Tutorial Background

CISCO

37 Years of Excellence in Auction Market Research

CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
http://www.cisco-futures.com
dljones@cisco-futures.com

The CISCO Value Analytics Trading Game
Background
Copyright CISCO 2007

Value Analytics is a melding of CISCO's market condition methodology with a special blend of Market Profile, one oriented to quantitative evaluation of reference points.

Market Profile concept and methodology has been around since 1985. Standard Market Profile is based on pattern recognition (day types) and then holistically including the reference points (which can mean different things depending on the day type) into a market reading of who is doing what and why. There continues to be a vast amount of misinformation and misunderstanding about profiles and what they are supposed to do for one's trading. The problem is several: markets are complex and hard to decipher, market theory from the economists is deeply flawed and the two best known books on the profile expect the trader to understand all the profile reference points and to put them together holistically. This is a tall order.

At CISCO we joined the profile bandwagon early on. We believed then, and now, that information derived from profile/value data can aid virtually every trader. Our studies have led to some generally accepted innovations in the field. Unfortunately, our contact with traders leads us to the the conclusion that few traders are able to effectively apply profile methodology in their trading.

Our subject in this report is training traders in the use of Value Analytics: market condition integrated with profile information. Our approach is in the form of a game, where you know the end result (opportunity), but need to learn how to get there. Your score is the result of your strategy minus the opportunity. Normally your result will be negative (less than the opportunity) and 50 percent of the opportunity is quite good. But there are cases where you can exceed the opportunity if you change your strategy in tune with changing market conditions. An instance is where you make a responsive short trade, say shorting the upper limit or Octant of a balance with a target of the middle of the distribution. The market falls like a stone. Price reaches the middle; you are reading the market to continue down and do not exit, turning into an initiative mindset. These opportunities occur frequently and offer the potential for extraordinary gains. From a game standpoint what happened was you entered your responsive position with the odds on a small gain. During the trade the odds changed in your favor to a large potential. The game itself changed during the play of the hand. Correctly reading the market as it changes is the key.

Before we get into the game we need to review the earlier profile training so we all are on the same page. Before you can understand how to apply Value Analytics you need to be sure you know the definitions of profile elements like tails, initial balance, etc. The primary source is CBOT Market Profile Manual, and the best explanations for the beginner are in Mind Over Markets.

If you want to skip to the game itself, scroll down to: The Profile Trading Game (PTG).

Most readers will have encountered these two major sources of profile information, Mind Over Markets, 1990 and the CBOT Market Profile Manual, 1991. We will first spend a little time discussing the two, pointing out why we believe that while both are valuable resources, they have not accomplished their intended job of teaching.

Lastly, we turn to the CISCO reinforcement method of training you to use profile understanding in trading. This positive approach uses real world market situations. You analyze the market in the evening with the Value Analytics data. You develop a strategy for the next day. You track the market throughout the test day in real time with the Meta-Profile, making trading decisions in real time. You directly see the effect of your decisions as the market moves. You watch the profile variables develop. You learn to interpret profiles as the market moves. You have a test bed for learning. This is the profile 'Trading Game'.

A Brief Profile History
CBOT Market Profile (tm) 1985, the Beginning
Auction market value analysis on profiles started with the publication of CBOT Maket Profile (CMP) in 1985. CMP 1985 was a product release based on the Market Profile methodology developed by J.Peter. Steidlmayer, a 20 year member of the CBOT pits (grains, mostly). Steidlmayer had noticed that most markets generated a bell shaped price-volume curve with low volume at the higher and lower price extremes and heavier volume at the middle prices. This is the Market Profile. It is volume (exchange cleared) based.

Steidlmayer developed a novel price-time measure; splitting a day into half-hour segments (mini-days), assigning a letter to each period (A denoted trading from 8 AM to 8:30, B is 8:30 to 9, and so on. These letters were named TPO's for Time Price Opportunity. As the day wore on, the more frequently traded prices would gather more TPO's, with a bell like cluster developing around the most popular prices. Steidlmayer identified the bell shapes as 'normal distributions' or gaussian curves that he had met up with in college in a statistics course. These curves were deciphered to show "what the market is doing". Some curves were seen more or less repeatedly and this led to "day type" identifications. As a pit trader it is often possible to see who is driving the market; so one of the uses of the profile was to separate the buyers from the sellers. Day type and reading the curves is a form of pattern recognition.

A second part of the CMP 1985 dealt with the Liquidity Data Bank (LDB), an end of day clearing report of the CBOT markets. LDB data is the source of the Market Profile. LDB posts cleared trading volume at each price, broken down further by trader type (Locals and Commercials) and the associated TPO's. These data were used to find value area (the central 70 percent of cleared volume) and trends (market condition). Trends were identified as one of three types; price, value and value area, all on basis of one day ('day' measures).

CMP 1985 focused on day value and the dynamics Of profile formation and had the stated goal of "giving the trader an edge". In a statistical universe such as auction markets, even a modest edge can lead to substantial profits in the long run (look at what an 'edge' has done for the statistics based casino business). Steidlmayer was reputedly a very successful trader.

CISCO Research on Profiles: 1986 - 1990
As a provider of trading and research data CISCO was happy to add the LDB to our list. It offered a new dimension, data with an added level of information; the cleared volume by price. The downside that quickly became apparent was that the most important variable, value, was available only for CBOT data. Our research led to the discovery that TPO's are a valid surrogate for cleared volume. We published these results in 1987 (in two different journals, as TICK-Tpo Value and Meta-profile). Meta-profile is based on TPOs, not volume. The industry accepted the TPO value area to such an extent that most data providers sell value found only from TPO's, even though they mis-call it 'Market Profile value area'.

Secondly, we had been managing customer trading accounts since 1972, using standard technical analysis (moving average crossovers). Although net profitable, we were well aware of the shortcomings of our methodology, especially in the near (day) time frame. We welcomed the profile as a potential way to understand the day market in detail. We collected the available material (CMP 1985 and two subsequent publications associated with Steidlmayer) into an 'Applications' Manual, Aug 1988; but we could not find a way to use profile material in our trading. Subsequent research led us to the conclusion that there was not enough information in a single day's profile to validate a market condition measurement. In fact, we found that the minimum time for a market to manifest that a trend is over and a congestion has begun is three or four days. This finding led to our development of the methodology that guided much of the work on market condition that followed. The CISCO Overlay Demand Curve (tm), by identifying market condition (balance, imbalance), made the leap from day value to longer time-period value. A derivative benefit turned out to be the ability to measure balances on various time scales (e.g. on a four day basis a market can be in a trend while the ten day market remains balanced).

