37 Years of Excellence in Auction Market Research
CISCO Futures
Pause Alert(tm) Background (30 Min CMaPS Data)
Value Trading in the Day Timeframe
Where is the Market Going?
February 2009
Copyright CISCO 2008
A daytrader's question is 'Where is the market going?'. A more basic and meaningful first question should be:
"can I find value?". That is, is the market running or pausing? If the market is moving you cannot find value
(it is changing at an uneven rate). In this case, the old saying "never chase a market" is as valid as ever.
Fortunately for daytraders very short term pauses (Pause Alerts) occur several times per day in most markets. So,
wait a bit, a trading opportunity will be along shortly.
If it is in a pause (congestion) the market is currently not going
anywhere, it is just rotating between limits. It will be 'going' when it breaks out of
the congestion. You will know when that happens and you will know where because you know the upper
and lower limits of the congestion (resistance and support). These measures are objective, calculated
from valid market principles that tell you 'where you are'. In a balancing market you can now address
the second question: Where is the market going? This is more subjective, but can be estimated
from 'market flow'. Flow is the directional movement of market descriptors over the last few days, such as
the modified point of control (maximum TPO price), total TPOs, price range, etc. Flow analysis is more subjective,
since it involves your interpretation of a graphic of the market descriptors.
So now one way to make a trade set-up can be: 1) pre-market: locate a market(s) in balance (using Visual Graphic or Advice Engine or Marquee
or End_of_Day Bracket Screen). 2) Use CMaPS Meta-Profile (with Pause Alert) to locate the Pause Alerts on the 30 minute
Tick Bars. 3) Use your knowledge of the Limits of the Overlays to place the current mini-balance (Pause Alert) within the
larger balance (5 and 10) days.
An alternate way to make a trade set-up uses CMaPS and Pause Alert with Trading Data. Steps 1) and 2) are similar, but
step 3) uses the Trading Data display to find flow. Here there are three graphics with data from 10, 7, 5 and 3 day
balances, plus the latest 3 days. The graphics show the flow of: a) point of control and
The CISCO Pause Alert, intra-day pauses, is identified by a green region in the CMaPS half-hour bars.
When the pause is broken and a run begins, the trader with that information has
an edge over the vast majority of the trading public. While no one knows when a run will end,
a breakout from Pause Alert shows where the market is directed at the beginning of the move. So
Pause Alert can answer 'Where is the market going?' when the breakout occurs.
CISCO has long studied and reported on the run-pause nature of auction markets. Run-pause timeframes
are as diverse as e.g., years (Elliot Wave), months/weeks (Overlay Demand Curve) down to a single
day (Profile). A Pause Alert(tm), PA, occurs within a trading day when three or more
TPO periods overlap. This mini-congestion comprises a common price range over an hour and
one-half or longer. The utility of a Pause Alert in an active market is that
it offers a trader information points for very short timeframe (intra-day) trading decisions.
A PA shows up on a CISCO Meta-Profile (CMaPS) display in the 30 Minute Tick Bars columns as a block
of three or more TPOs colored green. Critical to the Pause Alert analysis is the use of uncompressed
data (all traded prices must be included).
Day timeframe trading with the 3, 5, 10, 20 day Overlays uses the balance limits to define the market
(trend trading of breakouts; responsive trading inside the balance). Pause Alert works the same way on a much
shorter time scale (three TPOs or 1.5 hours). The short timeframes tend to offer
more breakout than responsive opportunities. In the very short timeframes of the Pause Alert,
liquidity is vital (a few ticks per minute are required).
CISCO's early studies of pauses and the Pause Alert are in the links below.
Meta_Profile and Overlay for Day Trading
May 2005
Markets do NOT Turn on a Dime
Jun 2005
Auction Market Value Theory
Nov 2005
The Run Pause Profile (tm)
Dec 2006
Auction Markets are Complex Structures
In an accounting spreadsheet you can be sure the credits and debits balance, no matter
how you break them down. Accounting of this sort is a 'closed' system.
An auction market is complex, an 'open' system. For instance, the trading path of a recent price change
may have been entirely different from the path of an equivalent price change earlier.
The complexity of the auction market ensures that we cannot predict
the path to a future price. Successful trading is a result of going with the market, whatever the time frame.
