of the session containing the activity.
Overlays give the market condition (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 "will a move
continue or end?".
Profiles are for primarily short term market interpretation, that is for analyzing a session.
In the 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 LDB
volume data showed the move to not be supported by volume.
Report Content, Sections (all CBOT)
1) Liquidity Data: Volume, Price, TPO
2) Commercial Activity, Latest 10 Days
3) BuySell Report
4) BuySell Totals, Latest 10 Days
5) Commercial Activity, Latest 10 Days
Exchanges covered: CBOT
Futures:
Int. Rates: US, U2, T2, TB, ED, F2 Indexes: DJ, MB
Grains: S, BO, SM, W, C, O Oils: none
Click here for explanation of commodity symbols
Historical data is available (BuySell from June 1996)
Click here to sign-up for LDBCBS data
Click here for a sample of a LDBCBS report
To get the Liquidity Data Bank data
On homepage, left sidebar
Scroll down to 'Data' Section (about 2/3 of the way down)
Click on 'Liquidity DataBank Data'
Scroll down to 'End-of-Day CBOT LDB/BuySell Reports...'
Click on Download Data
Scroll down to check boxes
Check on the one (s) you want
Scroll to bottom
Fill in username e.g. 322mmm & password e.g. auser
Click on 'Get Data'
*10 Days of History*
To get the Liquidity Data Bank data History
On homepage, left sidebar
Scroll down to 'Data' Section (about 2/3 of the way down)
Click on 'Liquidity DataBank Data'
Scroll down to 'End-of-Day CBOT LDB/BuySell Reports...'
Click on Download Data
*Click on 'Previous 10 days of LDB/BuySell Reports history*
Scroll down to check boxes
Check on the one (s) you want
Scroll to bottom
Fill in username 322mmm & password auser
Click on 'Get Data'
The Liquidity Data Bank (LDB and BuySell) is by far the best
information available to the Public trader. The LDB shows who is doing
what, at what price, when and how much at that price. Since time and
volume are both part of the database, it becomes easy to show that all prices
should not be weighted equally. The quickly rejected price at low volume is
of little moment to one's analysis. We readily see which prices the market
values.
Markets exist to promote (facilitate) trade. An auction market offers price
as the inducement to trade. If the price is too high, buyers stay away. If
too low, the sellers will not trade. Thus, the auction process is constantly
seeking the 'just right' price. This is called the 'fair price' because it
encourages two sided trade. It is the fair price that gets the volume. As
conditions and perceptions in the market change, so does the fair price. The
net result is a bell shaped curve that defines value.
The trader is interested in the details of the data. What can it tell that
will help one's trading? What are the measurables, the reference points?
That is the subject of the rest of this report.
LDB, Commercial & BuySell: General
LDB and BuySell data come from the CBOT clearing process. Each trade is "cleared",
by price, time and amount. Thus, these are audit reports and represent
the most exact trading information possible. CBOT is the only exchange to release
this type of data. Included in the CBOT data release is the calculation of
value area and the Market Profile graphic. Value Area starts at the price
with the highest value and is the upper and lower prices which includes 70% of
the day's total volume.
Market Profile graphic comes from first dividing the trading day into 30 minute
"mini days", identified by letters: A = 08:00 to 08:30, B = 08:30 to 09:00 and
so on. From the time of clearing of each trade, the price will fall into a letter
timeframe. Each price - timeframe pair populates that timeframe. The result is
illustrated in Section 2a. Market Profile.