Market Profile History 1990 - 2007
A follow-on book to the 1985 CBOT Market Profile Manual, by Dalton, Jones and Dalton (Mind Over Markets, 'MOM, 1990'), more clearly organizes the profile field than does CMP 1985. Although their analyses were mostly on CBOT futures, they did follow the CISCO lead and found value areas for several non-CBOT futures. (MOM, in Appendix 1, explains the 'TPO Value-Area Calculation', without attribution to CISCO as the source of the methodology.) 'MOM', too, is heavy on pattern recognition. And the same is true to an extreme in the new book by the same authors (Markets in Profile, 2007), see review on our site in the References section .

An updated CBOT Market Profile Manual (1991) is much more about Market Profile than it's predecessor. It emphasizes that the profile is a tool for market understanding, not a buy/sell system. 24 hour markets are discussed. There is still emphasis on who is in control, buyers or sellers. There are sections on 1) reading the profile, 2) monitoring of long term trends with daily data, 3) why value is at the heart of every market decision, 4) distribution of daily and long term activity, 5) finding developing market activity, 6) LDB data to gauge the strength or weakness of the market. Still, it is based on pattern recognition and holistically handling the reference points.

Day types are still used to recognize the form of development, the pattern; there are now 4 types. The long term trend work uses day variables, such as in comparing value areas. A 70 percent range calculation is shown basis TPO's. (This is the CISCO TPO value area, noted on P33 as "Steidlmayer says" also without attribution.)

Myriads of daily market profile shapes are parsed out (110 in the 340 pages) and meaning is inferred from their shapes, (cleared) volume, juxtaposition, etc. The process is primarily pattern recognition, as is abundantly clear from the many examples in the Manual and the various other Steidlmayer publications. And, of course, it is an end of day process (clearing was completed around 9 PM). There is some cogent advice on position evaluation. All in all CMP 1991 is the most thorough discussion of Market Profile to be found and the best source for the definition of profile elements.

Summary of Existing Profile Literature
The three publications discussed here give, we believe, a fair description of what Market Profile is all about, how they have developed and numerous examples of their application. The overriding element, repeated over and over is that there are many types of market and many profile measures that are to be applied selectively to the analysis of any one market situation. The overriding problem for the trader is how to complete that task. One is expected to know all the measures and their nuances (so ably demonstrated in CMP 1991). Then one is expected to evaluate a given situation (the day type, market condition, who is in control, etc.) and apply the appropriate profile measures to that market situation. The word for this is holism and it is used many, many times in the new Dalton, et.al, book 'Markets in Profile'.

The Holism Dilemma and Value Analytics
The evident inability of traders to parse out profiles led us to develop the Auction Market Value Analytics product which does the job for them. With the Overlay Demand Curve and profile reference point calculations; each day Value Analytics produces a three day run of market condition and profile elements for a customer selected future. The display first settles the question of market condition. If congesting, the upper and lower balance limits are listed. If not congesting, the trader's knowledge level is much lower, the risk is greater and the trader can behave accordingly.

The second part of the Value Analytics report gives a three day path of about 30 market variables, e.g. value, volatility, initial balance, trade facilitation, etc. These are the market flow reference points. Instead of first evauating each variable holistically and then evaluating the entire situation to see how that variable affects a trading decision, one merely examines the VA Report Table and says: e.g. "the volume is increasing and that means interest is returning"; "initial balance is narrowing, showing the vested interests (locals in the pit) are losing control"; "the upper tail completed the auction in that direction (so no more buyers up there)", etc.

Each flow variable gives an individual piece of information about what the market is doing, independently of all the others. If the volume is increasing over the past three days, that is a piece of information separate from being concerned about what the, say range extension, is doing. Increasing volume is an alert to a coming breakout in a balanced market or of a continuing trend in a distributing market. You have two dozen additional reference points that may or may not confirm this observation. But each is analytical, i.e. has a numerical value that permits you to understand it as it varies with changes to market condition. Value Analytics lets you consider each flow variable separately. Once you have done that, you can now consider how they fit together, what the main tendency is. In this sense, the explanations of Steidlmayer in CMP 1991 may be quite useful, if you can find a fit to the case at hand.

Now it is clear why these reference points are called flow variables. With the last three days to compare the changes in the direction of each, you see the direction of change. On any given day some of the flow variables will be changing, some will not. They do not all need to agree. However, when you have a substantial number pointing one way, e.g. to increased market activity, you have a strong alert that change is afoot. This is the edge that Steidlmayer and Dalton. et.al refer to. Anyone who understands Value principles can complete the dots. Value Analytics is your conveyance. You now can examine each flow variable independently and come to a conclusion directly and rationally. You do not have to be able to read profile patterns or be holistic in drawing your conclusions.

We at CISCO feel that Value Analytics is the culmination of the Market Profile revolution begun by J.Peter Steidlmayer and the Chicago Board of Trade in 1985. Value Analytics puts direct, usable, market information into the hands of traders.

There is a Fly in the Ointment!

Here at CISCO we strongly felt the statement in the above paragraph ended our work on the Value Analytics product. Our assumption was that there was a host of traders with a pretty good understanding of profiles who could profitably use a tool like Value Analytics. Our month long beta test and another month of free trial indicates that many profile afficionados have shaky foundations. We might have forseen this in view of the difficulty we ran into as we collected and melded profile knowledge into the format needed to develop the requisite computer programs for the Value Analytics page.

So what to do?

Our first step was to take a critical look at MOM 1990 and CMP 1991 as teaching tools, information we shared with you above. MOM is set up on a course structure, taking the reader from Novice through Expert Trader. From Novice (Ch 2) through competent (Ch 4) MOM does a very good job of introducing a trader to profile concepts. There are many, many examples of elements and definitions peculiar to profiles. Any beginner should become familiar with these chapters. Chapters 5 (Proficient) and 6 (Expert) move into philosophy and holism. Does this book prepare a profile trader for success? And if not, why not?

A standard textbook starts with the foundations of the field, followed by applications. Profile books start with the applications. The foundation is a quasi-bell shaped curve, believed to describe market behavior on the basis of statements in CMP 1985, and possibly elsewhere. A gaussian distibution market descriptor is declared (value area is +/- 1 standard deviation) but not proved nor evaluated. While limitations on the areas of validity of the bell curve are not addressed clearly, certainly a bell curve does not describe even approximately a strongly trending market. Yet conclusions are drawn from the curves' shape and morphology. No evidence is given that the propositions advanced are valid. No proofs are offered. Hence, the learner is expected to become familiar with a series of examples such as day type. Four day types are given in CMP91. MOM lists nine day types in their index. In fact the transition from one day type to another is continuous. We see a slippery slope with no solid proven principles to fall back on. This is quite apparent in the chapters on becoming a 'Proficient' trader (Ch 5) or an 'Expert' trader (Ch 6) in MOM. The reader is exhorted to become intuitive, understand self and become 'whole brained'. A tall order in view of the fact that the foundation one builds on, the bell shaped market curve as a market descriptor, is so ill defined.

