Market Generated Data
Contents
1. Introduction
CISCO Futures
1-303 306 1521 1-800 800 7227 Fax 1-303 306 1572
Internet http//www.cisco-futures.com
Email: dljones@cisco-futures.com
New Market Analysis - Home Study Course
1. Introduction
2. Market Profile
3. Liquidity Data Bank (LDB)
4. Overlay Demand Curves
5. Trader Control Package
6. Legend of the Visual Graphic
7. Getting Visual Graphics from the internet
Market Generated Data (MGD) is the market’s transactional data organized so that price and price-over-time (or volume) are displayed. The market variables are thus price, volume and time. Price and volume are well understood; price-over-time measures value. MGD is the source of the reference points developed by the Trader Control Package. When one plots price against volume it is clear which prices are most traded, i.e. are most popular and valued.
Generally, a day’s trading will show light volume near the tops and bottoms, with the heaviest trading at the middle prices. The plot of price (vertical) against volume (horizontal) will usually describe a bell shaped curve, similar to the familiar ‘normal’ statistical distribution. One day’s trading displayed this way is called a Market Profile (tm). The similarity with the bell curve helps in conceptualizing, in understanding the profile. Adding the additional information of which of the four member types is active at each price makes a Liquidity Data Bank (LDB) report. Combining a number of days or half-hour periods is called an Overlay Demand Curve. Profiles, LDB's and Overlays are the three principal types of MGD.
Transactional data from the trading floor of the exchange is in the form of ‘ticks’. A tick is created at each price change. Trading at a given price will not generate a tick. A tick carries two pieces of information, price and time when it occurred. Throughout the trading day, there is a steady stream of ticks. The simplest way to present tick action is in a bar chart with equidistant times or in a point figure chart. Neither are ‘market generated data’ because MGD must display price, time and volume.
2. Market Profile (tm); Identifies Day Market Structure
The earliest form of market generated data is the Market Profile; essentially a half-hour bar chart of a day collapsed onto the vertical price axis, with frequency of occurrence (volume) on the horizontal. It shows that day’s market 'structure' Price is on the vertical axis, volume (frequency of occurrence) is on the horizontal axis.
A typical Market Profile is bell-shaped with low activity at the top and bottom prices and heavy activity in the middle. Market Profiles can be built in real (or delayed) time from a live ticker.
The idealized Market Profile below, with the bar chart, shows the bell shaped curve for a day with 6 half-hour trading sessions. On this day, the first half-hour, A (8 to 8:30 AM), set the range for the day. As the day wore on, trading was confined to narrower and narrower ranges. The profile shows the characteristic bell shape. Each x signifies that that price was traded at least once in the specified half-hour. An x is called a TPO (Time Price Opportunity, or That Price Occurred). No matter how many times a particular price trades in a specified half-hour period, only one TPO is recorded for the period at that price.
(In the Profile below, the price 99.31 traded at 8:05, 8:12, 8:21, 8:29 and 8:32. There were four trades or ticks, in A period and only one in B period. However, there was one TPO recorded at 99.31 in A period and one TPO in B period. Thus the Profile is merely registering that some trading occurred in a price-time period. What is important is the number of periods that price returns to a certain level' i.e. the popularity of that price. Popularity => acceptance.
Profile Half-hour bars
A
B C D E F
100:00 A x
99:31 AB x x
99.30 ABC x x x
99:29 ABCD x x x x
99:28 ABCDE x x x x
x
99:27 ABCDEF x x x x
x x
99:26 ABCDEF x x x x
x x
99:25 ABCDEF x x x x
x x
99:24 ABCDE x x x x
x
99:23 ABCD x x x x
99:22 ABC x x x
99:21 AB x x
99:20 A x
Commentary on the idealized profile
Note that the prices 100 and 99.20 traded only once (in 'A' period). These prices were not accepted by the market. The prices 99.25, 99.26 and 99.27 traded in every period. These prices were well accepted by the market. They were most popular, winners of the daily popularity contest; the center of the day's value.
