RE: Market Profile???

["John Holton" <sftfocus@xxxxxxxxxxx>]

Hi

I've got the programming ability to solve this problem, but not the
mathematical one. Perhaps you have some ideas.
So far this is what I've done. I working off 5 minute bars. I take the
volume for each bar and make the assumption
that the close is where it spends most of the time. (If you reduce this to 1
minute bars its probably even more true, but I can always do that
later once the logic is solved). I create a two dimensional (price and
volume) table for each day and at the start of next day I sort the previous
day's table into ascending price sequence. I then eliminate all of the
duplicates by adding the volume together where the market traded at the same
price. I now have a table of ascending price with it's associated volume.

so I end up with a table like this

price volume
909   14444
910   22444
913   33335

etc

      93939 = total volume for the day

Now what? I could move an envelope over the volume so that I find the price
range where 70% of volume is traded. But that could be
tedious. Perhaps there's a statistical function out there that does the job.

Anybody got any ideas?

John Holton


-----Original Message-----
From: Cody Burgat [mailto:cburgat@xxxxxxxxxxxxxx]
Sent: Wednesday, September 11, 2002 5:08 AM
To: omega-list@xxxxxxxxxx
Subject: Market Profile???


I'm not sure if this question has an answer, but if it does, here's the
place to ask it, I figure.  Thanks in advance to any and all help you
guys are, as always!

What I am trying to do is create an indicator or whatever in
TradeStation to find where in the Market 70% of the price action took
place yesterday, or any other percentage for that matter.  Can this be
done?  I know in TS4 that it can be done, and I know that the data is
available from the CME, I'm just not sure how to reference it or if
there is an indicator that can do this.

For example, if we're looking at the ES as the symbol, and it traded
between 800 and 900 yesterday.  There is an envelope somewhere between
those two extremes where 70% of the price action took place.  If we
wanted, we could take 20% of the price action, or any amount.  There
could only be ONE contract traded at the highest and lowest values for
the day, but SOMEWHERE inbetween, 70% of the day's activity was traded.
I'm trying to figure out how to plot this envelope.  Wow, SO tough :)

Can anyone help?  Does what I want make sense?

Thanks,
Cody