CMP 1991 is the successor to CMP 1985, but they are quite different books. CMP 1985 is basically a sales brochure for a product being implicitly touted as a potential money maker for the trader because the ideas came from J.P. Steidlmayer, who made a lot of money using the product or its forerunner. In other words it is being sold on the authority of a very successful trader, not on results or details of why results should be good for you. CMP 1991 is a much more complete study developed at clearly greater effort, with a lot of input from the inventor of Market Profile. Steidlmayer is responsible for some very creditable work on markets and how they develop (Markets and Market Logic, with co-author Kevin Koy). Further, CMP 1991 is rich in examples of a wide variety of profiles (some 110 cases). A student can learn many elements of profile recognition, many market situations. But again, how does one tie all these examples together; what are the unifying principles? Expecting the student to organize all these disparate cases into a unified whole is again, holism.

Actual profiles run the gamut from nice looking bell shapes (balance) to straight lines (strong trends). A complicating fact is that one day's profile in a balance may be quite similar to one in a trend, particularly in the trend's pause phase. They look alike, but the interpretation is necessarily different because the market condition is different. Thus it is difficult to know when the bell shape is the valid tool for analysis, when it is not and all the points in between. Again, we are on a slippery slope. Where is the solid ground, the first principles, on which the student can rely?

Basic Principles of Auction Markets

These two brief reviews of current profile training may explain our experience with the users of the new Value Analytics. In casting about for some way to bring our customers up to speed on the nuances of the profile, we first considered training in the first principles of auction markets. Such information is already on our website at Auction Market Value Theory.

A practical problem is that while market theory does provide a valuable and needed foundation, our customers are more results oriented. They want to know "how to" as a first priority. We decided on an experience based training format. You get a college degree in electrical engineering, get a job and immediately find that you learned enough in college to learn how to become an electrical engineer in the real world. You need experience. So does the value oriented trader. An apprenticeship. The Game offers unlimited practice.

In the trading profession few get the opportunity to complete their apprenticeship. The vast majority go bust early on. Game over. We suggest that you read and get some idea of Auction Market Theory on our site and then read the 'References' page article on the Run Pause Character of Markets. This will give you the fundamentals needed to understand the Value Analytics data and also give you the tools to use that data.

Trading is a game like poker or bridge. There are odds, misdirections, bluffing and rewards. You cannot see the others' cards, but you can see how they play them. The market shows all. Opponents behavior is equally important in trading or cardplay. Consequently, we settled on game structured training because this fits the need for experience in the complex world of market analysis and trading.

Gaming the Markets: Their Run Pause Character
Understanding Markets and How They Evolve
Early on Steidlmayer pointed out that markets are in one of two phases, congesting or distributing. He is obviously correct, this is an observable; we all see it in all markets. Here we would broaden the statement: Markets run and pause in all time frames, where run and distribution are equivalent; pause and congest mean the same. In an ideal world, this is a tells all. But markets are real world. There is uncertainty in the minds of traders and there is a noise component due to the statistical nature of the data. So rather we would say that:
(A) Markets run, test, pause, test, run, test, pause and so on in all time frames.
Statement (A) has limitations. A lower time limit is set by the point at which the market loses coherence, where measurements start losing structure. Our research roughly sets the lower coherence limit at about 5 minutes. Most profiles are built on a 30 minute base, well above the coherence limit. Practically, there is no upper limit: markets show evidence of run-pause behavior on multi-year timeframes (example: Elliott waves). So practically, the run, pause paradigm works for us in our timeframes of interest, shorter term for day traders, longer for swing traders.

Within a day there are typically three run-pause periods (three trading opportunities). On a multiple day basis a market may be in a 14 day balance, while the five day picture shows trend. It is quite normal for a market that has been balancing for say 8 days with a well defined upper and lower limit to have a strong inter-day trend. In balanced active markets this may happen daily.

The underlying principle is that markets run and pause in virtually all time frames, from possibly 5 to 15 minutes to many days. The cause of runs and pauses is well described in CMP 1991 (as the market cycle). In a single year (2006) a particular market (UU) had 33 balances of two contiguous days or more for the 5 day timeframe. For the 10, 15 and 20 day Overlays there were 25, 20 and 20 balances, respectively. If your market is in a 5 day balance at the close of today you know the upper and lower balance limits. Thus you know the breakout price, that price which alerts you to the start of a trend. If you are following a trending market and a 2 day balance occurs, this is a clue that this market may be starting to congest. If at the end of the next day you have a 3 day balance you have yet stronger evidence for congestion.

The Profile Trading Game (PTG)
In most games you start out with some resources, some cash in poker, some play money in Monoply and so on. In PTG you begin with (1) access to a set of all the balances in your chosen market for a period of a year. (2) All the Value_Analytics data tables for each trading day of the year. The third item is the historical Meta-Profile program that allows you to track the development of the market within any given day, i.e. you trade it in real time. The fourth item is the run-pause program used to determine the market condition (trend or balance) in the intra-day timeframe, again, effectively real time.

Your Approach to the game:
1. Choose a day to analyze from the Balances List (sample below)
2. Get the three Value Analytics tables for that day end (sample below)
2a, Analyze the Report Table data:
2b. Do you see continuation or change?
3. Determine the flow of the market for that day end
4. Devise a strategy for the next day: breakout or congestive or both
5 Next Day: use the Meta-Profile program (CMaPS) to track the market (sample below)
5a. What did the pre-market (if any) show? Any need to change strategy?
5b. If a breakout, when did it happen? What is your strategy now?
5c. If a responsive trade, when did it happen? Your strategy now?
6. Continue to the close

Data for the Game
1. The Balances Data Base
A CISCO product, the Advice Engine, daily calculates market balances on 5, 10, 15 and 20 day bases.
A history table of balances for the future you have chosen is available for the game. (sample below)
If your selected market is in balance for a particular day it will show up in this table.
Under History Day, program Overlays_History gets the list of balances, for information on the tables, click on:
Advice Engine Background

Note! Markets are time-frame related. You can have a four day trend inside a ten day balance. You can have a ten day breakout while the twenty day Overlay remains in balance. The Balances database has nominal five, ten, fifteen and twenty day balances. You can play the Initiative/Responsive Game on short, intermediate or long timeframes. This has never before been possible.

2. The Value Analytics Data Base
Under History Day: program Table_History gets the selected Table, for information on the Report Table, click on: Background???
The Value Analytics Table Report lists a 3 day set of reference points and goes through the year of your selected commodity on a day-to-day basis. A description is in the link: (sample below)
Value Analytics Background

The Game

You start the game by cheating. You have the table of balance days (Balance Table) in hand. You know when your market is in balance and when it is going to breakout. You decide whether you want to study market behavior for responsive trading (balance periods) or for breakouts. Then you choose a start day to use Value Analytics data to give you the flow variables for the close of day. From this point on--no cheating!