On this day, the trading range continued to narrow throughout the day. The market was 'shutting down'. TPO volume was falling. Traders were leaving this pit for others where there was more opportunity. Uncertainty was high. If the pros have little interest in a market, you should have a very good reason if you want to trade there.
3. Liquidity Data Bank: Identifies Who is doing What at Which Prices
The Liquidity Data Bank (tm) (LDB) is 'market generated data' that displays actual trading volume in addition to the frequency of occurrence that marks the Market Profile. The Liquidity Data Bank further breaks down the volume-at-price by type of floor participant (Cti1 = floor traders, Cti2 = commercials, Cti3 = off floor members and Cti4 is the public). Each LDB report also includes a Market profile.
LDB data are included in the Trader Control Database. The profile for the day is used in the Overlays. Commercial activity is measured (following the techniques in the book Value Based Power Trading, starting at page 33). Volume appears on the day Market Review as one of the reference points.
You will not be called on to translate the LDB Reports into reference points in the Home Study course, that is done for you. However, the Liquidity Data Bank report is the most valuable database extant in the futures literature. You should be aware of it’s existence. There is also an hourly LDB report that lags real-time. As the clearing process continues to improve, the lag decreases. Soon, current volume-at-price data will be a reality. In the meantime, the hourly is still valuable for tracking a trade. In any case, we have the prospect of improved continuation analysis (discussed in the last months of the course) prior to the close.
The CBOT LDB Report for September 1996 T-bonds for July 25, 1996.
CBOT VOLUME REPORT TRADING
DATE: 07 25 96 SEP 96 T-BOND (CBOT) DAY
CONTRACT: TRADING BEGINS 0720 (CST); CLOSES 1405; TPO SYMBOLS ARE Z$ABCDEFGHIJKLM
FIRST PERIOD IS 10 MINS; SUBSEQUENT PERIODS ARE ALL 30 MINS
PRICE VOL
%V %C1 %C2 %C3 %C4 BRACKETS(*)
10830 944 0.2 50.4 12.7 1.5
35.4 D <== Comml action
10829 4746 0.8 54.3 3.1 6.6
36.0 DF
10828 30064 4.9 53.4 10.1 2.1
34.3 DEF
10827 25774 4.2 56.6 11.5 3.9
28.0 DEF
10826 14968 2.5 50.9 9.5 5.1
34.5 DEF
10825 18208 3.0 54.3 6.5 1.9
37.4 DEFGH
10824 23446 3.8 55.3 9.9 2.3 32.6
DFGH
10823 20260 3.3 49.4 10.3 3.8 36.6
CDFGH
10822 20716 3.4 56.1 5.3 1.7
36.9 ABCDFGH <= Public start
10821 17906 2.9 64.7 8.4 2.1
24.8 ABCDGH buying D period
10820 28984 4.8 59.9 9.2 2.6
28.4 ABCDH (note unusually
10819 29990 4.9 64.1 9.6 1.8
24.5 ABCDH high Cti4
10818 25342 4.2 60.8 9.6 2.2
27.4 ABCH volumes)
10817 31254 5.1 61.4 10.8 2.6 25.1
ABCHJ
10816 35758 5.9 60.6 9.3 2.2
27.9 ZABCHIJK
10815 28534 4.7 57.6 5.7 1.5
35.2 Z$ABHIJKLM
10814 36032 5.9 58.0 4.7 3.0
34.3 Z$ABHIJKLM
10813 35282 5.8 58.0 6.7 3.0
32.3 Z$ABIJKLM <= Close
10812 28740 4.7 60.8 9.7 3.3
26.3 Z$IJKLM
10811 27388 4.5 61.8 7.2 2.8
28.2 Z$IJKL
10810 34562 5.7 57.3 8.0 2.5
32.1 Z$IJKL
10809 34660 5.7 60.6 6.8 2.5
30.0 Z$IJKL
10808 27978 4.6 57.0 7.9 4.5
30.7 Z$IJKL
