CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-368-9449
Intra-Day Meta-Profile (CMaPS)
Internet http//www.cisco-futures.com
Email dljones@cisco-futures.com
Sample
End of Day Meta-Profile from CMaPS
Market Profile: Profile from CBOT LDB Data (CBOT futures only).
Meta-Profile: Profile from tick data (all markets)
This end-of-day display shows the overall behavior of the market for the entire
day. This is a sample of CMaPS output, a Meta-Profile and the ancillary data
for the time period 00:00 to 15:15.
In the trading analysis below, this display will be broken down into those parts
of the day needed for specific behavior as you follow value. You will want to
refer back to this display from time to time to maintain your orientation.
Input to CMaPS
Ticker Symbol: UU
Delivery Month: Z
Start time 00:00
Stop time 15:15
Display OHLC Bars x
Current Reference Points x
User Name 499MMM
Password ABC
SP emini (UU U)
Half-Hour Data Periods
07/24/2003
Meta-Profile
Time Frame: 00:00 15:15
TPO/TPT VA Ticks Half-Hour Periods
99825 C 11 C
99800 C 19 C
99775 C 44 C
99750 C 78 C
99725 C 51 C
99700 CD 20 CD
99675 CD 31 CD
99650 CDE 75 CDE
99625 CDEF 156 CDEF
99600 CDEF 217 CDEF
99575 CDEF 292 CDEF
99550 $CDEF 308 $ CDEF
99525 $CDEFIJ 265 $ CDEF IJ
99500 $CDEFIJK 267 $ CDEF IJK
99475 $ACDEFIJK 225 $A CDEF IJK
99450 $ACDEHIJK 214 $A CDE HIJK
99425 $ABCDEHIJK 317 $ABCDE HIJK
99400 $ABCDEGHIJK | 409 $ABCDE GHIJK
99375 $ABCDEGHIJK | 397 $ABCDE GHIJK
99350 $ABCDEGHIJK | 345 $ABCDE GHIJK
99325 $BCDEGHIJK | 351 $ BCDE GHIJK
99300 $BCDEGHIJK | 275 $ BCDE GHIJK
99275 $BCDGHJK | 195 $ BCD GH JK
99250 $BCDGHJK | 159 $ BCD GH JK
99225 $BCDGHK | 128 $ BCD GH K
99200 $BCHK | 124 $ BC H K
99175 $BCHK | 160 $ BC H K
99150 $BCK | 162 $ BC K
99125 $BCK | 120 $ BC K
99100 $BK | 117 $ B K
99075 $BK | 175 $ B K
99050 Z$BK | 175 Z$ B K
99025 uZ$BK | 96 u Z$ B K
99000 jklmtuvwxZ$BK | 74 jklm tuvwxZ$ B K
98975 jklmtuvwxZ$BKL | 111 jklm tuvwxZ$ B KL
98950 jklmstuvwxZ$BKL > 176 jklm stuvwxZ$ B KL
98925 jklmstvwxZ$BKL | 187 jklm st vwxZ$ B KL
98900 jklnstvwxZKL | 144 jkl n st vwxZ KL
98875 nswxZKL | 116 n s wxZ KL
98850 nrsxZKL | 87 n rs xZ KL
98825 nrsKL | 78 n rs KL
98800 nprKL | 50 np r KL
98775 nprL | 21 np r L
98750 nprL | 53 np r L
98725 nprL | 69 np r L
98700 prL | 65 p r L
98675 prL | 75 p r L
98650 pqrL | 49 pqr L
98625 pqrL | 49 pqr L
98600 pqL | 108 pq L
98575 pqLM | 144 pq LM
98550 pqLMN | 161 pq LMN
98525 qLMN | 150 q LMN
98500 LMN | 153 LMN
98475 LMN | 134 LMN
98450 LMN | 131 LMN
98425 LMN | 129 LMN
98400 MN | 79 MN
98375 MN 68 MN
98350 MN 55 MN
98325 MN 47 MN
98300 MN 58 MN
98275 MN 48 MN
98250 MN 45 MN
98225 N 65 N
98200 N 67 N
98175 N 38 N
98150 N 16 N
98125 N 8 N
98100 N 4 N
98075 NO 34 NO
98050 NO 118 NO L
98025 NO 169 NO
98000 NO 164 NO
97975 NO 100 NO F
97950 NO 25 NO
97925 N 29 N
97900 N 21 N
Total 9750 Ticks in 78 prices.