Steps for a breakout, initiative trader.
1. Examine the Balances Table (that you have listed for this delivery and have in your notebook).
2. Select a date. Idea: if you choose a date just before a breakout you know by examining the following day data just how far the breakout went relative to the Limit that was exceeded, hence your maximum opportunity.
3. Set your strategy: where you would get in, how much to risk, how to handle stops, exits, etc.
This is the YOU part of the equation. Everyone will handle this situation differently.
4. Use the CMaPS profile history link to track your market. You may want to first look at the post close trading if it exists, and the post midnight pre-opening market behavior. This information may cause you to change your strategy.
5. Current day trading: Apply your strategy. CMaPS profile history lets you track the market on a 15 or 30 minute basis.
6. This is the game: how well did you do compared to the maximum opportunity? Give yourself a 10 if you exceeded fifty percent of the maximum opportunity. Take a 9 for 45% or more. An 8 for 40% or more. And so on.

Steps for a responsive trader.
1. Examine the Balances Table (that you have listed for this delivery)
2. Select a date within a balance run. Note the Limits and size of the Octant.
3. Your game is to wait for the market to go too high and sell it (too low and buy it). Suggestion: price between Upper Limit and Octant is too high; price between Lower Limit and Octant is too low. Set your stop (suggestion, market is balanced at the center of the balance.)
4. Use the CMaPS profile history link to track your market. You may want to first look at the post close trading if it exists, and the post midnight pre-opening market behavior. This information may cause you to change your strategy.
5. Current day trading: Apply your strategy. CMaPS profile history lets you track the market on a 15 or 30 minute basis.
6. This is the game: how well did you do compared to the maximum opportunity? Maximum opportunity is Octant to center. Give yourself a 10 if you exceeded fifty percent of the maximum opportunity. Take a 9 for 45% or more. An 8 for 40% or more. And so on. Note, depending on your strategy and/or ability to read the market on the fly, your returns may exceed the 'Maximum opportunity'. If you do that for a day, give yourself a gold star.

Sample Balances Table for emini SP March Contract 2006
10 Day Overlay (ov), Limits, Octants, etc.


 Dte Ov  F  Dl  Yr        ULIM    LLIM     CLO    $RNG   U-OCT     MID   L-OCT Tst

0103 10 UU   3   6   S  127850  125300  127475    1275  127532  126575  125618 T     
0104 10 UU   3   6   S  128150  125300  128050    1425  127794  126725  125656 T     
0105 10 UU   3   6   S  128200  125300  128125    1450  127838  126750  125662 T     

0113 10 UU   3   6   S  130000  127500  129275    1250  129688  128750  127812  * 8  
0116 10 UU   3   6   S  130000  127500  129475    1250  129688  128750  127812  * 9  
0117 10 UU   3   6   S  130000  127500  128950    1250  129688  128750  127812       
0118 10 UU   3   6   L  130050  127550  128375    1250  129738  128800  127862       
0119 10 UU   3   6   L  130050  127800  128825    1125  129769  128925  128081       

0123 10 UU   3   6   L  130050  126600  126925    1725  129619  128325  127031       
0124 10 UU   3   6   L  130050  126600  127050    1725  129619  128325  127031       
0125 10 UU   3   6   L  129500  126400  127100    1550  129113  127950  126787 T     
0126 10 UU   3   6   L  129500  126400  127775    1550  129113  127950  126787       
0127 10 UU   3   6   S  129200  126400  129175    1400  128850  127800  126750  * 9  
0130 10 UU   3   6   S  129200  126400  128850    1400  128850  127800  126750       
0131 10 UU   3   6   S  129200  126400  128350    1400  128850  127800  126750       
0201 10 UU   3   6   S  129200  126400  128725    1400  128850  127800  126750       
0202 10 UU   3   6   L  129100  126400  127200    1350  128763  127750  126737       
0203 10 UU   3   6   L  129100  126350  126550    1375  128757  127725  126693       
0206 10 UU   3   6   L  129100  126350  126875    1375  128757  127725  126693       
0207 10 UU   3   6   L  129100  125650  125750    1725  128669  127375  126081 T     
0208 10 UU   3   6   L  129100  125650  126825    1725  128669  127375  126081       
0209 10 UU   3   6   L  127700  125650  126575    1025  127444  126675  125906  * 6  
0210 10 UU   3   6   S  127700  125650  126825    1025  127444  126675  125906  * 7  
0213 10 UU   3   6   L  127700  125650  126575    1025  127444  126675  125906  * 8  
0214 10 UU   3   6   S  128650  125650  127825    1500  128275  127150  126025       
0215 10 UU   3   6   S  128350  125650  128225    1350  128013  127000  125987       

Legend
   Dte: = Day,   
     Ov = # Days in Overlay   
      F = Tick Symbol   
     Dl = Delivery   
     Yr = Trade Year

     S/L= Close Loc: L = above Mid (Long),  S = below Mid (Short)
   ULIM = Upper LiMIT
   LLIM = Lower LIMIT
    CLO = Close

   $RNG = Range  
  U-OCT = Upper Octant
    MID = Center 
  L-OCT = Lower Octant'/) 
    Tst = Testing for breakout
     
     *8 = An 8 day Balance in the 10 day list

Three days of balance: Jan 03 through Jan 05, note that there was some 'limit creep' with the upper limit. Then five days of trend and chop and back into balance on Jan 13 for a balance period of five days. There was a break out for one day (Jan 20) and then back into for 18 days through Feb 15.

Remember: Markets are Continuous and Migratory. Even balanced markets' price moves about (fluctuate) some as the market continuously probes for value.