Our goal is to determine how the market is working, its condition (pause or run) and to use
that information to develop a 'go with' trading strategy.
We know that markets run (trend) and pause (congest). A pause will most surely be followed
by a breakout. A breakout (run) will be followed by a congestion.
Recognizing and defining a pause positions us to recognize the change from pause to run.
We also know that markets take some time to make up their minds and the Pause Alert is a identifiable
period that is long enough for the market's short timeframe beliefs to coalesce.
A Pause Alert is well defined (latest three completed, contiguous TPOs) and regularly observed
on the CMaPS meta-profile display (30 Minute Tick Bars, outlined in green).
Those green bars display the temporary balances that come from the times when
the market consensus is neither up nor down.
The Pause Alert Application
finds the pause and often projects
the direction of the breakout, while also estimating the risk.
This is all that is needed for a trade set-up based on market condition.
In contrast to the multi-day balances, a Pause Alert has an extremely high
probability of breaking out within the next 30 minute TPO period (or before!,
see paragraph on 'Anticipation'). Understanding this market structure gives
a trader that much sought after 'edge'.
Balance (pause) offers us the upper and lower limits of a congestion.
While we cannot predict when a market will act, a breakout from the balance
defines a change in market condition (from pause to run), the direction
at that point. After breakout, we cannot know
how far the run will go, but the internal market dynamics, for instance the
volatility, permits us to estimate an average excursion. This
allows us to set risk and target parameters. With breakout locations (limits)
identified and risk parameters calculated, the trader has the data needed
for a trade set-up.
Getting Pause Alert Data
On the CISCO Main Page, Under the Flag
..Data
....Intra-Day Data
......Intra-Day Data
........CMaPS Meta-Profile with Pause Alert Trading Data
There are links to a Sample, a Background Report and to Download Data
On the Download Data page find links for Ticker Symbols and Delivery Months
Start is the beginning time for your profile, say, 07:00.
Stop is the latest time you want, maybe end of day, 24:00
To get a Pause Alert (if it exists) for the TPO E period (ends at 10:30) you would input a Stop time of
10:31, early into the beginning of F period. Remember, a Pause Alert consists of three complete
TPO periods, outlined in green on the CMaPS Pause Alert display (in 30 Minute Bars).
Pause Alert Data
In the Pause Alert Application we examine the market behavior in
the neighborhood of the alert, at least within the next half hour or so. The PA
Data Table contains:
1) Location of the PA & it's range, the limits (from CMaPS)
2) Near term flow direction of the market
3) Projected direction of breakout from the Pause
4) Estimated risk based on current volatility
5) A first order target, related to the risk
6) Location of Pause Alert structure relative to the current day profile value area
7) Location of PA relative to the longer 5 day balance, if one exists
Pause Alert Data Trading Information
1) Location of the Pause Alert and its Range. The Primary Variable.
These prices identify the pause. The pause may be a single price and
very transitory, or much wider. There is generally more decision
time for the wider ranges. Depending on where the PA's latest price
comes, the action time for a trading decision is normally limited to the
three minutes at the end of the balance (3 TPO) period and/or the start
of the next TPO period. That is, you have three minutes after the end of
a TPO period to obtain the Pause Alert Data Table. After that the next TPO
becomes curremt and stays so for the next 27 minutes.
In the case of a price movement outside the PA
range during the third TPO, one must trade before the PA is
completed (see the paragraph on Anticipation, below.)
2) Short Term Flow Direction. A Secondary Variable.
Intra-day trading is a search for value in the short time frame . Especially
in very active markets flow direction changes several times through
a day. CISCO has developed a short term market analysis tool for measuring
intra-day congestion in the Advice Engine Package and also in Value Analytics.
The concepts used in that tool are employed in the PA work here.
The Run Pause Profile (tm)
3) Projected Breakout Direction. A Secondary Variable.
When the market is in a Pause Alert it is exhibiting a balance that
will surely be broken within a short time. If price ends within the
pause region, the location of the latest price in the TPO period ican be
a predictor on the basis of continuity. For instance, if price came into
the Pause from above and the period ends with price still in the pause
region, chances are the breakout will be on the down side.