Half-Hour Bars (optional)
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 j 0000-0030 13 98950 99000 98900 98925 00:25:53 00:29:01
2 k 0030-0100 15 98900 99000 98900 98950 00:55:46 00:31:11
3 l 0100-0130 14 98975 99000 98900 99000 01:29:20 01:17:06
4 m 0130-0200 22 98975 99000 98925 98925 01:44:20 01:59:13
5 n 0200-0230 41 98900 98900 98725 98750 02:03:01 02:28:22
6 p 0230-0300 51 98725 98800 98550 98575 02:36:54 02:59:00
7 q 0300-0330 22 98550 98650 98525 98600 03:10:28 03:03:47
8 r 0330-0400 33 98625 98850 98625 98850 03:59:41 03:30:05
9 s 0400-0430 51 98875 98950 98825 98925 04:25:31 04:06:53
10 t 0430-0500 33 98900 99000 98900 98925 04:49:17 04:30:11
11 u 0500-0530 22 98950 99025 98950 98975 05:21:51 05:16:05
12 v 0530-0600 40 98950 99000 98900 98925 05:46:38 05:43:46
13 w 0600-0630 63 98900 99000 98875 99000 06:29:35 06:03:30
14 x 0630-0700 66 98975 99000 98850 98850 06:31:49 06:59:52
15 Z 0700-0730 115 98875 99050 98850 98925 07:26:50 07:00:40
16 $ 0730-0800 563 98950 99550 98925 99425 07:51:09 07:30:03
17 A 0800-0830 198 99450 99475 99350 99375 08:09:41 08:29:49
18 B 0830-0900 1183 99350 99425 98925 99150 08:39:34 08:50:03
19 C 0900-0930 1212 99175 99825 99125 99625 09:16:28 09:00:46
20 D 0930-1000 696 99600 99700 99225 99350 09:31:58 09:50:25
21 E 1000-1030 629 99325 99650 99300 99600 10:27:48 10:00:19
22 F 1030-1100 64 99625 99625 99475 99550 10:32:56 10:33:44
23 G 1100-1130 266 99375 99400 99225 99350 11:23:48 11:26:16
24 H 1130-1200 284 99375 99450 99175 99300 11:36:42 11:47:16
25 I 1200-1230 265 99325 99525 99300 99425 12:23:30 12:00:52
26 J 1230-1300 265 99450 99525 99250 99450 12:57:51 12:44:40
27 K 1300-1330 696 99475 99500 98800 98950 13:09:27 13:26:10
28 L 1330-1400 1077 98925 98975 98425 98550 13:32:35 13:50:02
29 M 1400-1430 610 98525 98575 98250 98550 14:28:14 14:03:40
30 N 1430-1500 707 98525 98550 97900 98000 14:30:32 14:57:38
31 O 1500-1530 434 97975 98075 97950 98050 15:10:46 15:05:25
-----
Total 9750
Meta-Profile Reference Points: 00:00 to 15:15 07/24/2003 (optional)
Commodity UU
Month U
Count of Ticks 9750
Upper Value Area 99475
Lower Value Area 98625
Point Of Control 98950
Upper Initial Balance 99025
Lower Initial Balance 98900
Upper Range Extension 0
Lower Range Extension 98875
Volatility 266.30
Trading Fraction 100
Trade Facil Factor 4.63
TPOs above POC 203
TPOs below POC 130
Total TPOs 361
------------- Yesterday's Reference Point Report --------------
Meta-Profile Reference Points 03 07 23
Sum of Ticks 21568
Upper Value Area 98550
Lower Value Area 97850
Point Of Control 98125
Upper Initial Balance 98875
Lower Initial Balance 97850
Upper Range Extension 0
Lower Range Extension 0
Volatility 358.30
Trading Fraction 100
Trade Facil Factor 4.78
TPOs above POC 144
TPOs below POC 60
Total TPOs 215
CMaPS display complete
--------------------------------------------------------------------------
--------------------------------------------------------------------------
Analyzing CMaPS for Trading
Using CMaPS: An Example
CMaPS is a flexible data system for tracking the market using a tick based
Meta-Profile throughout the trading day. Profiles are designed to show value.