..Only source of current day volume (no spreads, etc)
..Only source of volume by price
..Only source of volume by trader type
..Only source of volume Value Area
..Identifies high volume and low volume prices ==> acceptance/rejection
..Shows which member type is active at a given price
..Shows relative importance of various member types
..Permits calculation of Commercial Capping and Buffering
..Permits day-to-day measure of member types and averages
..Carries the Market Profile (volume base)
..Supports measurement of ticks with actual volume
..Lists buy and sell volumes for each class of member at each price
..Shows commercial activity at the day price extremes
..Lists buy and sell imbalances for the day
LDB, Commercial & BuySell: Trader Uses
..Finding tenor of the market from volume & its distribution
..Locating unusual activity, e.g. Commercial capping, Public driving
..Evaluation of 'important' prices, those with high volume
..Identification of high volume outside the value area
..Opening range volume (strong or weak)
..Volume in Initial Balance (as predictor of days activity)
..Deciphering details of Commercial & Public activity points
..Measurement of 'normal' behavior and 'change' behavior
..Volume measure of price acceptance or rejection
..Evaluation of trend continuation probability
..Determination of who is driving a trend
..Measure public trader conviction
..Support/resistance from commercial capping
References
Mind Over Markets, Dalton, et al, p135-162 Probus 1991
CBOT Market Profile(tm) Sec. 6, 1991 (1 800 THECBOT)
Applications of the Market Profile(tm), Index, Jones, 1988 (CISCO Research Report)
Value Based Power Trading, p34-46, Jones, Probus 1993 (Available from CISCO, 'Text' free on site)
The CISCO Comprehensive Volume Report
A Typical Medium to High Volume Day in the T-bonds
The comprehensive volume report provides the most detailed trading data available
at this time. It gives price as a function of volume and price as a function of
time. Only source of the volume data is Chicago Board of Trade (CBOT).
Section 1. Liquidity Data
CBOT VOLUME REPORT
TRADING DATE: 12 03 98
CONTRACT: MAR 99 T-BOND (CBOT) D+E+G
PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS(*)
13022 524 0.1 45.0 25.6 0.0 29.4 YZ
13021 536 0.1 47.0 36.9 0.0 16.0 YZ
13020 878 0.1 31.2 11.8 0.0 56.9 Y+Z
13019 3942 0.6 47.3 11.0 1.3 40.4 Y+ZB
13018 10552 1.7 57.2 10.2 2.3 30.3 Y+ZB
13017 9826 1.6 64.6 6.3 4.9 24.2 Y+ZAB
13016 22334 3.5 60.8 4.6 6.3 28.3 Y+ZAB
13015 21500 3.4 64.8 4.5 4.7 26.0 Y+ZAB
13014 14474 2.3 62.0 5.5 4.9 27.6 YZAB
13013 13370 2.1 66.1 3.4 3.5 27.0 YZAB
13012 11840 1.9 59.1 5.2 2.7 33.0 YZABJ
13011 18802 3.0 59.3 6.0 5.7 29.0 YZABJK
13010 31532 5.0 62.8 9.3 5.6 22.2 YZABCFJKL
13009 44036 7.0 57.2 6.5 6.3 30.0 YZABCFGJKL
13008 44548 7.0 61.4 7.2 4.9 26.5 OYZ$ABCDEFGIJKL
13007 58572 9.3 59.5 6.8 5.6 28.2 OYZ$ACDEFGHIJKLM
13006 111052 17.5 57.6 5.9 4.9 31.6 OZ$ACDEFGHIKLM
13005 70190 11.1 59.5 6.1 6.9 27.5 OZ$CDEFGHILM
13004 38620 6.1 62.1 6.5 6.4 25.0 Z$CDEFGH
13003 31460 5.0 57.1 3.4 4.6 34.9 Z$CDEGH
13002 20246 3.2 66.5 5.1 4.1 24.3 CDEH
13001 14208 2.2 58.7 7.5 3.1 30.7 CDE
13000 19086 3.0 53.8 7.0 3.9 35.3 CE
12931 11664 1.8 58.4 12.3 2.1 27.2 CE
12930 5192 0.8 56.9 4.3 5.7 33.1 CE
12929 3084 0.5 67.4 0.9 4.8 26.9 E
12928 736 0.1 53.3 1.4 0.3 45.1 E
%CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR MAR 99 T-BOND (CBOT) D+E+G 632804 59.7 6.3 5.2 28.8
VOLUME FOR ALL T-BOND (CBOT) D+E+G 647260 59.5 6.3 5.1 29.2
70% VOLUME SUMMARY
PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