10807 16204 2.7 60.6 5.6 2.6
31.2 Z$IJL
10806 8468 1.4 54.1 6.1 0.4
39.4 ZIJL
10805 2538 0.4 54.1 10.8 0.5
34.6 ZI
10804 630 0.1 7.1 15.9
0.0 77.0 Z
%CTI1 %CTI2 %CTI3 %CTI4
VOLUME FOR SEP 96 T-BOND (CBOT) DAY 609376 58.3 8.2
2.7 30.8
VOLUME FOR ALL T-BOND (CBOT) DAY 610160 58.3
8.2 2.7 30.9
70% VOLUME
SUMMARY
PRICE VOLUME %VOL %CTI1 %CTI2 %CTI3
%CTI4 BRACKETS
10822 443126 72.7 59.8 7.9
2.6 29.7 Z$ABCDFGHIJKLM
10808
This (bold) section added by CISCO to LDB Reports
O/H/L/C SUMMARY
PRICE VOL %V %C1 %C2 %C3 %C4 BRACKETS(*)
OPEN 10804 55818 9.2 56.9 7.1 3.1 32.9 Z$IJKL
10808
HIGH 10830 944 0.2 50.4 12.7 1.5 35.4 D
LOW 10804 630 0.1 7.1 15.9 0.0 77.0 Z
CLOSE 10812 128588 21.1 58.5 6.6 2.7 32.1 Z$ABHIJKLM
10815
QUADRANTS
PRICE VOL %V %C1 %C2 %C3 %C4 BRACKETS(*)
QD 1 10830 159126 26.1 53.9 9.0 3.0 34.1 ABCDEFGH
10822
QD 2 10821 169234 27.8 61.7 9.6 2.3 26.5 ZABCDGHIJK
10816
QD 3 10815 190538 31.3 58.8 6.9 2.7 31.6 Z$ABHIJKLM
10810
QD 4 10809 90478 14.8 58.3 7.0 2.9 31.8 Z$IJKL
10804
TPO ANALYSIS FOR CURRENT DAY :
VALUE AREA FROM TPOS
UPPER 10820
LOWER 10806
CONTROL 10815
ALL Z $ A B C D E F G H I J K L M
TPO-UPR 65 0 10 8 23 26 24 32 19 22 25 25 57 57 65 65
TPO-LWR 61 0 6 12 12 16 24 24 46 47 55 69 49 57 58 61
TPO-TOT 138 13 22 32 42 50 62 66 74 79 91 103 115 124 134 138
PRC-TKS 27 13 13 19 19 20 27 27 27 27 27 27 27 27 27 27
TF-FAC 5.1 1.0 1.7 1.7 2.2 2.5 2.3 2.4 2.7 2.9 3.4 3.8 4.4 4.6 5.0 5.1
*The MARKET PROFILE is a registered trademark of the Board of Trade of the City of Chicago 1984. ALL RIGHTS RESERVED.
Reading the LDB Report
The LDB Report above illustrates a number of interesting elements of the LDB data and it’s analysis. The bulk of the volume (70%) came between 10822 and 10808. This is the value area, the region in which commercial traders (Cti2) do most of their company business.
The Initial Balance (IB), the first hour or so of trading (symbols Z, $, A (Z is 10 minutes)) is controlled by the floor traders (CTI1), seeking a balance region for two-sided trade. The IB was breached by one tick in C period (9 - 9:30 AM). In D period (9:30 to 10 AM), a run of seven ticks ($218) that ended at 10830 was driven by the public (CTI4) traders. How do we know the public was driving? Because their volume near the top (around 36%) was higher than the day's average (30.8%).
Then the commercials stepped in and buffered the market rise (heavy CTI2 selling volume at 10830, 10828 and 10827). This knocked price back down. The public came back buying in F period (10:30 to 11 AM), running price back up to 10829, and the commercials sold again, with price ultimately settling at 10813.
Altogether, we see the floor traders (CTI1) control the first hour, the public (CTI4) seize control for a time in D and F periods and the commercials (CTI2) come in to quell the public (CTI4) uprising as needed. The market started and ended the day in balance. One sees clearly that the price 10830 was rejected on low volume (and only a single TPO, Z) while prices throughout the entire value area (10822 to 10808) were well accepted, trading at each price in many periods.