Within a day, the profile tracks developing value. For information about
Meta-Profiles and Market Profiles, go to CISCO homepage, Background
Reading section and click on Market Profiles/Meta-Profiles.
Market Profiles/Meta-Profiles Background
For information about the Overlay Demand Curve (used below) go to the same
section and click on Overlay Demand Data.
Overlay Demand Curve Background
The following is an example of using CMaPS in the SP emini market on
July 24, 2003. The perspective adopted is that of a day trader, call
him Trader A. You, as Trader B, will have the same data as Trader A,
but you could well make different trading decisions. CMaPS provides
you trading information that can give you an edge over other traders.
It is up to you, Trader B, to apply that information.
Starting off, we will get two pieces of information from CISCO standard
data programs. These are values for several days and the most recent day.
Initial Information from Yesterday
Overlay Demand Curve, last 5 days support and resistance; 97450 - 99200
Meta-Profile yesterday: support and resistance; 97850 - 98550
Trader A observes:
Market is balanced on a 5 day basis
Meta-Profile value area is inside the 5 day balance.
On the long side, trading above 98550 suggests a local upward change
in value; above 99200 would be a longer term breakout.
The same is true on the downside for 97850 and then 97450.
-------------------------------------------------------------------
Step 1. Examine the pre-market for the period 00:00 to 07:00.
SP emini (UU U)
Half-Hour Data Periods
07/24/2003
Meta-Profile
Time Frame: 00:00 07:00
TPO/TPT VA Ticks Half-Hour Periods
99025 u 2 u
99000 jklmtuvwx | 28 jklm tuvwx
98975 jklmtuvwx | 60 jklm tuvwx F
98950 jklmstuvwx > 67 jklm stuvwx
98925 jklmstvwx | 62 jklm st vwx
98900 jklnstvwx | 58 jkl n st vwx
98875 nswx | 45 n s wx L
98850 nrsx | 23 n rs x
98825 nrs | 12 n rs
98800 npr | 12 np r
98775 npr 13 np r
98750 npr 15 np r
98725 npr 14 np r
98700 pr 9 p r
98675 pr 8 p r
98650 pqr 9 pqr
98625 pqr 10 pqr
98600 pq 17 pq
98575 pq 15 pq
98550 pq 5 pq
98525 q 1 q
Total 485 Ticks in 21 prices.
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 j 0000-0030 13 98950 99000 98900 98925 00:25:53 00:29:01
2 k 0030-0100 15 98900 99000 98900 98950 00:55:46 00:31:11
3 l 0100-0130 14 98975 99000 98900 99000 01:29:20 01:17:06
4 m 0130-0200 22 98975 99000 98925 98925 01:44:20 01:59:13
5 n 0200-0230 41 98900 98900 98725 98750 02:03:01 02:28:22
6 p 0230-0300 51 98725 98800 98550 98575 02:36:54 02:59:00
7 q 0300-0330 22 98550 98650 98525 98600 03:10:28 03:03:47
8 r 0330-0400 33 98625 98850 98625 98850 03:59:41 03:30:05
9 s 0400-0430 51 98875 98950 98825 98925 04:25:31 04:06:53
10 t 0430-0500 33 98900 99000 98900 98925 04:49:17 04:30:11
11 u 0500-0530 22 98950 99025 98950 98975 05:21:51 05:16:05
12 v 0530-0600 40 98950 99000 98900 98925 05:46:38 05:43:46
13 w 0600-0630 63 98900 99000 98875 99000 06:29:35 06:03:30
14 x 0630-0700 65 98975 99000 98850 98875 06:31:49 06:49:40
-----
Total 485
07:00 Market
Overlay 97450 - 99200
Meta-Profile 97850 - 98550
00:00 07:00 range 98525 - 99025
The 07:00 price ranges above the yesterday Meta-Profile, the latest price
at 98875 is above the profile value area high.