13010 450256 71.2 59.6 6.3 5.6 28.5 OYZ$ABCDEFGHIJKLM
13002
O/H/L/C SUMMARY
PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
OPEN 13008 44548 7.0 61.4 7.2 4.9 26.5 OYZ$ABCDEFGIJKL
HIGH 13022 524 0.1 45.0 25.6 0.0 29.4 YZ
LOW 12928 736 0.1 53.3 1.4 0.3 45.1 E
CLOSE 13007 239814 37.9 58.6 6.2 5.6 29.6 OYZ$ACDEFGHIJKLM
13005
QUADRANTS
PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
QD 1 13022 48592 7.7 58.9 7.4 4.5 29.3 Y+ZAB
13016
QD 2 13015 155554 24.6 61.0 6.3 5.2 27.5 Y+ZABCFGJKL
13009
QD 3 13008 374688 59.2 59.6 6.0 5.5 28.9 OYZ$ABCDEFGHIJKLM
13002
QD 4 13001 53970 8.5 57.1 7.6 3.5 31.8 CDE
12928
TPO ANALYSIS FOR CURRENT DAY :
VALUE AREA FROM TPOS: UPPER = 13013, LOWER = 13002, CONTROL = 13007
*The MARKET PROFILE is a registered trademark of the Board of Trade of the City of Chicago 1984. ALL RIGHTS RESERVED.
A Liquidity Data Bank Report is in three parts: The Volume, Price and TPO.
The Volume
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. TPO's are tabulated for each price, showing the times of day that price traded. O,
Y and + are off exchange trading, Z, $, A, B,... are on exchange (7:20 - 7:30, 7:30 - 8:00, 8:00 -
8:30, etc.).
Volumes are in one-half round turns. Divide by two to compare these with volume in the newspaper.
Volumes do not include spreads; newspaper volumes do.
Highest volume at 130:06 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 TPOs ('Brackets') confirm the balance with their bell-shape.
Cti1 (floor traders), Cti2 (commercials) and Cti3 (members off floor) all tend to trade more heavily
near the center. The Public (Cti4), tend to have 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 632,804, or 316,402 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.
An end-of-day report, the LDB provides a good view of what the market has accomplished. The Market
Profile ("Brackets" on the right of the display) uses a point-of-control that is the maximum volume.
CISCO generates an intra-day Market Profile from ticks. Point-of-control for ticks is the maximum
TPO counts. In most cases the LDB and ticks Market Profiles agree. If value has changed within
the day, they may disagree markedly in point-of-control and value area.
Day Trading Support and Resistance
The Price Detail
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.
TPO Analysis
TPO's are available for all futures, LDB's only for CBOT. CISCO computes the Value Area
from the TPT's (that price ticked) to be compared with the volume Value Area above. For non-CBOT
markets, the TPO (TPT)
value area is all there is.
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
scalpers are the middlemen--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.
Section 2. Commercial Trader Activity Analysis (included in both LDB and BuySell Reports
Reference: Value Based Power Trading ("the text") is available under
"Free Stuff". See pages 33 through 38 for the mathematical
formulation.
Commercial Traders (smart money) know VALUE better than anyone else in the pits. Tracking
commercials can often give you a 'headstart' when value changes.
The Commercial Traders Volume Analysis measures unusual commercial activity outside the value
area (center 70% of volume) as compared to a 10 day average. Commercial ACTION or INACTION
outside the VALUE-AREA can be significant.
Commercials BUFFER balanced markets, pushing price back to value.
-- selling strongly if price gets too high
-- buying strongly if price gets too low
-- too high/low for Bonds is typically more than 8 ticks
Floor traders follow commercials in quickly pushing price back to value.