LDB reports have same-day volume. LDB volume is pure volume with no spreads or out-trades. LDB's are the only source of same-day volume and are thus a rich fountain of reference points. The most important LDB reference points are incorporated into the Trader Control Database, the primary database used in New Market Analysis.
O/H/L/C SUMMARY. This table shows the distribution of trading at the high and low and around the open and close. It offers a way to estimate the strength of the market at those points. In this case, the closing range of 10812 - 10815 was in a very popular price region (9 of the day TPO's occurred there, and three of the evening trading (PQR)).
QUADRANTS. A way to estimate the upside versus downside strength of a market is via the distribution of trading, the volume, throughout the day's trading range. This day, things were pretty well balanced: the upper quadrant had 26.1% of the activity, quadrant 2 had 27.8%, quadrant 3 was 31.3% and the lowest quadrant had 14.8%.
TPO ANALYSIS FOR CURRENT DAY: The Value Area is the central 70% of the volume and is the range 10822 to 10808. A check is the Value Area calculated from 70% of the TPO's, which is 10820 to 10806. These two usually are pretty close; so the TPO method can be used during the trading day before the actual volumes are computed by the clearing house. This half-hourly Value Area from the TPO's is available during the day. In the table below the control price from the Value Area calculation, the distributions of the TPO's throughout the day, in half-hour periods are listed, along with the price-tick range and trade facilitation factor through out the day.
4. Overlay Demand Curves (tm): Identification of Market Condition
Overlay Demand Curve graphics and the Market Profile are similar, except that the Market Profile is for a single day, while the Overlays include as many days, or periods, as desired. Also, the Overlays do not identify time periods because the time frame is normally several days and individual day rotations are no longer significant in the analysis. For ease of comparison, CISCO standardized on Overlays of 5, 10, 15 and 20 days. (You can make your own Overlays of from 2 days to over 500 days on the CISCO BBS.)
The Overlay tm) derives from half-hour bars by merely summing the number of occurrences of trading at each price, over the time frame chosen (say five days). Just below is an idealized series of five days of half-hour bars for an idealized market of 1.5 trading hours per day, (where A is the first, B is second and C is the third half hour). Each x is a TPO.
Day 1 Day 2 Day 3 Day 4 Day 5
A B C A B C A
B C A B C A B C
100:00 x
99:31 x x
99:30 x x x
99:29 x x x x
99:28 x x x x
x
99:27 x x x x x x
99:26 x x x x x x
x
99:25 x x x x x x
x x
99:24 x x x x x x
x x x
99:23 x x x x x x
x x x x
99:22 x x x
x x x x x x x
99:21 x x
x x x x x
x x
99:20 x x
x x x x x x
x
99:19 x
x x x x
x x
99:18
x x x x
x x x
99:17
x x
x x x x
99:16
x
x x x x
99:15
x x x x
99:14
x x x
99:13
x x
99:12
x
A graphic like the one above, shows relative price popularity. Over the five days covered, the price 99:12 got only one vote, one TPO, while 99:16 was traded in five different half hour time periods. The market accepted 99:16 as a measure of 'fair value' five times as often as for 99:12.
If you add across the five days of half hour bars, you will get the idealized Overlay distribution shown below, termed 'TPO Volume' (see Glossary for definition of ‘TPO’).
Sample,
Idealized, Overlay Demand Curve ;
with Reference Points
TPO Volume
100:00 x
99:31 xx Tdg above the upper limit alerts
to start of up-trend
99:30 xxx <== Upper bracket limit: Breakout point.
99:29 xxxx
99:28 xxxxx <== Octant: One-eighth of bracket range.
99:27 xxxxxx
99:26 xxxxxxx (<== Quadrant: One-quarter of bracket
range.)
99:25 xxxxxxxx
99:24 xxxxxxxxx
99:23 xxxxxxxxxx
99:22 xxxxxxxxxxx (<== Middle of distribution.)
99:21 xxxxxxxxxx
99:20 xxxxxxxxx
99:19 xxxxxxxx
99:18 xxxxxxx (<== Quadrant: One-quarter of bracket
range.)