By 07:00 the night market is showing upside directionality. The pullback
to 98875 from the high of 99025 is modest.
Strategy: Check if market is still directional prior to open.
-------------------------------------------------------------------
Step 2. Examine the rest of the pre-market for the period 07:00 to 08:30.
SP emini (UU U)
Half-Hour Data Periods
07/24/2003
Meta-Profile
Time Frame: 07:00 08:30
TPO/TPT VA Ticks Half-Hour Periods
99550 $ 9 $
99525 $ 29 $
99500 $ 45 $
99475 $A > 47 $A
99450 $A | 57 $A F
99425 $A | 75 $A
99400 $A | 98 $A L
99375 $A | 76 $A
99350 $A | 22 $A
99325 $ | 30 $
99300 $ | 36 $
99275 $ | 21 $
99250 $ | 10 $
99225 $ | 13 $
99200 $ | 29 $
99175 $ | 33 $
99150 $ | 29 $
99125 $ | 28 $
99100 $ | 24 $
99075 $ | 15 $
99050 Z$ | 17 Z$
99025 Z$ | 14 Z$
99000 Z$ | 14 Z$
98975 Z$ | 21 Z$
98950 Z$ 32 Z$
98925 Z$ 25 Z$
98900 Z 6 Z
98875 Z* 3 Z
98850 Z 1 Z
Total 859 Ticks in 29 prices.
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 Z 0700-0730 115 98875 99050 98850 98925 07:26:50 07:00:40
2 $ 0730-0800 563 98950 99550 98925 99425 07:51:09 07:30:03
3 A 0800-0830 181 99450 99475 99350 99400 08:09:41 08:24:21
-----
Total 859
07:00 Market
Overlay value 97450 - 99200
Meta-Profile value 97850 - 98550
00:00 07:00 range 98525 - 99025
07:00 08:30 range 98850 - 99550
Risk accepting Trader A, who is willing to trade in the lower volume pre
market, sees a buying opportunity if price continues to move upward.
A reasonable confirmation of strength could be price passing the 00:00 -
07:00 high of 99025 (last price at 07:00 was 98875).
Between 07:00 and 08:30 price did move above the 07:00 high. As is normal,
tick volume rose as the day's open neared. Trader A would then be long
in a rising market on heavier volume.
-------------------------------------------------------------------
Step 3. Tracking the market through the Initial Balance, 08:30 to 09:30.
SP emini (UU U)
Half-Hour Data Periods
07/24/2003
Meta-Profile
Time Frame: 08:30 09:30
TPO/TPT VA Ticks Half-Hour Periods
99825 C 11 C
99800 C 19 C
99775 C 44 C
99750 C 78 C
99725 C 51 C
99700 C 19 C
99675 C 26 C
99650 C 45 C
99625 C 62 C L
99600 C 101 C
99575 C 178 C
99550 C 183 C
99525 C 110 C
99500 C 54 C
99475 C | 23 C
99450 C | 4 C
99425 BC > 20 BC
99400 BC | 72 BC
99375 BC | 115 BC
99350 BC | 109 BC
99325 BC | 68 BC
99300 BC | 44 BC
99275 BC | 50 BC
99250 BC | 48 BC
99225 BC | 47 BC
99200 BC | 49 BC
99175 BC | 101 BC F
99150 BC | 122 BC
99125 BC | 77 BC
99100 B | 83 B
99075 B | 129 B
99050 B | 102 B
99025 B | 51 B
99000 B | 32 B
98975 B | 25 B
98950 B | 18 B
98925 B | 3 B
Total 2373 Ticks in 37 prices.
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 B 0830-0900 1183 99350 99425 98925 99150 08:39:34 08:50:03
2 C 0900-0930 1190 99175 99825 99125 99625 09:16:28 09:00:46
-----
Total 2373
B period (08:30 - 09) initially moved pretty well straight up, reaching it's
high at 08:39, then backtracking to 99150. C period (09 - 09:30) continued
the run, finishing near it's top at 99625. Up to this point there is little
evidence for congestion.