There are three measures of commercial activity. Each relies on finding an anomaly in a ten day
average of commercial activity inside and outside the value area in the LDB report. The details of
calculating the volume per price tick (VOL/PRICE/TIC), activity above and below the value area
(VOL/PRICE TIC) and the variation of commercial activity in the quadrants (1/4 of a day's price
range (QUADRANT) are given in the text (Value Based Power Trading) on pages 33 through 46.
Actual decision rules for implementing the measurements of the three methods are listed above
the next table down, line starting 'Commercial Activity Review...'.
CTI STUDY FOR: US 03 99
VOL/PRICE TIC VALUE AREA QUADRANT
DATE HIGH LOW CLOSE CTI V-AB V-VA V-BL %TOT %ABV %VA %BLO %QD1 %QD4
12 03 98 13022 12928 13006 2 19 100 21 6.3 1.2 4.5 0.6 9.0 10.2
12 02 98 13021 12925 13009 2 23 100 49 7.8 0.5 5.5 1.7 9.4 17.0
12 01 98 13016 12918 12929 2 56 100 15 7.0 2.2 4.8 0.1 11.9 25.3
11 30 98 13001 12812 12919 2 2 100 63 5.8 0.0 4.0 1.8 37.0 26.0 <== Mar 1999
11 27 98 12820 12812 12819 2 5 100 21 6.9 0.1 5.6 1.2 19.5 8.5 <== Dec 1998
11 25 98 12810 12724 12809 2 32 100 14 8.3 1.2 6.6 0.5 14.2 2.1
11 24 98 12806 12703 12725 2 33 100 21 6.9 1.1 4.7 1.1 15.7 1.3
11 23 98 12822 12707 12718 2 95 100 0 7.5 1.7 5.8 0.0 27.1 18.3
11 20 98 12824 12724 12808 2 17 100 22 6.0 0.1 3.9 1.9 46.3 11.1
11 19 98 12804 12717 12727 2 14 100 32 6.8 0.5 5.0 1.4 6.8 11.2
AVERAGE 2 11 100 16 3.3 0.4 2.4 0.5 19.1 9.6
Commercial Activity Review (10 days max.). Significant action is:
VOL/PRICE TIC: Values of 70 or more.
VALUE AREA: Fifty percent greater than the average.
QUADRANT: Fifty percent greater than the average.
12 03 Upper Comml Action: 13022 VALUE AREA
12 02 Lower Comml Action: 12925 VALUE AREA QUADRANT
12 01 Upper Comml Action: 13016 VALUE AREA
Lower Comml Action: 12918 QUADRANT
11 30 Upper Comml Action: 13001 QUADRANT
Lower Comml Action: 12812 VALUE AREA QUADRANT <== Mar 1999
11 27 Lower Comml Action: 12812 VALUE AREA <== Dec 1998
11 25 Upper Comml Action: 12810 VALUE AREA
11 24 Upper Comml Action: 12806 VALUE AREA
Lower Comml Action: 12703 VALUE AREA
11 23 Upper Comml Action: 12822 VOL/PRICE VALUE AREA QUADRANT
11 20 Upper Comml Action: 12824 QUADRANT
Lower Comml Action: 12724 VALUE AREA
11 19 Lower Comml Action: 12717 VALUE AREA
Commercial buffering, or capping of a market can:
1) Locate tops (resistance) 12824, 12822, 12806, 12810, 13001
2) Locate bottoms (support) 12717, 12724, 12703, 12812, 12812
for the dates 11/19 through 11/30, when the market was balancing
3) Show change in value 13016 upper, 12918 lower on 12/01
4) Show congestion, 12/01, 12/02, 12/03
5) Identify responsive trading regions, e.g. shorts above 12805 and longs above 12715
11/19 - 11/27
6) Alert to end of trend
7) Alert to change of value (say on 11/24 te upper cap came 12724
8) Give the tenor to the market--frequent capping implies balance
Commercials, like the other floor members/professionals wish to work in balanced markets.
