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Reference Points: A List
CISCO Futures, December 2003
CISCO Futures©
Reference Points: Generally recognizable market elements:
Major applications: (Background Information with each.)
CMaPS.
Visual Graphics Information Links
Advice Engine Package Page
Profile Value Area Three Day Rule
Value Analytics: A New Departure in Profile Analysis
Reference Points Ticks Frequency Gaps Price Open, High, Low, Close (last) Range 60 day high/low Market Profile, Current (CMaPS list) CMaPS provides these reference points, information generated by the market. Market Profile for the Periods Selected (PS) Shape of profile Value Area for PS (PS = period selected) Point of Control (maximum TPO price) for PS Half-hour price bars for PS First and Last prices traded (F and L) in the last half-hour bar Tick count total for PS Half-hour OHLC 30 minute bars for PS Time range Ticks First (Open), High, Low, Last (Close) Time of High Time of Low Tick count Reference Points (optional) Current Day Tick count for PS Value Area for PS Point of Control for PS Initial Balance (range of first two periods) for PS Upper Lower Range Extension (trading above/below Initial Balance, 2 TPOs or more) for PS Upper Lower Volatility (average range of half-hour bars) for PS Trading Fraction (connects posted price with reporting price) Trade Facilitation Factor (average number of TPOs per price) for PS TPOs above Point of Control (excluding single TPOs) for PS TPOs below Point of Control " " " " " Total TPOs for PS Prior Trading Day (Day hours) Shape of profile Tick count for day Value Area for day Point of Control for day Initial Balance (range of first two periods) for day Upper Lower Range Extension (trading above/below Initial Balance, 2 TPOs or more) for day Upper Lower Volatility (average range of half-hour bars) for day Trading Fraction (connects posted price with reporting price) Trade Facilitation Factor (average number of TPOs per price) for day TPOs above Point of Control (excluding single TPOs) for day TPOs below Point of Control " " " " " Total TPOs for day Overlay Demand Curve Overlays: combined Market Profiles 5, 10, 15, 20 days Rotation Profile (RotProf) Price/Day Identification Overlay Distribution Balanced Market Shape of Overlay Earlier times not in balance Distribution parameters Upper and Lower limits Upper and Lower octants (approximate stops) Upper and Lower quadrants Middle Un-Balanced Market Shape of Overlay Earlier times in balance Distributions, price limits Liquidity Data Bank (LDB) LDB, Commercial & BuySell: General Current day volume (no spreads, etc) Volume by price Volume by trader type 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 Capping event Capping history Permits day-to-day measure of member types and averages Carries the 'correct' Market Profile 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 Trader Control Package, Visual Graphic: End-of-Day Market Profile 30 Minute Bars: upper far right of VG Shape of profile Value Area for day Point of Control for day Initial Balance (range of first two periods) for day Upper Lower Range Extension (trading above/below Initial Balance, 2 TPOs or more) for day Upper Lower Tf: Trade Facilitation Factor (average number of TPOs per price) for day Vo: Volatility (average range of half-hour bars) for day Sf: Shape Factor (1 = perfect fit to bell curve) TPOs above Point of Control (excluding single TPOs) for day TPOs below Point of Control " " " " " Total TPOs for day Attempted Direction Initial Balance: range, percent of day's range, location of close Value Area Direction Overlay Demand Curve Overlays: combined Market Profiles 5, 10, 20 days Overlay Distribution Rotation Profile (RotProf) Price/Day Identification Balanced Market (Bracketing) Shape of Overlay Earlier times not in balance Distribution parameters Upper and Lower limits Upper and Lower octants (approximate stops) Upper and Lower quadrants Middle Un-Balanced Market (No Bracket) Shape of Overlay Earlier times in balance Distributions, price limits Rotation Index/Quadrant of Close: Basis 4 and 8 days Ri = Rotation (0.0 to 1.0) where 1.0 is most directional Qc = Quadrant of Close (Qc = 1 is Top quadrant, Qc = 4 is bottom) Liquidity Data Bank (CBOT and CME only) Tv = total volume Cv = Commercial volume Pv = Public volume CUL = 3 forms of Commercial capping 10 Days of Capping: dashed vertical lines to right of 5 Day Overlay * indicates capping measured New High/Low Basis 60 Days HL below Sf