-------------------------------------------------------------------
Step 4. Tracking the market from Initial Balance to congestion.
SP emini (UU U)
Half-Hour Data Periods
07/24/2003
Meta-Profile
Time Frame: 08:30 09:30
TPO/TPT VA Ticks Half-Hour Periods
99825 C 11 C
99800 C 19 C
99775 C 44 C
99750 C 78 C
99725 C 51 C
99700 CD 20 CD
99675 CD 31 CD
99650 CD 63 CD
99625 CD | 113 CD
99600 CD | 157 CD F
99575 CD | 220 CD
99550 CD | 225 CD
99525 CD | 157 CD
99500 CD | 108 CD
99475 CD | 64 CD
99450 CD | 37 CD
99425 BCD > 48 BCD
99400 BCD | 85 BCD
99375 BCD | 133 BCD
99350 BCD | 154 BCD
99325 BCD | 148 BCD L
99300 BCD | 109 BCD
99275 BCD | 87 BCD
99250 BCD | 74 BCD
99225 BCD | 56 BCD
99200 BC | 49 BC
99175 BC | 101 BC
99150 BC | 122 BC
99125 BC | 77 BC
99100 B 83 B
99075 B 129 B
99050 B 102 B
99025 B 51 B
99000 B 32 B
98975 B 25 B
98950 B 18 B
98925 B 3 B
Total 3084 Ticks in 37 prices.
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 B 0830-0900 1183 99350 99425 98925 99150 08:39:34 08:50:03
2 C 0900-0930 1212 99175 99825 99125 99625 09:16:28 09:00:46
3 D 0930-1000 689 99600 99700 99225 99325 09:31:58 09:50:25
-----
Total 3084
C period ended the directional upward move. D period (09:30 - 10) started
the downward reaction to the final excess price at 99825. Congestion is
apparent at least by 99425 with the three TPO's. A trader should be out by
this point.
This little study illustrates the flexability of the CMaPS current profiles
trading tool. Does one need to track every tick? No indeed! Knowing
value and where price is relative to that value, gives the trader a solid
decision tool.
It was not explicitly stated, but Trader A, and indeed any trader in the
highly volatile markets should carry a loose trailing stop. The loose
stop is to avert disaster. Normal exits should come by trader decision.
That is, the evidence indicates congestion, so one exits.
-------------------------------------------------------------------
Step 5. The SP emini CMaPS Meta-Profile for the entire day, July 24, 2003.
This is a repeat of the entire day shown initially. Below this day's data
is an abbreviated reference display, based on this data, to show the
decision points more clearly.
SP emini (UU U)
Half-Hour Data Periods
07/24/2003
Meta-Profile
Time Frame: 00:00 15:15
TPO/TPT VA Ticks Half-Hour Periods
99825 C 11 C
99800 C 19 C
99775 C 44 C
99750 C 78 C
99725 C 51 C
99700 CD 20 CD
99675 CD 31 CD
99650 CDE 75 CDE
99625 CDEF 156 CDEF
99600 CDEF 217 CDEF
99575 CDEF 292 CDEF
99550 $CDEF 308 $ CDEF
99525 $CDEFIJ 265 $ CDEF IJ
99500 $CDEFIJK 267 $ CDEF IJK
99475 $ACDEFIJK 225 $A CDEF IJK
99450 $ACDEHIJK 214 $A CDE HIJK
99425 $ABCDEHIJK 317 $ABCDE HIJK
99400 $ABCDEGHIJK | 409 $ABCDE GHIJK
99375 $ABCDEGHIJK | 397 $ABCDE GHIJK
99350 $ABCDEGHIJK | 345 $ABCDE GHIJK
99325 $BCDEGHIJK | 351 $ BCDE GHIJK
99300 $BCDEGHIJK | 275 $ BCDE GHIJK
99275 $BCDGHJK | 195 $ BCD GH JK
99250 $BCDGHJK | 159 $ BCD GH JK
99225 $BCDGHK | 128 $ BCD GH K
99200 $BCHK | 124 $ BC H K