The public wants moving, unbalanced markets. Often a commercial cap occurs when public
demand has pushed the market out of balance. If the public demand abates, the commercials
swoop in, selling the top (buying the bottom) of the faltering market. Thus, one read of
commercial capping is as a measure of the public's failing demand.
commercials
Section 2a. Market Profile
Taking the Market Profile information from the LDB report of Section 1. results
in the price, volume, TPO display below. Added for clarification are the half-
hour bars with their trading ranges.
13022 524 YZ Y Z
13021 536 YZ Y Z
13020 878 YZ Y Z
13019 3942 YZB Y Z B
13018 10552 YZB Y Z A B
13017 9826 YZAB Y Z A B
13016 22334 YZAB Y Z A B
13015 21500 YZAB Y Z A B
13014 14474 YZAB Y Z A B
13013 13370 YZAB Y Z A B
13012 11840 YZABJ Y Z A B J
13011 18802 YZABJK Y Z A B J K
13010 31532 YZABCFJKL Y Z A B C F J K L
13009 44036 YZABCFGJKL Y Z A B C F G J K L
13008 44548 YZ$ABCDEFGIJKL Y Z $ A B C D E F G I J K L
13007 58572 YZ$ACDEFGHIJKLM Y Z $ A C D E F G H I J K L M
13006 111052 Z$ACDEFGHIKLM Z S A C D E F G H I K L M
13005 70190 Z$CDEFGHILM Z S C D E F G H I L M
13004 38620 Z$CDEFGH Z S C D E F G H
13003 31460 Z$CDEGH Z S C D E G H
13002 20246 CDEH C D E H
13001 14208 CDE C D E
13000 19086 CE C E
12931 11664 CE C E
12930 5192 CE C E
12929 3084 E E
12928 736 E E
70% VOLUME SUMMARY
PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3 %CTI4 BRACKETS
13010 450256 71.2 59.6 6.3 5.6 28.5 OYZ$ABCDEFGHIJKLM
13002
The CBOT Market Profile in column 3 is seen to be the sum of the half-hour
bars collapsed into the quasi-bell shaped curve of column 3. Each TPO in
the profile of column 3 is from cleared (audit) data. This is the most exact
information anywhere and is available only on CBOT futures. A point to note:
no matter how many trades took place at a price over a 30 minute period,
only one TPO results.
The CBOT Profile Manual covers numerous uses of the Market Profile, and
information on markets that can be inferred. The shape of the profile,
defined to be a bell shaped, gaussian curve, offers certain predictive
methodologies (Steidlmayer on Markets, J.P. Steidlmayer, Wiley 1989, see
Ch 8, The Steidlmayer Theory of Markets).
Value Area, listed as 70% VOLUME SUMMARY, below the Market Profile graphic,
calculates the (volume) value range. The central, starting point for the
value area calculation is the high volume point at 13006. The central value
price is close to the maximum (TPO) activity price (13007) in this case. That
is not always the case. The Market Profile and the Value Area come from
completely different data sets: profiles from trading activity (trades
at price), value from the day's cumulative volume at price.
Section 3. The BuySell Daily Report
The Chicago Board of Trade clearing corporation releases the BuySell trading statistics along with
the Liquidity Data Bank. Whereas the LDB gives the volume at each price, broken down by the four
classes of member trading on the floor, the BuySell data recasts the same basic data into trades by
each class (number bought, number sold and net difference).
At each price the number bought must equal the number sold; however, each individual member class does
not necessarily balance out. At the end of the day there were as many bought as sold. But, again, the
individual Cti classes do not each have to net out to zero. It is the imbalances for a class and their
trajectory over time that can give information on their trading convictions.
Purpose of the BuySell Report
Auction market data (Market/Meta Profiles, 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. The 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/Meta Profiles, 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?".