4) Estimated Risk. A Secondary Variable.
Risk acceptance is very much in the mind of the individual trader. Those going for bigger
profits accept more risk. Here, we typically view the trading risk as a function
of the market range, based on the Meta-Profile within which the Pause Alert develops.
5) Target. A Tertiary Variable.
A target is a useful tool, whether used as a hard exit or as a 'reconsider
the trade point'. A typical Target will be in the region of
twice the Estimated Risk.
6) Location of PA Relative to the Day's Value Area, A Possible Primary Variable.
In case the Pause has exceeded the current value area (either the long
side or the short side) the market may be signalling the start of a
trend. Consequently, a short timeframe trader may have an opportunity
to turn a modest gain into a much larger one by staying with the trend.
7) Location of PA Relative to the Longer Term Balance, A Possible Primary Variable.
As with the value area in 6), when price exceeds the upper or lower limit
of an Overlay this can be a much stronger signal of directionality. This can
be the signal for a major change of market condition.
Pause Alert and Profile Zero Filling
Zero filling is the addition of TPOs in gaps. In weakly traded markets there are often
time and price gaps from tick to tick. The assumption is that a gap is due to lack
of activity and would have been filled in had the market been more active. The profile
thus has continuity. In CMaPS we post the activity along with the TPOs. Zero filling
in very weakly traded markets may show the appearance of Pause Alerts when in fact
there was inadequate trading (less than a tick per minute) to make a valid profile.
A trader should pay attention to the tick count in a market being considered for
trading. CMaPS has a 'Tick Count' column for this purpose.
Gaps in heavily traded markets usually occur overnight or in periods of no trading
as at the end of day. Zero filling is usually not done. Markets with excessive gapping
are markets to avoid.
Pause Alert and Profile Compression
One of the drawbacks of Profile analysis is the often very long
length of a profile. Most profile services automatically compress
the profile (removing prices) to get a display that will fit
comfortably on a screen. In many cases and especially in
active markets such as the indexes, compression will usually delete vital trading data.
For instance, the emini SP market of December 5, 2008 had a range
of 87950 to 81700 or 250 prices (06:00 to 15:15). The Pause Alert in
periods LMN (13:30 - 14:30) had a range of 7 prices. A normal compression
of about 5, cutting the display down to 50 lines, would remove most
of the LMN Pause Alert. A Pause Alert of
four prices (not unusual) could have been made completely invisible.
In such a case price compression would entirely remove the Pause Alert
area, the
most important
part of the trading data. Such data manipulations are a high price to pay for convenience.
Compression creates another drawback for trading a Pause Alert. The visual
of an uncompressed PA might be quite long, say 24 prices. This can signal
a responsive trading opportunity. Uncompressed, the CMaPS display shows an obvious
long balance region. The same display compressed by 5 shows only 3 green
prices. The short length obscures the opportunity. The trader can multiply
by 5, getting 20 for a length. But still, the decompression does not show
the starting and ending prices, information vital to the responsive trader.
(With a 24 price range an, octant (the starting point for risk estimation)
is 3 prices. Since the compression caused uncertainty can be 4 prices, the
compression has doubled the risk.)
There are
other serious problems with compression that will not be addressed here. The principle,
however, is clear. Anytime you are dealing with a complex set of data as is always the
case with auction markets, you must be the one who determines which data can
safely be eliminated. A faceless, unknown programmer with a primary goal of
an attractive display is liable to be of poor service to you.
Anticipation
A Pause Alert, by definition, comprises a minimum of three complete TPO's. During the third
TPO, as trading is filling in the third column and the proto-green region
is building on CMaPS (the green comes only after the end of the third TPO), an observer
(trader) can often anticipate the location of the developing Pause Alert.
In the simplest case the last price of the third TPO lies within the
expected PA range. Then one has a balance that will be broken by later
market movement, typically in the next TPO period. No anticipation is required.
Anticipation is useful in the case of market movement within the proto-PA
region that continues beyond the nominal PA balance area. In a sense
the PA balance was completed before the end of the third TPO
period. Imagine that the trader is posting a CMaPS display of a developing PA every ten
minutes. There is an area of price commonality with the two previous TPOs and
the latest (partial) TPO.