99:17 xxxxxx
99:16 xxxxx <== Octant: One-eighth of bracket range.
99:15 xxxx
99:14 xxx <== Lower bracket limit: Breakout point.
99:13 xx Tdg below the lower limit alerts
to start of down-trend
99:12 x
The Overlay Demand Curve displays the market condition. Markets can be either (1) balanced or bracketing, (2) testing the bracket for breakout, (3) trending, or (4) ending a trend. These four conditions comprise the market cycle.
A balanced condition is the starting point for understanding the market generated data; i.e. for providing the answer to 'who is doing what, where, and when they are doing it', the reference points. Note that market generated data incorporates any news that drives the market, so you have the effect of the news without the uncertainty of trying to forecast, or second guess reports.
5. Trader Control Package (TCP): A Source of Trading Reference Points
The Trader Control Database (TCP) is heavily used for New Market Analysis trading. It contains the reference points from the Overlay Demand Curve, as well as nearly two dozen more from profiles, LDB's and other market sources.
The TCP report is generated as a text based report of several pages. A compact and popular form of the TCP report is the Visual Graphic (VG). The VG contains most of the salient information of the TCP. A Visual Graphic of the balanced market of December 18, 1992, T-bonds, is below. An explanation and the reference points are listed in the Legend below the report.
Visual Graphic of Mar 1993 T-bonds December 18, 1992
6. Legend of the Visual Graphic: Column Identification
The first line of the graphic gives the contract and the date of the data.
For example U206 05/19/98 is the June (06) T-bonds (day) (U2) contract
for the trading date May 19th 1998 (05/19/98).
The Visual Graphic is in two parts: UPPER graphics and LOWER tables.
The upper part of the VG consists of 6 graphics with a common price strip on the
extreme left.
From left to right, the 6 graphics are:
(U1) Last 20 day Rotation profile 'Rotprof'
symbols a thru t represent the prices traded during each day
a=20 days ago; k=10 days ago; p=5 days ago; t=current day
this is like a market profile with each period equal to one day
(U2) '20 day Overlay'
the histogram represents the # of TPOS's at each price
dashes enclose a distribution/bracket
RotProf symbols: a = 20 days back, t = latest day
a b c d e f g h i j k l m n o p q r s t
(U3) '10 day Overlay'
the histogram represents the # of TPOS's at each price
dashes enclose a distribution/bracket
RotProf symbols: k = 10 days back, t = latest day
k l m n o p q r s t
(U4) '5 day Overlay'
the histogram represents the # of TPOS's at each price
horizontal dashes pairs enclose a distribution/bracket
RotProf symbols: p = 5 days back, t = latest day
p q r s t
All three Overlay histograms have the same horizontal scale.
Note: (Balance defn: Single distribution, close inside dist.)
A balance starts in some day as a congestion. It grows day-by-day. We
only list 5, 10, 15 and 20 day Overlays on the TCP (5, 10 and 20 on
the VG). Clearly there can be a 6 day balance or a 19 day balance, etc.
A rule: If the latest 6 days are in balance, a 10 day Overlay will
report a balance, ignoring the old four days of the previous
distribution. 15 day Overlays must have at least the latest 11 days
in balance, 20 day Overlays must have at least the latest 16 days
in balance. 5 day Overlays must have 5 days in balance. However,
you can eyeball the 5 day display to find shorter balances.
Using RotProf, you can tell exactly how many days are in balance.
(U5) Last 10 day Commercial Analysis 'cti2' for CBOT and CME only
high-low dashed vertical line bars cover the last 10 days
latest day is on right
* indicates commercial action at high and/or low
the single horizontal dashes on the vertical bars are the closes
(U6) 30 minute high-low bars for latest day '30m bars'
last period on right
(U7) Also, between the Rotation Profile and the 20 day Overlay:
Current day close 'cl'
Commercial action at current day high (if any) 'uc' for CBOT and CME only
Commercial action at current day low (if any) 'lc' for CBOT and CME only
(U8) Trading Units:
Markets are initiated by exchanges to serve a particular 'trade' or
area of commerce. Trading units selected are those in use by that trade.