Value Based Data
Market Profile
Overlay Demand Curve
Liquidity Data Bank
BuySell Data
Net Buy and Sell LDB Volumes/Brackets for US 03/99 for trading on 12/03/98
__________________________________________________________________________________________________________________________
Price Volume CTI1b CTI1s CTI1n CTI2b CTI2s CTI2n CTI3b CTI3s CTI3n CTI4b CTI4s CTI4n Half-hour Brackets
__________________________________________________________________________________________________________________________
13022 528 36 204 -168 100 34 66 0 0 0 128 26 102 YZ
13021 4010 358 829 -471 189 287 -98 0 0 0 1458 889 569 YZ
13020 16656 2841 3337 -496 1138 1338 -200 0 0 0 4349 3653 696 Y+Z
13019 26296 5664 5340 324 2812 2415 397 20 31 -11 4652 5362 -710 Y+ZB
13018 19652 4959 4443 516 1486 861 625 17 226 -209 3364 4296 -932 Y+ZB
13017 13808 4140 3486 654 595 560 35 72 409 -337 2097 2449 -352 Y+ZAB
13016 24422 7090 7297 -207 694 662 32 847 549 298 3580 3703 -123 Y+ZAB
13015 22638 7313 6987 326 257 775 -518 637 365 272 3112 3192 -80 Y+ZAB
13014 15838 4745 4674 71 364 427 -63 561 148 413 2249 2670 -421 YZAB
13013 14772 4491 4725 -234 340 119 221 315 150 165 2240 2392 -152 YZAB
13012 13940 4318 3547 771 210 405 -195 160 163 -3 2282 2855 -573 YZABJ
13011 20858 5587 6142 -555 349 785 -436 466 606 -140 4027 2896 1131 YZABJK
13010 34370 10254 10512 -258 1693 1424 269 725 1048 -323 4513 4201 312 YZABCFJKL
13009 44870 13276 12234 1042 696 2174 -1478 1278 1516 -238 7185 6511 674 YZABCFGJKL
13008 45576 14192 13395 797 1241 2021 -780 723 1467 -744 6632 5905 727 OYZ$ABCDEFGIJKL
13007 59548 15724 19436 -3712 2392 1806 586 1846 1423 423 9812 7109 2703 OYZ$ACDEFGHIJKLM
13006 111426 31731 32354 -623 4079 2615 1464 2526 2913 -387 17377 17831 -454 OZ$ACDEFGHIKLM
13005 70298 21165 20676 489 2519 1780 739 1938 2890 -952 9527 9803 -276 OZ$CDEFGHILM
13004 38620 12459 11526 933 1157 1367 -210 679 1787 -1108 5015 4630 385 Z$CDEFGH
13003 31460 8359 9594 -1235 648 432 216 606 830 -224 6117 4874 1243 Z$CDEGH
13002 20246 7510 5953 1557 238 801 -563 428 392 36 1947 2977 -1030 CDEH
13001 14208 3560 4773 -1213 656 408 248 295 149 146 2593 1774 819 CDE
13000 19086 5451 4816 635 857 470 387 189 564 -375 3046 3693 -647 CE
12931 11664 3630 3187 443 393 1036 -643 106 137 -31 1703 1472 231 CE
12930 5192 1430 1525 -95 175 50 125 100 194 -94 891 827 64 CE
12929 3084 1189 889 300 0 27 -27 62 86 -24 291 540 -249 E
12928 736 365 27 338 0 10 -10 0 2 -2 3 329 -326 E
__________________________________________________________________________________________________________________________
Grand 703802 201837 201908 -71 25278 25089 189 14596 18045 -3449 110190 106859 3331
Total
__________________________________________________________________________________________________________________________
Legend: Price = Price in trading fractions
Volume = Cleared volume for each side (divide by 2 for contract volume)
Cti = Member class: 1 = floor/scalpers, 2 = commercials, 3 = members off floor, 4 = public
b = buy side, s = sell side, n = net
Half-hour Brackets = Market Profile (tm)
Section 4. BuySell Report Totals for the last 10 days
Accepted theory is that volume shows demand. But over what timeframe? Is ten days of data enough to
show directional conviction on the part of the classes of member? First one must learn what the
members do, what are their functions. The floor traders (Cti1) act like a bank, buying from everyone
and selling to everyone. At any particular price, the floor traders will probably not buy exactly as
many as they sell (or vice versa), but by the end of the day they will come out very nearly even.