The current TPO is now trading in the same price region. At the end
of the third TPO period there is going to be a PA displayed on CMaPS.
This PA is limited by the common, shared prices of TPOs #1 and #2. TPO #3
might end up being shorter (the simplest case), and no anticipation is needed.
However, by the time the PA is confirmed (end of that third TPO period),
price may be far from the
balance area. The breakout occurred before the PA completed.
In such a case the trader can estimate approximately where the PA is going
to appear and trades the breakout as it occurs within the third
TPO timeframe. This procedure carries additional risk, since the
price may breakout and then return; all in the last TPO. The potential gain
of anticipation are those sometimes long runs that come out of a PA.
Tracking the Third TPO with the 15 Minute Bars
Tracking in the third TPO period can be aided by the half-sized (15 minute)
TPOs available on CMaPS (Profile Type button on the menu). While it is
human nature to want to watch the action as it develops (tick by tick),
tracking on a too short timeframe (less than 10 minutes) is self-defeating. The
average time for a market to respond to stimulus is at least 5 minutes
and 30 minutes (TPO time period) generally gives a more consistent picture. So,
ten minutes is a reasonable minimum update. Updating a profile on
less than a 10 minute time base risks trading on noise.
The Pause Alert Table
Pause Alerts (PA) require three completed TPOs. As soon as the, say, 9:30 AM
TPO (D) is completed at 10:00, the 10:30 TPO (E) starts building. There is a window
from 10:00 to 10:03 where the Pause Alert Data Table for the three periods
08:30 to 09:00, 09:00 to 09:30 and 09:30 to 10:00 can be listed.
Time Frames on the Pause Alert Table
...The Pause Alert High and Low
This is the shortest timeframe and may require immediate action. The
'Near Term Direction' refers to this timeframe.
...The Current Profile Value Area and Point of Control
This timeframe is for the entire day so far. It gives the envelope within
which the Pause Alerts are occurring. The usefullness of the profile grows
as time passes since a two hour profile, say, does not have enough data
to to be a very good measure of the market's intentions. Later in the day
the value area may become a useful marker for the equilibrium region.
...The 5 Day Overlay Limits and Octant Risks
The 5 Day Overlay, if it exists, defines a responsive trading region
between the upper and lower limits. Location of the Pause Alert can be
significant. For instance, a PA above the 5 Day Upper Limit, as the case in the
table below, is in a bullish environment.
Use of the Data, an Example
The variables in the table are identified as being from the Pause Alert
(<--->), the day's profile (VA) and the 5 day balance from Advice Engine (AE). Markets
may have many configurations and the identifiers help you unravel what is happening
on the various timeframes.
This discussion uses the Pause Alert from the Sample:
Pause Alert: Sample1
This is a CMaPS display of BPH at about 11:06 on Jan 8, 2009. The Pause Alert
includes periods CDEF (09:00 thru 11:00). The next period, G, is still trading
within the PA. So this PA ended in balance. Standard Run-Pause theory gives us
an upper limit at 15183 and a lower limit at 15149. The initiative trader will
see prices above 15183 as an upside breakout, prices below 15149 is a downside
breakout. Volatility (92.2 from the Meta-Profile Reference Points table) gives
a measure of risk. A short term risk will be less than the volatility by a factor
of maybe 2 to 5 depending on the situation and the trader's attitude toward risk.
If we pick a risk factor of 3, that comes to 30 points (about $195 for the BP).
The closer the trader is to being a scalper (seeking a few ticks profit) the
smaller the risk accepted.
The situation at the end of F period (10:59) is a Pause Alert Balance from
15183 to 15149. G period saw a dip to 15143 (only 6 points), closing back in
the original CDEF Pause alert. So, a trader can figure that the original
CDEF balance is still intact going into H period (11:30 - 11:59). H breaks out
on the upside (15183) and runs to 15213 at 11:56. This was a breakout with a
30 point potential.
The responsive trader could also find opportunity based on the CDEF Pause.
Again, G period hovered around the CDEF low. H period started near the middle
of the CDEF range and ran up to 15213. As it fell through the upper limit
of the CDEF range it became a responsive opportunity. The move bottomed out
at 15167, 16 points of responsive opportunity.