99175 $BCHK | 160 $ BC H K
99150 $BCK | 162 $ BC K
99125 $BCK | 120 $ BC K
99100 $BK | 117 $ B K
99075 $BK | 175 $ B K
99050 Z$BK | 175 Z$ B K
99025 uZ$BK | 96 u Z$ B K
99000 jklmtuvwxZ$BK | 74 jklm tuvwxZ$ B K
98975 jklmtuvwxZ$BKL | 111 jklm tuvwxZ$ B KL
98950 jklmstuvwxZ$BKL > 176 jklm stuvwxZ$ B KL
98925 jklmstvwxZ$BKL | 187 jklm st vwxZ$ B KL
98900 jklnstvwxZKL | 144 jkl n st vwxZ KL
98875 nswxZKL | 116 n s wxZ KL
98850 nrsxZKL | 87 n rs xZ KL
98825 nrsKL | 78 n rs KL
98800 nprKL | 50 np r KL
98775 nprL | 21 np r L
98750 nprL | 53 np r L
98725 nprL | 69 np r L
98700 prL | 65 p r L
98675 prL | 75 p r L
98650 pqrL | 49 pqr L
98625 pqrL | 49 pqr L
98600 pqL | 108 pq L
98575 pqLM | 144 pq LM
98550 pqLMN | 161 pq LMN
98525 qLMN | 150 q LMN
98500 LMN | 153 LMN
98475 LMN | 134 LMN
98450 LMN | 131 LMN
98425 LMN | 129 LMN
98400 MN | 79 MN
98375 MN 68 MN
98350 MN 55 MN
98325 MN 47 MN
98300 MN 58 MN
98275 MN 48 MN
98250 MN 45 MN
98225 N 65 N
98200 N 67 N
98175 N 38 N
98150 N 16 N
98125 N 8 N
98100 N 4 N
98075 NO 34 NO
98050 NO 118 NO
98025 NO 170 NO L
98000 NO 164 NO
97975 NO 100 NO F
97950 NO 25 NO
97925 N 29 N
97900 N 21 N
Total 9751 Ticks in 78 prices.
+-------------------------------------+
| OHLC Bars (30 minute) |
+-------------------------------------+
Period TPO Time Ticks First High Low Last Hi Time Lo Time
------ --- --------- ----- ----- ---- --- ---- -------- --------
1 j 0000-0030 13 98950 99000 98900 98925 00:25:53 00:29:01
2 k 0030-0100 15 98900 99000 98900 98950 00:55:46 00:31:11
3 l 0100-0130 14 98975 99000 98900 99000 01:29:20 01:17:06
4 m 0130-0200 22 98975 99000 98925 98925 01:44:20 01:59:13
5 n 0200-0230 41 98900 98900 98725 98750 02:03:01 02:28:22
6 p 0230-0300 51 98725 98800 98550 98575 02:36:54 02:59:00
7 q 0300-0330 22 98550 98650 98525 98600 03:10:28 03:03:47
8 r 0330-0400 33 98625 98850 98625 98850 03:59:41 03:30:05
9 s 0400-0430 51 98875 98950 98825 98925 04:25:31 04:06:53
10 t 0430-0500 33 98900 99000 98900 98925 04:49:17 04:30:11
11 u 0500-0530 22 98950 99025 98950 98975 05:21:51 05:16:05
12 v 0530-0600 40 98950 99000 98900 98925 05:46:38 05:43:46
13 w 0600-0630 63 98900 99000 98875 99000 06:29:35 06:03:30
14 x 0630-0700 66 98975 99000 98850 98850 06:31:49 06:59:52
15 Z 0700-0730 115 98875 99050 98850 98925 07:26:50 07:00:40
16 $ 0730-0800 563 98950 99550 98925 99425 07:51:09 07:30:03
17 A 0800-0830 198 99450 99475 99350 99375 08:09:41 08:29:49
18 B 0830-0900 1183 99350 99425 98925 99150 08:39:34 08:50:03
19 C 0900-0930 1212 99175 99825 99125 99625 09:16:28 09:00:46
20 D 0930-1000 696 99600 99700 99225 99350 09:31:58 09:50:25
21 E 1000-1030 629 99325 99650 99300 99600 10:27:48 10:00:19
22 F 1030-1100 64 99625 99625 99475 99550 10:32:56 10:33:44
23 G 1100-1130 266 99375 99400 99225 99350 11:23:48 11:26:16
24 H 1130-1200 284 99375 99450 99175 99300 11:36:42 11:47:16
25 I 1200-1230 265 99325 99525 99300 99425 12:23:30 12:00:52
26 J 1230-1300 265 99450 99525 99250 99450 12:57:51 12:44:40