Floor traders are short-term, they lubricate the trading and they go home flat. Commercials (Cti2)
do not necessarily close out net zero if they have placed a hedge; however, the hedge is offset with
the cash and is, net zero in terms of demand. Of course, someone else must offset actual trade net
balance of the commercials. Off floor members are considered closely related to the floor members
and are expected to be primarily net zero at the end of the day.
The public traders (Cti4) may either be short-term (day traders), and hence net zero on the day, or
longer-term (swing or position traders). Longer term trading requires buying and holding (or selling
and holding). It is the holding process that creates the demand from which trends spring. If all
this is true, in an up trend the public should have a net on the buy side, in a down trend the public
should have a net on the sell side.
Net Buy-Sell Grand Totals for Last 10 trading days for US 03/99
Date Volume CTI1b CTI1s CTI1n CTI2b CTI2s CTI2n CTI3b CTI3s CTI3n CTI4b CTI4s CTI4n
12/03/98 703802 201837 201908 -71 25278 25089 189 14596 18045 -3449 110190 106859 3331
12/02/98 590388 171482 173112 -1630 26152 23122 3030 12119 16264 -4145 85441 82696 2745
12/01/98 728196 209047 206256 2791 25788 29039 -3251 17205 16320 885 112058 112483 -425
11/30/98 669038 186136 188525 -2389 18016 21287 -3271 19936 31219 -11283 110431 93488 16943
Mar 1999
Dec 1998
11/27/98 83596 21696 21103 593 2986 2811 175 4495 3664 831 12621 14220 -1599
11/25/98 244582 66782 60547 6235 9679 13196 -3517 14860 6332 8528 30970 42216 -11246
11/24/98 515202 142814 141224 1590 23067 19704 3363 10037 11227 -1190 81683 85446 -3763
11/23/98 592886 163287 164330 -1043 29618 17889 11729 11363 12777 -1414 92175 101447 -9272
11/20/98 659678 187116 185502 1614 20832 22730 -1898 14993 22450 -7457 106898 99157 7741
11/19/98 516140 144205 142694 1511 19363 20254 -891 8594 10948 -2354 85908 84174 1734
Legend: Same as for Buy-Sell report.
In the example, both the Commercial Analysis and the BuySell Totals for the last ten days include
data from two separate deliveries, December 1998 and March 1999. This was because of delivery month
rollover. The current (front month) contract for T-bonds changed from December 1998 to March 1999
at the close of November 27. The price change across the rollover is discontinuous, although the
change was not very large in this case (close on 11/27: Dec 12819, Mar 12812).
Comparing the last ten days of prices with the public net trading gives this approximate picture:
From 11/19 to 11/27 price was wandering and the public net was -16,399. From 11/30 to 12/03
price was in an uptrend and public net = 22,594. In this very short period, it does seem that
the public net is associated with a trend.
High Low Close Cti4n
12 03 98 13022 12928 13006 3331
12 02 98 13021 12925 13009 2745
12 01 98 13016 12918 12929 -425
11 30 98 13001 12812 12919 16943
11 27 98 12820 12812 12819 -1593
11 25 98 12810 12724 12809 -11246
11 24 98 12806 12703 12725 -3763
11 23 98 12822 12707 12718 -9272
11 20 98 12824 12724 12808 7741
11 19 98 12804 12717 12727 1734
If the public demand theory is correct, it has important ramifications for trade analysis.
1) If there is a trend, analysis of the public BuySell net should show it.
2) If there is no trend, the public BuySell net should be small and fluctuate around zero.
3) If there is a change from trend to no-trend (balance) the public's
cumulative net (acquired during the trend) should dissipate.
4) If the market changes to trend, the public cumulative net should begin
to grow in the direction of the trend, e.g. increase if up.