It might be asked, what are we doing using CDEF Pause Alert data in periods
later than the next one after the alert (G in this case)? Remember that
markets in flow, have directionality, that directionality comes from from a
change in perception of value by the market itself. A Pause Alert is just
what it is called, an alert. As with the longer timeframes (3 days or more),
the existence of a balance is no guarantee of an immediate breakout. Or, that
a breakout will not immediately run out of gas. Rather, balance limits locate
for you the price area in which a market condition change can be detected.
If we are in a rotational flow, then responsive trading is indicated. In this
situation, prices are hanging around the CDEF alert area and hence we can
treat later market behavior as still congesting.
* Pause Alert Data Table(s) are not available for 'CMaPS and Pause Alert (test)'.
Putting things in perspective is the job of the Pause Alert Data Table. There
are several reference points that can help identify a market situation. Most
important is the Pause Alert High, Low and Last Price. Next is the Five Day
balance data from Advice Engine (if there is one). Lastly, the current day
Meta-Profile data (value area and point of control).
The combination of these reference points aids in the determination of the
market conditon.
In the table below:
... Pause High and Low are inside the Value Area (stability).
... There is no 5 day balance (no message)
... Price Bar Direction is down (next period only)
... Near Term Direction is down (next period only)
... Estimated Risk is approximately half the volatility
... Estimated Target is approximately equal to the volatility
... Price Direction is down (about two periods out)
Pause Alert Data Table
SYM BP
DELCHAR H
DATE 20090108
TIME 11:01
Day Value Area High 15275 VA
Point of Control 15229 VA
Pause High 15171
Last Tick in Bar 3 15156
Pause Low 15156
Day Value Area Low 15107 VA
5 Day Bal Upper Limit 0 AE
Lower Limit Octant Risk 0 AE
5 Day Bal Lower Limit 0 AE
Upper Limit Octant Risk 0 AE
Price Bar Dir: (U, D, N) D
Near Term Dir: (U, D, N) D
Estimated Risk 46
Estimated Target 92
Price Direction DN
Pause Alert Data Tables
There are obviously many configurations of Pause Alert Data Tables, one for each
major type of market conditon. In general there are three types of structures; where
the Pause Alert is in the upper range of the reference points, where it in the
middle and where it is in the lower price ranges. An Alert in the higher ranges
would lean more toward long side breakouts. In the middle, the chances for
responsive are better. An alert in the lower price region would guide toward
downside breakouts.
The Sample data in the table above was chosen on an ad hoc basis: This day, Jan 8,
was the first day the program was placed on the web. We knew BP had plenty of volume
(at least several ticks per minute). So we were just like a trader, pulling up
an unknown data set. A downside is that there is no longer term balance data to
use in Pause Alert analysis.
In the table below,
first note that the Pause Alert at 10 AM is above the longer term 5 day
balance and above/within the day's profile. This is bullish. The Near Term Direction
(last few minutes) is down. The longer Price Bar Direction is down. This market is in
bullish territory. The odds are on the upside, with the shorter term measures pointing
down. An upside breakout is at 14949+. The latest price, 14901 is well below the Pause
Low (14923). So the signals are mixed and many models would not trade this PA.
A look at the rest of the day shows some potential on the upside, a continuation of
the breakout evidenced by the Pause High and Pause Low above the Upper Limit of the
5 Day balance. High was 15062 around 11:50.
Pause Alert Data Table
SYM BP
DELCHAR Z
DATE 20081211
TIME 10:01
Pause High <---------> 14949
Day Value Area High 14941 VA
Point of Control 14933 VA
Pause Low <---------> 14923
Last Tick in Bar 3 <---> 14901
Day Value Area Low 14891 VA
5 Day Bal Upper Limit 14880 AE
Upper Limit Octant Risk 14837 AE
Lower Limit Octant Risk 14583 AE
5 Day Bal Lower Limit 14540 AE
Price Bar Direction (U, D, N) D
Near Term Direction (U, D, N) D
Estimated Risk 22
Estimated Target 45
Legend
Top four lines: Identification of the delivery, date and time.