Report Table (3 Day)

  Value-Analytics Market Condition Report:     Copyright CISCO 2007  
                  Value Trading, A Page of Clues
                      UU  06 03  08:30 15:15

                      20060117         20060118         20060119

 1. MARKET CONDITION: Balances...............
 1a. Overlay Limits.........            2 Days           3 Days
Lim3 Upr - Lwr         0       0   129200  128750   129200  127800
#Dist & Clos %R                         2      70        1      70

 1b. Overlay Limits: 5 Days.........
Lim5 Upr - Lwr    130050  128450   129500  127800   129500  127800

 1c. Overlay Limits: 10 Days.........
Lim10 Upr - Lwr   130000  127500   130050  127550   130050  127800

 2. META-PROFILE ANALYSES.....
 2a.General...........
Price: Hi - Lo    129000  128350   128775  127675   129300  128325
Pri: Fst - Lst    128800  128900   128100  128350   128550  128825
# Distributions          1                1                2
# Price Lines           27               45               40
# TPOs - Total         159              198              146
# TICKS               8266            12175             9878
Td Facil Factor       5.89             4.40             3.65
VTY: 30 Min Bar        258              328              235
HI/LO % of High         98               98               98

 2b. Initial Balance...........
IB Pri: Hi - Lo   128900  128600   128775  128050   128700  128400
IB Loc: Hi - Lo       5    17          1    30         25    37
IB Range                13               30               13
IB Rng % of Day         48               66               32
IB TPO Total           118              127               55
IB TPOs Abv/Blo       8    33          0    71         87     4

 2c. Meta-Profile...........
Price VAU - VAL   128875  128600   128400  127900   129300  128600
P-Loc VAU - VAL       6    17         16    36          1    29
VA Range                12               21               29
VA POC               128800           128150           128825
VA POC TPO-SYM   BCDEJKLMNO       BFKLM            HMO
VA TPOs Upper           42               91               73
VA TPOs Lower          105               95               66

 2d. Tails..........
Tail Upper #Pri          1                5                1
Tail Lower #Pri          1                2                2
Tail Up Comment      InCompl            Compl          InCompl
Tail Dn Comment      InCompl            Compl            Compl

 2e. Range Extension.........
Rg Extension Up   128975  128925        0       0        0       0
Rg Extension Dn   128575  128375   128025  127725   128375  128375

 2f. Attempted Direction (Balanced Market).........
AD: POC                 --               DN               UP
AD: Rotn Fac            -5               -1               -2

 2g. Profile Information: Double (+) Distribution Days..........
Profile Number: 1...........
Profile Upr VAU      128925           128425           129200
Profile POC          128725           128050           128900
Profile Lwr VAL      128450           127800           128775
POC TPOS        BCDEFGJKLN       BFGHIKLM         HIMNO

Profile Number: 2...........
Profile Upr VAU      129325           129325           128675
Profile POC          129175           129175           128475
Profile Lwr VAL      129125           129125           128400
POC TPOS                                          BCDEF

---------------------------------------------------------------------------

Tomorrow Trading (Bassis EOD 20060119)

  CMaPS History for UU 20060120
  Time: 02:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  02:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
----------------------------------------------
                     V Tick      30 minute
    Price  TPOs      A Count     Tick Bars
----------------------------------------------
   128775  l         |   3       l   
   128750  klm       |  11      klm   
   128725  klm*      |  11      klm  L
   128700  klm       |  11      klm   
   128675  jklm      >  10     jklm F 
   128650  jm            6     j  m   
   128625 *j             2     j   
 
Totals:    54 Ticks in   7 prices.
Warning: Not enough data to calculate a valid Value Area!
 

  Time: 02:30
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  02:30
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
----------------------------------------------
                     V Tick      30 minute
    Price  TPOs      A Count     Tick Bars
----------------------------------------------
   128900  n             6         n   
   128875  n            11         n   
   128850  n            10         n   
   128825  n             9         n   
   128800  n*            5         n  L
   128775  ln            4       l n   
   128750  klmn      >  12      klmn F 
   128725  klm       |  11      klm   
   128700  klm       |  11      klm   
   128675  jklm      |  10     jklm   
   128650  jm        |   6     j  m   
   128625 *j             2     j   
 
Totals:    97 Ticks in  12 prices.


  Time: 03:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  03:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
----------------------------------------------
                     V Tick      30 minute
    Price  TPOs      A Count     Tick Bars
----------------------------------------------
   128900  np            9         np   
   128875  np*          18         np  L
   128850  np           15         np   
   128825  np           14         np F 
   128800  np        |   8         np   
   128775  ln        |   4       l n   
   128750  klmn      >  12      klmn   
   128725  klm       |  11      klm   
   128700  klm       |  11      klm   
   128675  jklm      |  10     jklm   
   128650  jm        |   6     j  m   
   128625 *j             2     j   
 
Totals:   120 Ticks in  12 prices.


  Time: 03:30
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  03:30
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
----------------------------------------------
                     V Tick      30 minute
    Price  TPOs      A Count     Tick Bars
----------------------------------------------
   128900  npq          11         npq F 
   128875  npq          25         npq   
   128850  npq       |  26         npq   
   128825  npq       |  20         npq   
   128800  npq*      |   9         npq  L
   128775  ln        |   4       l n   
   128750  klmn      >  12      klmn   
   128725  klm       |  11      klm   
   128700  klm       |  11      klm   
   128675  jklm      |  10     jklm   
   128650  jm        |   6     j  m   
   128625 *j             2     j   
 
Totals:   147 Ticks in  12 prices.


  Time: 04:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  04:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
-----------------------------------------------
                      V Tick      30 minute
    Price  TPOs       A Count     Tick Bars
-----------------------------------------------
   128900  npq        |  11         npq   
   128875  npq        |  25         npq   
   128850  npqr       |  28         npqr   
   128825  npqr       |  23         npqr   
   128800  npqr       |  11         npqr   
   128775  lnr        |   6       l n  r   
   128750  klmns*     >  13      klmn   s FL
   128725  klm        |  11      klm   
   128700  klm        |  11      klm   
   128675  jklm          10     jklm   
   128650  jm             6     j  m   
   128625 *j              2     j   
 
Totals:   157 Ticks in  12 prices.


  Time: 05:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  05:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
------------------------------------------------
                       V Tick      30 minute
    Price  TPOs        A Count     Tick Bars
------------------------------------------------
   128900  npq            11         npq   
   128875  npq            25         npq   
   128850  npqr           28         npqr   
   128825  npqr        |  23         npqr   
   128800  npqr        |  11         npqr   
   128775  lnrs        |  11       l n  rs   
   128750  klmns       |  22      klmn   s   
   128725  klms        |  18      klm    s   
   128700  klmst       |  24      klm    st F 
   128675  jklmst      >  34     jklm    st   
   128650  jmt*           27     j  m     t  L
   128625 *jt              9     j        t   
 
Totals:   243 Ticks in  12 prices.


  Time: 06:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  06:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
-------------------------------------------------
                        V Tick      30 minute
    Price  TPOs         A Count     Tick Bars
-------------------------------------------------
   128900  npq             11         npq   
   128875  npq          |  25         npq   
   128850  npqr         |  28         npqr   
   128825  npqr         |  23         npqr   
   128800  npqr         |  11         npqr   
   128775  lnrs         |  11       l n  rs   
   128750  klmns        |  22      klmn   s   
   128725  klmsu        |  19      klm    s u   
   128700  klmstu       |  26      klm    stu   
   128675  jklmstu      >  36     jklm    stu   
   128650  jmtu         |  28     j  m     tu   
   128625 *jtuv         |  12     j        tuv   
   128600  uv              15               uv   
   128575  uv              23               uv   
   128550  uv              16               uv   
   128525  vw*             17                vw FL
   128500  v               15                v   
   128475  v                4                v   
 
Totals:   342 Ticks in  18 prices.