An example of using BuySell data to illustrate the above concepts, the end-of-day totals
for the public are posted for T-bonds from Septermber 29 through November 13, 1998. This
period shows an uptrend that ends on October 5, a down trend ending on October 23; then an
up-down bump from October 23 to November 6, which starts another up move. To get a sense
of the cumulative totals for the public, we have posted five day sums of the net differences.
Net Buy and Sell LDB Volumes for U S T-bonds, 12/98
Price = settlements for first & last prices, and highs & lows in between
Cti1 = Floor/scalpers, Cti2 = Commercials,
Cti3 = Off-floor members, Cti4 = Public
b = BUY, s = SELL, n = NET
Sum 5 = Five day sum of Cti4n (public)
Volume is cleared, each side is reported
(divide by 2 to get 'newspaper' volume)
************* Public traders summary only ***************
Price Volume Cti4b Cti4s Cti4n Sum 5
09/29/98 13001 517936 79113 74820 4293
09/30/98 940490 151476 145259 6217
10/01/98 1271258 184989 185279 -290
10/02/98 1072698 158256 157406 850
10/05/98 13421 1056984 160280 155919 4361 15431
10/06/98 956338 145398 147475 -2077 9061
10/07/98 1435056 218988 220750 -1762 1082
10/08/98 1306060 221912 227090 -5178 -3806
10/09/98 995676 164709 173153 -8444 -13100
10/13/98 832000 129300 118711 10589 -6872
10/14/98 772778 118916 120181 -1265 -6060
10/15/98 762898 116886 122895 -6009 -10307
10/16/98 853436 136206 131377 4829 -300
10/19/98 314838 47829 49334 -1505 6639
10/20/98 836474 135613 139710 -4097 -9047
10/21/98 404814 56823 55781 1042 -5740
10/22/98 659556 96191 96046 145 414
10/23/98 12714 585758 88914 98056 -9142 -13587
10/26/98 780374 132976 129618 3358 -8694
10/27/98 656238 105788 103736 2052 -2545
10/28/98 503186 76809 70513 6296 2709
10/29/98 12926 490326 76741 73697 3044 5608
10/30/98 724852 110193 116374 -6181 8569
11/02/98 615892 98414 100828 -2414 2797
11/03/98 570876 85925 81764 4161 4906
11/04/98 771868 120229 120538 -309 -1699
11/05/98 1015658 171399 165907 5492 749
11/06/98 12519 854022 150705 152850 -2145 4785
11/09/98 703060 121802 113321 8481 15680
11/10/98 628832 95565 96786 -1221 10298
11/12/98 617855 102026 97890 4136 14743
11/13/98 12724 582784 94142 93044 1098 10344
The Public: Using the BuySell data to interpret the public's convictions.
Market trends are usually caused by the 'Public' trader maintaining an un-balanced portfolio (net
long or short, as the public sees the market). If the public has no net opinion (some long, some
short) their net trading over a few days will be near zero. Otherwise, one expects the public to
be net long in up trends and net short in down trends.
From the data, a peak on 10/05 at 13421 is followed by a null on 10/23 at 12714. During
the downtrend 10/05 to 10/23, the public quickly turned negative and remained so until
just past the bottom. Within this period there were some net buying days, but the bulk
of the action as shown by the 5 day averages, is down. Indeed, the public showed
conviction throughout the period.
It is a different story for the weak cycle 10/26 through 11/06. Here, the public were
basically buyers all the way. After the bottom on 11/06, public long side accumulation
strengthened. So, it is apparent that the public was not swayed by the cycle.
Using the BuySell Data
BuySell statistics provide another strong reference point for the trend trader. Since
it is normally the public that moves markets (creates trends), the trend trader must
remain aware of the net public stance.
Day traders use the BuySell data to sense the trend prospects just as the swing/trend
trader. But, the day trader is also quite interested in the stance of floor members
(are they significantly unbalanced, indicating potential short covering/long liquidation)
as well as the balance situation of both the commercials and off-floor members.
BuySell information is used to find market directionality in the report
Trading Model Development. (See the section 'Trading Plan Case Study: A Second Chance'.)