Current Pause Alert Information
...Pause High with ID <--------->
...Pause Low with ID <--------->
...Last Tick with ID <--->
...Value Area High with ID VA
...Value Area POC with ID VA
...Value Area Low with ID VA
...5 Day Bal Upper Limit with ID AE
...5 Day Bal Upper Limit Risk with ID AE
...5 Day Bal Lower Limit Risk with ID AE
...5 Day Bal Lower Limit with ID AE
...Estimated Risk in Trading Points
...Estimated Target in Trading Points
CMaPS: BPZ 20081211
Commodity: BPZ - BR POUND (CME-IMM)
Trading Date: 20081211
Start Time: 07:00
Stop Time: 15:30
Profile Type: 30 minute
CISCO Meta-Profile
------------------------------------------------- Pause Alert Table
V Tick 30 minute PA Price RANGE
Price TPOs A Count Tick Bars
------------------------------------------------- **** Green on CMAPS ******
15086 H 1 H Z$A 14920 - 14891 29
15085 HI 1 HI $AB 14933 - 14891 42
15084 HI 2 HI ABC 14933 - 14916 17
15083 HI 2 HI BCD
15082 HI 2 HI CDE 14960 - 14923 37
15081 HI 4 HI DEF 14960 - 14923 37
15080 HI 10 HI EFG 14960 - 14949 11
15079 HI 10 HI FGH 14996 - 14984 12
15078 HI 11 HI GHI
15077 HI 17 HI HIJ 15055 - 15018 37
15076 HI 19 HI IJK 15055 - 15018 37
15075 HI 15 HI JKL 15029 - 15018 11
15074 HI 9 HI LMN
15073 HI 16 HI MNO 15013 - 15000 13
15072 HI 8 HI **** Green on CMAPS ******
15071 HI 6 HI
15070 HI 6 HI
15069 HI 6 HI
15068 HI 6 HI
15067 HI 11 HI
15066 HI 7 HI
15065 HI 8 HI
15064 HI 6 HI
15063 HI 9 HI
15062 HI 8 HI
15061 HI 3 HI
15060 HI 4 HI
15059 HI 4 HI
15058 HI 3 HI
15057 HI 2 HI
15056 HI 4 HI
15055 HIJK 4 HIJK
15054 HIJK 4 HIJK
15053 HIJK 4 HIJK
15052 HIJK 6 HIJK
15051 HIJK 7 HIJK
15050 HIJK 9 HIJK
15049 HIJK 7 HIJK
15048 HIJK 10 HIJK
15047 HIJK 4 HIJK
15046 HIJK 8 HIJK
15045 HIJK 5 HIJK
15044 HIJK 8 HIJK
15043 HIJK 6 HIJK
15042 HIJK 9 HIJK
15041 HIJK 9 HIJK
15040 HIJK 12 HIJK
15039 HIJK 13 HIJK
15038 HIJK 8 HIJK
15037 HIJK 13 HIJK
15036 HIJK 10 HIJK
15035 HIJK 10 HIJK
15034 HIJK 14 HIJK
15033 HIJK 9 HIJK
15032 HIJK 11 HIJK
15031 HIJK 10 HIJK
15030 HIJK 11 HIJK
15029 HIJKL 12 HIJKL
15028 HIJKL 19 HIJKL
15027 HIJKLO 13 HIJKL O
15026 HIJKLO 18 HIJKL O
15025 HIJKLO 16 HIJKL O
15024 HIJKLO 26 HIJKL O
15023 HIJKLO 26 HIJKL O
15022 HIJKLO 20 HIJKL O
15021 HIJKLO 15 HIJKL O
15020 HIJKLO 13 HIJKL O
15019 HIJKLO 15 HIJKL O
15018 HIJKLO 15 HIJKL O
15017 HILMO 9 HI LM O
15016 HILMO 9 HI LM O
15015 HLMO* 11 H LM O L
15014 HLMO 8 H LM O
15013 HLMNO | 12 H LMNO
15012 HLMNO | 8 H LMNO
15011 HLMNO | 8 H LMNO