  Time: 07:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  07:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
-------------------------------------------------
                        V Tick      30 minute
    Price  TPOs         A Count     Tick Bars
-------------------------------------------------
   128900  npq             11         npq   
   128875  npq          |  25         npq   
   128850  npqr         |  28         npqr   
   128825  npqr         |  23         npqr   
   128800  npqr         |  11         npqr   
   128775  lnrs         |  11       l n  rs   
   128750  klmns        |  22      klmn   s   
   128725  klmsu        |  19      klm    s u   
   128700  klmstu       |  26      klm    stu   
   128675  jklmstu      >  36     jklm    stu   
   128650  jmtu         |  28     j  m     tu   
   128625 *jtuv         |  12     j        tuv   
   128600  uv              15               uv   
   128575  uvx             27               uv x   
   128550  uvwx*           26               uvwx FL
   128525  vwx             37                vwx   
   128500  vwx             36                vwx   
   128475  vw              17                vw   
   128450  w                7                 w   
 
Totals:   417 Ticks in  19 prices.


  Time: 08:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  08:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
-------------------------------------------------
                        V Tick      30 minute
    Price  TPOs         A Count     Tick Bars
-------------------------------------------------
   128900  npq             11         npq   
   128875  npq          |  25         npq   
   128850  npqr         |  28         npqr   
   128825  npqr         |  23         npqr   
   128800  npqr         |  11         npqr   
   128775  lnrs         |  11       l n  rs   
   128750  klmns        |  22      klmn   s   
   128725  klmsu        |  19      klm    s u   
   128700  klmstu       |  26      klm    stu   
   128675  jklmstu      >  36     jklm    stu   
   128650  jmtu         |  28     j  m     tu   
   128625 *jtuvZ        |  20     j        tuv  Z   
   128600  uvZ          |  34               uv  Z   
   128575  uvxZ$        |  48               uv xZ$   
   128550  uvwxZ$*         49               uvwxZ$ FL
   128525  vwxZ$           50                vwxZ$   
   128500  vwx             36                vwx   
   128475  vw              17                vw   
   128450  w                7                 w   
 
Totals:   501 Ticks in  19 prices.
 

  Time: 09:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  09:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA              15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZAB        |  71     j        tuv  Z AB   
   128600  uvZABC*        |  60               uv  Z ABC FL
   128575  uvxZ$AB        |  64               uv xZ$AB   
   128550  uvwxZ$B           55               uvwxZ$ B   
   128525  vwxZ$             50                vwxZ$   
   128500  vwx               36                vwx   
   128475  vw                17                vw   
   128450  w                  7                 w   
 
Totals:  1724 Ticks in  19 prices.



  Time: 10:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  10:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA              15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZABC       |  73     j        tuv  Z ABC   
   128600  uvZABC         |  86               uv  Z ABC   
   128575  uvxZ$ABC       | 143               uv xZ$ABC   
   128550  uvwxZ$BC       | 154               uvwxZ$ BC   
   128525  vwxZ$C         | 135                vwxZ$  C   
   128500  vwxC           | 115                vwx    C   
   128475  vwC            | 119                vw     C   
   128450  wC               127                 w     C   
   128425  C                159                       C   
   128400  C                168                       C   
   128375  CD               123                       CD   
   128350  CD                82                       CD   
   128325  CD                52                       CD   
   128300  D                 74                        D   
   128275  D                111                        D   
   128250  D                139                        D   
   128225  D                116                        D   
   128200  D                 52                        D   
   128175  D                 28                        D   
   128150  D                 34                        D   
   128125  D                 86                        D   
   128100  D                116                        D   
   128075  D                 57                        D   
   128050  D                 19                        D   
   128025  D                 19                        D   
   128000  D                 55                        D   
   127975  D                 63                        D   
   127950  D                 35                        D   
   127925  DE*               83                        DE FL
   127900  D                 91                        D   
   127875  D                 32                        D   
   127850  D                 16                        D   
   127825  D                 48                        D   
   127800  D                 51                        D   
   127775  D                 28                        D   
   127750  D                 14                        D   
   127725  D                  1                        D   
 
Totals:  4268 Ticks in  48 prices.



  Time: 11:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  11:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA           |  15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZABC       |  73     j        tuv  Z ABC   
   128600  uvZABC         |  86               uv  Z ABC   
   128575  uvxZ$ABC       | 143               uv xZ$ABC   
   128550  uvwxZ$BC       | 154               uvwxZ$ BC   
   128525  vwxZ$C         | 135                vwxZ$  C   
   128500  vwxC           | 115                vwx    C   
   128475  vwC            | 119                vw     C   
   128450  wC             | 127                 w     C   
   128425  C              | 159                       C   
   128400  C              | 168                       C   
   128375  CD             | 123                       CD   
   128350  CD             |  82                       CD   
   128325  CD             |  52                       CD   
   128300  D              |  74                        D   
   128275  D              | 111                        D   
   128250  D              | 139                        D   
   128225  D              | 116                        D   
   128200  D              |  52                        D   
   128175  D              |  28                        D   
   128150  D              |  34                        D   
   128125  D              |  86                        D   
   128100  D                116                        D   
   128075  D                 57                        D   
   128050  D                 19                        D   
   128025  DE                23                        DE   
   128000  DE                71                        DE   
   127975  DE               108                        DE   
   127950  DE               126                        DE   
   127925  DE               226                        DE   
   127900  DE               284                        DE   
   127875  DE               222                        DE   
   127850  DE               146                        DE   
   127825  DEF              147                        DEF   
   127800  DEF              142                        DEF F 
   127775  DEF              116                        DEF   
   127750  DEF              150                        DEF   
   127725  DEF              162                        DEF   
   127700  EF               129                         EF   
   127675  EF               123                         EF   
   127650  EF               128                         EF   
   127625  EF               118                         EF   
   127600  F                102                          F   
   127575  F                 78                          F   
   127550  F                 43                          F   
   127525  F                 17                          F   
   127500  F                  1                          F   
   127475  F                  5                          F   
   127450  F                 35                          F   
   127425  F                 90                          F   
   127400  F*               131                          F  L
   127375  F                103                          F   
   127350  F                 70                          F   
   127325  F                 58                          F   
   127300  F                 33                          F   
   127275  F                 16                          F   
   127250  F                  4                          F   
 
Totals:  6939 Ticks in  67 prices.