While many units are decimal fractions, some are not, such as grains
which are traded in pennies and eighths per bushel. A price of 2406 for
corn means 240 and 6/8 cents for a bushel. Other exceptions are the
30 year bond in the Visual Graphic display, which trades in 32nds, 10
year notes and 5 year notes, in 64ths, and 2 year notes in 128ths.
Any questions can be resolved by visiting the exchange's Contract
Specifications.
Example: The 5 day Overlay limits are 12020 to 11930. Range in 32nds
is: 11930 - 11931 - 11200 - 11201 - 11202 ....... 112020 or 23 32nds.
Rounding off to 24 32nds, an octant is 3 32nds.
The LOWER (tabular) PART consists of 5 tables of data.
From left to right, these 5 tables are:
(L1) Below the Rotation Profile:
(L1.1 )'O' is the Open for latest and previous trading day*
(L1.2 )'H' is the High for latest and previous trading day*
(L1.3 )'L' is the Low for latest and previous trading day*
(L1.4 )'C' is the Close for latest and previous trading day*
(L1.5 )'Tf' is the Trade Facilitation Factor for latest and previous trading day*
Smaller TF implies better trade.
(L1.6 )'Vo' is the Price Tick Volatility for latest and previous trading day*
Very Low Volatility implies lack of interest
Very High Volatility implies overheating
(L1.7 )'Sf' is the Shape Factor for latest and previous trading day*
Smaller is better.
(L1.8 )'HL' for the two front months, gives the % of the current close from the 60 day low
also gives the days (in last 10 days) when new highs ('NH') or new lows ('NL')were established
* is a separator
e.g. 81* NH 3 4 means there was a new 60 day high established 3 (and 4 days) back
and close today is 81% of 60 day range (from 60 day low)
(L1.9 )'Tv' is the Total Contract Volume for latest and previous trading day*
(L1.10)'Cv' is the Commercial Contract Volume for latest and previous trading day*
(L1.11)'Pv' is the Public Contract Volume for latest and previous trading day*
(L1.12)'CUL' is the Commercial Action and Type for latest/previous trading day
First is the action at the current days high for each measure
Separating the high and low actions is a ':'
Second is the action at the current days low for each measure
Separating the current day from the previous day is a '/'
Third is the action at the previous days high for each measure
Separating the high and low actions is a ':'
Fourth is the action at the previous days low for each measure
Types: Q=quadrant measure, A=value-area measure, V=volume/price measure
For example: Q--:-A-/QAV:--- means:
Q-- commercial activity at latest days high with Q measure
: seperates activity at high from low
-A- commercial activity at latest days low with A measure
/ separates current from previous day
QAV commercial activity at previous days high with QAV measures
: seperates activity at high from low
--- NO commercial activity at previous day low
The Commercial, Public and Total Contract Volume and the Commercial Action
analysis is derived from the Liquidity Data Bank which is released
by the CBOT and CME exchanges only. It is same day cleared trading volume
and excludes spreads.
(L2) Below the 20 day Overlay is bracket/distribution info for this Overlay
(L3) " " 10 day
(L4) " " 5 day
If the Overlay IS bracketing:
'U ' is the upper limit
'UO' is the upper octant price; the number to the right is the $ gain for
a responsive short going from the octant to the center M
'UQ' is the upper quadrant price; the number to the right is the $ gain for
a responsive short going from the quadrant to the center M
'M ' is the bracket center
'LQ' is the lower quadrant price; the number to the right is the $ gain for
a responsive long going from the qudrant to the center M
'LO' is the lower octant price; the number to the right is the $ gain for
a responsive long going from the octant to the center M
'L ' is the lower limit
Below the U-UO-UQ-M-LQ-LO-L lines are the responsive trade gains (again) and
the $ risk of the responsive trades. The risk/reward ratio is 1 to 3
for the octant. The $ risk on the responsive trade is the same as the
$ risk for a breakout trade (octant is the stop).