15010 HLMNO | 10 H LMNO
15009 HLMNO | 13 H LMNO
15008 HLMNO | 13 H LMNO
15007 HLMNO | 13 H LMNO F
15006 HLMNO | 16 H LMNO
15005 HLMNO | 4 H LMNO
15004 HLMNO | 6 H LMNO
15003 HLMNO | 13 H LMNO
15002 HLMNO | 13 H LMNO
15001 HLMNO | 22 H LMNO
15000 HLMNO | 26 H LMNO
14999 HLMN | 25 H LMN
14998 FHLMN | 31 F H LMN
14997 FHLMN | 21 F H LMN
14996 FGHLMN | 24 FGH LMN
14995 FGHLMN | 16 FGH LMN
14994 FGHLMN | 22 FGH LMN
14993 FGHLMN | 19 FGH LMN
14992 FGHLMN | 21 FGH LMN
14991 FGHLMN | 21 FGH LMN
14990 FGHLMN | 23 FGH LMN
14989 FGHLMN | 31 FGH LMN
14988 FGHLMN | 23 FGH LMN
14987 FGHLMN | 21 FGH LMN
14986 FGHLMN | 20 FGH LMN
14985 FGHLMN | 19 FGH LMN
14984 FGHLMN | 12 FGH LMN
14983 FGLM | 13 FG LM
14982 FGLM | 18 FG LM
14981 FGLM | 12 FG LM
14980 FGLM | 15 FG LM
14979 FGLM | 12 FG LM
14978 FGLM | 9 FG LM
14977 FGLM | 16 FG LM
14976 FGLM | 9 FG LM
14975 FGLM | 18 FG LM
14974 FGLM | 11 FG LM
14973 CFGLM | 8 C FG LM
14972 CFGLM | 17 C FG LM
14971 CFGLM | 20 C FG LM
14970 CFGLM | 27 C FG LM
14969 CFGLM | 23 C FG LM
14968 CFGL | 13 C FG L
14967 CFGL | 19 C FG L
14966 CFGL | 18 C FG L
14965 CFGL | 19 C FG L
14964 CFGL | 18 C FG L
14963 CFGL | 20 C FG L
14962 CDFGL | 24 CD FG L
14961 CDFGL | 27 CD FG L
14960 CDEFG | 30 CDEFG
14959 CDEFG | 27 CDEFG
14958 CDEFG | 18 CDEFG
14957 CDEFG | 20 CDEFG
14956 CDEFG | 20 CDEFG
14955 CDEFG | 26 CDEFG
14954 CDEFG | 29 CDEFG
14953 CDEFG | 19 CDEFG
14952 CDEFG | 23 CDEFG
14951 CDEFG | 21 CDEFG
14950 CDEFG | 16 CDEFG
14949 BCDEFG | 13 BCDEFG
14948 BCDEF | 18 BCDEF
14947 BCDEF | 16 BCDEF
14946 BCDEF | 18 BCDEF
14945 BCDEF | 15 BCDEF
14944 BCDEF | 23 BCDEF
14943 $BCDEF | 21 $ BCDEF
14942 $BCDEF | 17 $ BCDEF
14941 $BCDEF | 21 $ BCDEF
14940 $BCDEF | 18 $ BCDEF
14939 $BCDEF | 23 $ BCDEF
14938 $BCDEF | 27 $ BCDEF
14937 $BCDEF | 33 $ BCDEF
14936 $BCDEF | 32 $ BCDEF
14935 $BCDEF | 33 $ BCDEF
14934 $BCDEF | 24 $ BCDEF
14933 $ABCDEF > 26 $ABCDEF
14932 $ABCDEF | 25 $ABCDEF
14931 $ABCDEF | 32 $ABCDEF
14930 $ABCDEF | 33 $ABCDEF
14929 $ABCDEF | 35 $ABCDEF
14928 $ABCDEF | 38 $ABCDEF
14927 $ABCDEF | 30 $ABCDEF
14926 $ABCDEF | 52 $ABCDEF
14925 $ABCDEF | 52 $ABCDEF
14924 $ABCDEF | 40 $ABCDEF
14923 $ABCDEF | 34 $ABCDEF
14922 $ABCEF | 28 $ABC EF
14921 $ABCEF | 22 $ABC EF
14920 Z$ABCF | 20 Z$ABC F
14919 Z$ABCF | 21 Z$ABC F
14918 Z$ABCF | 28 Z$ABC F
14917 Z$ABCF | 36 Z$ABC F
14916 Z$ABCF | 35 Z$ABC F
14915 Z$ABF | 40 Z$AB F
14914 Z$ABF | 37 Z$AB F
14913 Z$ABF | 33 Z$AB F
14912 *Z$ABF | 22 Z$AB F