  Time: 12:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  12:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA           |  15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZABC       |  73     j        tuv  Z ABC   
   128600  uvZABC         |  86               uv  Z ABC   
   128575  uvxZ$ABC       | 143               uv xZ$ABC   
   128550  uvwxZ$BC       | 154               uvwxZ$ BC   
   128525  vwxZ$C         | 135                vwxZ$  C   
   128500  vwxC           | 115                vwx    C   
   128475  vwC            | 119                vw     C   
   128450  wC             | 127                 w     C   
   128425  C              | 159                       C   
   128400  C              | 168                       C   
   128375  CD             | 123                       CD   
   128350  CD             |  82                       CD   
   128325  CD             |  52                       CD   
   128300  D              |  74                        D   
   128275  D              | 111                        D   
   128250  D              | 139                        D   
   128225  D              | 116                        D   
   128200  D              |  52                        D   
   128175  D              |  28                        D   
   128150  D              |  34                        D   
   128125  D              |  86                        D   
   128100  D              | 116                        D   
   128075  D              |  57                        D   
   128050  D              |  19                        D   
   128025  DE             |  23                        DE   
   128000  DE             |  71                        DE   
   127975  DE             | 108                        DE   
   127950  DE             | 126                        DE   
   127925  DE             | 226                        DE   
   127900  DE             | 284                        DE   
   127875  DE             | 222                        DE   
   127850  DE             | 146                        DE   
   127825  DEF            | 147                        DEF   
   127800  DEF              142                        DEF   
   127775  DEF              116                        DEF   
   127750  DEF              150                        DEF   
   127725  DEF              162                        DEF   
   127700  EF               129                         EF   
   127675  EFG              129                         EFG   
   127650  EFG              175                         EFG   
   127625  EFGH             220                         EFGH   
   127600  FGH              228                          FGH F 
   127575  FGH              190                          FGH   
   127550  FGH              171                          FGH   
   127525  FGH              187                          FGH   
   127500  FGH              164                          FGH   
   127475  FGH              143                          FGH   
   127450  FGH              155                          FGH   
   127425  FGH              208                          FGH   
   127400  FGH              284                          FGH   
   127375  FGH*             261                          FGH  L
   127350  FGH              191                          FGH   
   127325  FH               133                          F H   
   127300  FH                82                          F H   
   127275  FH                50                          F H   
   127250  FH                26                          F H   
   127225  H                 17                            H   
 
Totals:  8798 Ticks in  68 prices.



  Time: 13:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  13:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA           |  15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZABC       |  73     j        tuv  Z ABC   
   128600  uvZABC         |  86               uv  Z ABC   
   128575  uvxZ$ABC       | 143               uv xZ$ABC   
   128550  uvwxZ$BC       | 154               uvwxZ$ BC   
   128525  vwxZ$C         | 135                vwxZ$  C   
   128500  vwxC           | 115                vwx    C   
   128475  vwC            | 119                vw     C   
   128450  wC             | 127                 w     C   
   128425  C              | 159                       C   
   128400  C              | 168                       C   
   128375  CD             | 123                       CD   
   128350  CD             |  82                       CD   
   128325  CD             |  52                       CD   
   128300  D              |  74                        D   
   128275  D              | 111                        D   
   128250  D              | 139                        D   
   128225  D              | 116                        D   
   128200  D              |  52                        D   
   128175  D              |  28                        D   
   128150  D              |  34                        D   
   128125  D              |  86                        D   
   128100  D              | 116                        D   
   128075  D              |  57                        D   
   128050  D              |  19                        D   
   128025  DE             |  23                        DE   
   128000  DE             |  71                        DE   
   127975  DE             | 108                        DE   
   127950  DE             | 126                        DE   
   127925  DE             | 226                        DE   
   127900  DE             | 284                        DE   
   127875  DE             | 222                        DE   
   127850  DE             | 146                        DE   
   127825  DEF            | 147                        DEF   
   127800  DEF            | 142                        DEF   
   127775  DEF            | 116                        DEF   
   127750  DEF            | 150                        DEF   
   127725  DEF            | 162                        DEF   
   127700  EF             | 129                         EF   
   127675  EFG            | 129                         EFG   
   127650  EFG            | 175                         EFG   
   127625  EFGH           | 220                         EFGH   
   127600  FGH              228                          FGH   
   127575  FGH              190                          FGH   
   127550  FGH              171                          FGH   
   127525  FGH              187                          FGH   
   127500  FGH              164                          FGH   
   127475  FGH              143                          FGH   
   127450  FGH              155                          FGH   
   127425  FGH              208                          FGH   
   127400  FGHI             289                          FGHI   
   127375  FGHI             289                          FGHI   
   127350  FGHI             262                          FGHI   
   127325  FHI              228                          F HI   
   127300  FHIJ             190                          F HIJ   
   127275  FHIJ             183                          F HIJ F 
   127250  FHIJ             150                          F HIJ   
   127225  HIJ              162                            HIJ   
   127200  IJ               189                             IJ   
   127175  IJ               200                             IJ   
   127150  IJ               231                             IJ   
   127125  IJ               226                             IJ   
   127100  IJ               138                             IJ   
   127075  IJ                77                             IJ   
   127050  IJ*               71                             IJ  L
   127025  J                 51                              J   
   127000  J                 35                              J   
   126975  J                 21                              J   
   126950  J                  4                              J   
 
Totals: 10750 Ticks in  79 prices.