Below is the $ gain and $ loss for the quadrant (The risk/reward ratio is 1 to 1.)
If the Overlay does NOT show bracketing:
The number of distributions is listed ('distr'; max 4 shown), with:
The Upper ('U') and Lower ('L') Prices for each distribution
(L5) Below the commercial analysis vertical dashed (if any) and 30 minute solid bars
(L5.1 )'VA U' is the Value Area high price for current and previous day*
(L5.2 )'VA C' is the Value Area center price for current and previous day (POC)*
(L5.3 )'VA L' is the Value Area low price for current and previous day*
(L5.4 )'VA R' is the Value Area range for current and previous day*
(L5.5 )'TPOT' is the # of TPO's total for current and previous day*
(L5.6 )'TPOA' is the # of TPO's above maximum TPO line for current/previous day*
(L5.7 )'TPOB' is the # of TPO's below maximum TPO line for current/previous day*
In a totally balanced market TPOA will equal TPOB
The TPO counts in a perfectly balanced market would be symmetrical, a perfect
bell shaped curve. There would be as many TPOs above the center as below.
If the market is just coming into balance the symmetry will not yet be there.
So long as the market stays in balance you would expect the TPO counts to
approach symmetry. If TPOA is greater than TPOB you would expect more trading
in the lower region to add TPOs.
For non-balanced markets, the TPO counts add little information.
(L5.8 )'Att Dir' is the attempted direction for current and previous day*
The possible values are: n for none, U for Up or D for Down. A rule of thumb for
Att Dir, after the close, measures F% (the close - POC distance) as a fraction of the day's
range. If F% is 20% or more above POC Att Dir = U, 20% below POC and Att Dir = D.
(L5.9 )'IB' is the high and low price of the Initial Balance for current day
The Initial Balance is the first two 30 minute trading periods
(L5.10)'IBR%C' is for the current trading day. It consists of:
'IBR' is the Initial Balance range
'%' is the Initial Balance range as a % of total range
'C' is Location of close relative to Initial Balance: ABV, BLO, INS
ABV when the close is above the Initial Balance
BLO when the close is below the Initial Balance
INS when the close is inside the Initial Balance
(L5.11)'RiQc' is todays Rotation Index/Quadrant of Close using last 4 and 8 days
For example: 0.67/1 .7/4 means Rotation Index for last 4 days is .67
Quadrant of Close for last 4 days is 1
Rotation Index for last 8 days is .7
Quadrant of Close for last 8 days is 4
(L5.12)'VADir' is the Value Area Direction for current day vs the previous day
The possible values are H, A, Z, L or n
'H '= higher
'A' = overlapping higher
'Z' = overlapping lower
'L' = lower
'n' = none (inside or outside)
Preferred direction is up if close above Overlay midpoint, down if below.
(L5.13)'ITDir' is the Internal Trend Direction based on RiQC for last 4 & 8 days.
The possible values are n for none, U for Up or D for Down
This is not in the text version of the TCP data- only on Visual Graphic
* The previous day data value is to the right of the '/'
1). Go to the CISCO home page http://www.cisco-futures.com
2). Go down to "'Swing Trader Package (TCP)' and click on it
3). Go down to 'End-of-Day Visual Graphics'
4). Click on "Download Data".
5). Enter
your username (e.g. 499mmm) and password (e.g. genie).
Select your first commodity from the "Select One Commodity"
box.
Click on "Send".
Click on the "Select delivery" box for the
delivery month.
Click on "Send".
Jot down your trading parameters in your trading
journal.
Print the graphic you have chosen. You may want to make
notes on it.
6). Go back
to the page with your log-in information.
Select your next commodity from the "Select One Commodity"
box.
Click on "Send".
Click on the "Select delivery" box for the delivery
month.
Click on "Send".
Jot down your trading parameters in your trading journal.
Print the graphic you have chosen.
Go through the 6). process for all futures you selected.
7). When finished, exit.
CISCO Futures
1-303 306 1521 1-800 800 7227 Fax 1-303 306 1572
Internet http//www.cisco-futures.com
Email dljones@cisco-futures.com