14911 Z$ABF | 31 Z$AB F
14910 Z$ABF | 22 Z$AB F
14909 Z$ABF | 14 Z$AB F
14908 Z$ABF | 17 Z$AB F
14907 Z$ABF | 14 Z$AB F
14906 Z$ABF | 12 Z$AB F
14905 Z$ABF | 18 Z$AB F
14904 Z$ABF | 13 Z$AB F
14903 Z$ABF | 17 Z$AB F
14902 Z$ABF | 13 Z$AB F
14901 Z$ABF | 15 Z$AB F
14900 Z$ABF | 19 Z$AB F
14899 Z$ABF | 18 Z$AB F
14898 Z$ABF | 16 Z$AB F
14897 Z$ABF | 11 Z$AB F
14896 Z$ABF | 12 Z$AB F
14895 Z$ABF | 20 Z$AB F
14894 Z$ABF | 22 Z$AB F
14893 Z$ABF | 12 Z$AB F
14892 Z$ABF | 11 Z$AB F
14891 Z$ABF | 13 Z$AB F
14890 ZABF | 11 Z AB F
14889 ZABF | 10 Z AB F
14888 ZABF | 17 Z AB F
14887 ZAB | 19 Z AB
14886 ZAB 11 Z AB
14885 ZAB 12 Z AB
14884 ZAB 10 Z AB
14883 ZAB 10 Z AB
14882 ZA 8 Z A
14881 ZA 3 Z A
14880 A 1 A
14879 A 2 A
14878 A 1 A
14877 A 1 A
14876 A 1 A
Totals: 3375 Ticks in 211 prices.
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 Z 0700-0730 215 14912 14920 14881 14885 07:01:21 07:20:36
2 $ 0730-0800 342 14892 14943 14891 14914 07:40:42 07:33:03
3 A 0800-0830 282 14917 14933 14876 14896 08:16:41 08:28:10
4 B 0830-0900 201 14898 14949 14883 14917 08:52:50 08:34:30
5 C 0900-0930 204 14916 14973 14916 14970 09:25:03 09:00:00
6 D 0930-1000 169 14962 14962 14923 14942 09:30:29 09:43:50
7 E 1000-1030 123 14941 14960 14921 14939 10:17:15 10:04:03
8 F 1030-1100 452 14949 14998 14888 14953 10:47:25 10:38:29
9 G 1100-1130 148 14952 14996 14949 14968 11:06:07 11:01:05
10 H 1130-1200 279 14985 15086 14984 15062 11:55:40 11:32:48
11 I 1200-1230 213 15061 15085 15016 15040 12:01:36 12:28:18
12 J 1230-1300 105 15037 15055 15018 15026 12:38:44 12:59:02
13 K 1300-1330 125 15028 15055 15018 15020 13:11:43 13:26:16
14 L 1330-1400 226 15019 15029 14961 14970 13:31:49 13:59:10
15 M 1400-1430 149 14975 15017 14969 15003 14:28:45 14:01:02
16 N 1430-1500 78 15012 15013 14984 15012 14:45:31 14:50:04
17 O 1500-1530 64 15007 15027 15000 15015 15:13:43 15:07:34
-----
Total 3375
+----------------------------------------------------+
| Meta-Profile Reference Points |
+----------------------------------------------------+
Commodity BP (BR POUND (CME-IMM))
Delivery Month Z
Start 07:00
Stop 15:30
Count of Ticks 3375
20081210
Upper Value Area 15013 14844
Lower Value Area 14887 14780
Point Of Control 14933 14806
Upper Initial Balance 14943
Lower Initial Balance 14881
Upper Range Extension 14944
Lower Range Extension 0
Volatility (Trd Frac) 54.3
Trading Fraction 100
Trade Facil Factor 4.45
TPOs above POC 659
TPOs below POC 268
Total TPOs 934