  Time: 14:00
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  14:00
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA           |  15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZABC       |  73     j        tuv  Z ABC   
   128600  uvZABC         |  86               uv  Z ABC   
   128575  uvxZ$ABC       | 143               uv xZ$ABC   
   128550  uvwxZ$BC       | 154               uvwxZ$ BC   
   128525  vwxZ$C         | 135                vwxZ$  C   
   128500  vwxC           | 115                vwx    C   
   128475  vwC            | 119                vw     C   
   128450  wC             | 127                 w     C   
   128425  C              | 159                       C   
   128400  C              | 168                       C   
   128375  CD             | 123                       CD   
   128350  CD             |  82                       CD   
   128325  CD             |  52                       CD   
   128300  D              |  74                        D   
   128275  D              | 111                        D   
   128250  D              | 139                        D   
   128225  D              | 116                        D   
   128200  D              |  52                        D   
   128175  D              |  28                        D   
   128150  D              |  34                        D   
   128125  D              |  86                        D   
   128100  D              | 116                        D   
   128075  D              |  57                        D   
   128050  D              |  19                        D   
   128025  DE             |  23                        DE   
   128000  DE             |  71                        DE   
   127975  DE             | 108                        DE   
   127950  DE             | 126                        DE   
   127925  DE             | 226                        DE   
   127900  DE             | 284                        DE   
   127875  DE             | 222                        DE   
   127850  DE             | 146                        DE   
   127825  DEF            | 147                        DEF   
   127800  DEF            | 142                        DEF   
   127775  DEF            | 116                        DEF   
   127750  DEF            | 150                        DEF   
   127725  DEF            | 162                        DEF   
   127700  EF             | 129                         EF   
   127675  EFG            | 129                         EFG   
   127650  EFG            | 175                         EFG   
   127625  EFGH           | 220                         EFGH   
   127600  FGH            | 228                          FGH   
   127575  FGH            | 190                          FGH   
   127550  FGH            | 171                          FGH   
   127525  FGH            | 187                          FGH   
   127500  FGH            | 164                          FGH   
   127475  FGH            | 143                          FGH   
   127450  FGH            | 155                          FGH   
   127425  FGH            | 208                          FGH   
   127400  FGHI             289                          FGHI   
   127375  FGHI             289                          FGHI   
   127350  FGHI             262                          FGHI   
   127325  FHIK             231                          F HI K   
   127300  FHIJKL           223                          F HIJKL F 
   127275  FHIJKL           244                          F HIJKL   
   127250  FHIJKL           233                          F HIJKL   
   127225  HIJKL            234                            HIJKL   
   127200  IJKL             281                             IJKL   
   127175  IJKL             348                             IJKL   
   127150  IJKL             398                             IJKL   
   127125  IJKL             384                             IJKL   
   127100  IJKL             275                             IJKL   
   127075  IJKL             237                             IJKL   
   127050  IJKL             253                             IJKL   
   127025  JKL              219                              JKL   
   127000  JKL              156                              JKL   
   126975  JKL              118                              JKL   
   126950  JKL*             109                              JKL  L
   126925  KL                73                               KL   
   126900  KL                27                               KL   
   126875  L                  6                                L   
 
Totals: 12643 Ticks in  82 prices.



  Time: 15:15
            Commodity:  UUH - Mini S&P 500 (CME-IOM)
         Trading Date:  20060120
           Start Time:  00:00
            Stop Time:  15:15
         Profile Type:  30 minute
 
 
         CISCO Meta-Profile
---------------------------------------------------
                          V Tick      30 minute
    Price  TPOs           A Count     Tick Bars
---------------------------------------------------
   128900  npqA           |  15         npq         A   
   128875  npqA           |  48         npq         A   
   128850  npqrAB         |  64         npqr        AB   
   128825  npqrAB         |  73         npqr        AB   
   128800  npqrAB         |  70         npqr        AB   
   128775  lnrsAB         |  77       l n  rs       AB   
   128750  klmnsAB        | 160      klmn   s       AB   
   128725  klmsuAB        | 252      klm    s u     AB   
   128700  klmstuAB       | 265      klm    stu     AB   
   128675  jklmstuAB      > 208     jklm    stu     AB   
   128650  jmtuAB         | 132     j  m     tu     AB   
   128625 *jtuvZABC       |  73     j        tuv  Z ABC   
   128600  uvZABC         |  86               uv  Z ABC   
   128575  uvxZ$ABC       | 143               uv xZ$ABC   
   128550  uvwxZ$BC       | 154               uvwxZ$ BC   
   128525  vwxZ$C         | 135                vwxZ$  C   
   128500  vwxC           | 115                vwx    C   
   128475  vwC            | 119                vw     C   
   128450  wC             | 127                 w     C   
   128425  C              | 159                       C   
   128400  C              | 168                       C   
   128375  CD             | 123                       CD   
   128350  CD             |  82                       CD   
   128325  CD             |  52                       CD   
   128300  D              |  74                        D   
   128275  D              | 111                        D   
   128250  D              | 139                        D   
   128225  D              | 116                        D   
   128200  D              |  52                        D   
   128175  D              |  28                        D   
   128150  D              |  34                        D   
   128125  D              |  86                        D   
   128100  D              | 116                        D   
   128075  D              |  57                        D   
   128050  D              |  19                        D   
   128025  DE             |  23                        DE   
   128000  DE             |  71                        DE   
   127975  DE             | 108                        DE   
   127950  DE             | 126                        DE   
   127925  DE             | 226                        DE   
   127900  DE             | 284                        DE   
   127875  DE             | 222                        DE   
   127850  DE             | 146                        DE   
   127825  DEF            | 147                        DEF   
   127800  DEF            | 142                        DEF   
   127775  DEF            | 116                        DEF   
   127750  DEF            | 150                        DEF   
   127725  DEF            | 162                        DEF   
   127700  EF             | 129                         EF   
   127675  EFG            | 129                         EFG   
   127650  EFG            | 175                         EFG   
   127625  EFGH           | 220                         EFGH   
   127600  FGH            | 228                          FGH   
   127575  FGH            | 190                          FGH   
   127550  FGH            | 171                          FGH   
   127525  FGH            | 187                          FGH   
   127500  FGH            | 164                          FGH   
   127475  FGH            | 143                          FGH   
   127450  FGH            | 155                          FGH   
   127425  FGH            | 208                          FGH   
   127400  FGHI           | 289                          FGHI   
   127375  FGHI           | 289                          FGHI   
   127350  FGHI           | 262                          FGHI   
   127325  FHIK           | 231                          F HI K   
   127300  FHIJKL         | 223                          F HIJKL   
   127275  FHIJKL         | 244                          F HIJKL   
   127250  FHIJKL         | 233                          F HIJKL   
   127225  HIJKL          | 234                            HIJKL   
   127200  IJKL             281                             IJKL   
   127175  IJKL             348                             IJKL   
   127150  IJKL             398                             IJKL   
   127125  IJKLM            400                             IJKLM   
   127100  IJKLM            314                             IJKLM   
   127075  IJKLM            296                             IJKLM   
   127050  IJKLM            304                             IJKLM   
   127025  JKLM             287                              JKLM   
   127000  JKLM             250                              JKLM   
   126975  JKLM             207                              JKLM   
   126950  JKLM             193                              JKLM   
   126925  KLMN             170                               KLMN   
   126900  KLMN             134                               KLMN   
   126875  LMN               85                                LMN   
   126850  MN               133                                 MN   
   126825  MN               182                                 MN   
   126800  MN               165                                 MN   
   126775  MN               142                                 MN   
   126750  MN                66                                 MN   
   126725  MN                23                                 MN   
   126700  N                 97                                  N   
   126675  N                157                                  N   
   126650  NO               139                                  NO   
   126625  NO               126                                  NO   
   126600  NO               176                                  NO F 
   126575  NO               327                                  NO   
   126550  NO               329                                  NO   
   126525  NO               232                                  NO   
   126500  NO               226                                  NO   
   126475  NO               150                                  NO   
   126450  O*                44                                   O  L
   126425  O                  4                                   O   
 
Totals: 16144 Ticks in 100 prices.