27 K 1300-1330 696 99475 99500 98800 98950 13:09:27 13:26:10
28 L 1330-1400 1077 98925 98975 98425 98550 13:32:35 13:50:02
29 M 1400-1430 610 98525 98575 98250 98550 14:28:14 14:03:40
30 N 1430-1500 707 98525 98550 97900 98000 14:30:32 14:57:38
31 O 1500-1530 435 97975 98075 97950 98025 15:10:46 15:05:25
-----
Total 9751
Plan View of the Day's Activity for the Trade
Recall that there are several decision points. These are Trader A's decision
points. Trader B could use the CMaPS display to find other/additional decision
points (e.g. from the period 07:00 to 07:30 or 08:00).
Overlay value 97450 - 99200
Meta-Profile value 97850 - 98550
00:00 07:00 range 98525 - 99025
07:00 08:30 range 98850 - 99550
08:30 09:30 Initial Balance 98925 - 99825
09:30 10:00 D period range 99225 - 99700
Congestion exit 99425
99825 P IB-->| | Initial Balance high
99800 r | | <-- Post IB
99775 e | |
99750 | |
99725 M | |
99700 a | |
99675 r | |
99650 5 k | |
99625 e | |
99600 D t | |
99575 a | |
99550 y | | | Pre-market high
99525 | | |
99500 | | |
99475 O | | |
99450 v | | |
99425 e | | |
99400 r | | |
99375 l | | |
99350 a | | |
99325 y O | | |
99300 v | | |
99275 e | | |
99250 r | | |
99225 n | | |
99200 | i | | | 5 day balance upper limit
99175 | g | | |
99150 | h | | |
99125 | t | | |
99100 | | | |
99075 | | | |
99050 | | | |
99025 | | | | | Overnight high
99000 | | | | |
98975 | | | | |
98950 | | | | |
98925 | | | | Initial Balance low
98900 | Y | |
98875 | e | |
98850 | s | | Pre-market low
98825 | t |
98800 | e |
98775 | r |
98750 | d |
98725 | a |
98700 | y |
98675 | |
98650 | M |
98625 | P |
98600 | |
98575 | |
98550 | | | Yesterday value area upper
98525 | | | Overnight low
98475 | |
98450 | |
98425 | |
98400 | |
98375 | |
98350 | |
98325 | |
98300 | |
98275 | |
98250 | |
98225 | |
98200 | |
98175 | |
98150 | |
98125 | |
98100 | |
97975 | |
97950 | |
97925 | |
97900 | |
97875 | |
97850 | | Yesterday value area lower
97825 |
97800 |
97775 |
97750 |
97725 |
97700 |
97675 |
97650 |
97625 |
97600 |
97575 |
97550 |
97525 |
97500 |
97475 |
97450 | 5 day balance lower limit
Review
CMaPS provides the Meta-Profile, from ticks, for the current day.
Input:
... Future symbol: (TR, UU, ME, etc.) (There is a symbol table link on the display.)
... Future delivery symbol: (H, M, N, U, etc.)
... 2nd Future symbol and delivery if you want a combined display
... Time to start the profile: (00:00, 07:00, 11:00, etc.)
... Time to end the profile: (09:30, 12:00, 15:15, etc.)
... Username/Password: (499MMM push, 973MMM john, etc.)
Output:
... Meta-Profile for the Period Selected (PS)
... Value Area for PS
... 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 (optional)
..... 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)
..... 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
The display below is the full day profile for SP emini (UU), Sep (U), 07/24/2003
Below the display is an example of how one trader might use the data
throughout the day.