A question about odd little holiday globex sessions such as today's and their impact on MP levels... Well, does one take them into consideration? Or does one pretend they didn't happen and go with those from the last "real" session? Thnx.
Hello - I'm new to the room, and to MP. Have read the CBOT manual cover to cover - facinating - after trading technically for about 2 years its a great breath of relief to see there is more! Can someone explain the dashed and red line brackets to the right of the MP graphic in Bolter's spreadsheets? Thanks.
tortoise, For constructing my MP's and VP's I only use RTH data. This means I exclude US holidays also. The only time I pay attention to what's happening outside RTH is in the pre-market from about 7:30 am on. This can give you an idea of where value is currently at. The overnight trade is of no use. Having said, if the previous days range has been extended overnight, I usually note the new high/low. Some traders may have a different view on this. If so I'd be interested to hear their point of view. bolter
tickflciker, I'd be happy to. The dashed green bracket on the left of the MP is the IB (Initial Balance), essentially the price range for the first two periods (A&B), or one hour, of trading. The green arrow head is the opening price. The red dashed bracket on the right is the CR (Closing Range), the red arrow head is the last price traded (not to be confused with settlement price). Why Pete did not call it FB (Final Balance) is beyond me - but I'm sure he had a very good reason. I use the last two periods (M & N) as the CR, ie: 45 minutes. Note, the N period is only 15 minutes. There is not much emphasis placed on the CR generally but I find it quite useful. Hth
Bolter, what hours would you use to create MP and VP for the CME Currencies? What do you consider the IB to be for currencies? Thanks.
Thanks Bolter - I'm having a great time reading this thread... I've been able to find end of day TPO's through CME volume at price FTP server - but it's more than RTH. Do you use the globex emini profile for your analysis? Is there pit info available for emini?
HisapTrader, Tough question. I've never tried MP on currencies, I trade these markets using trading models. Becuase of my heavy reliance on actual contract volume I like to stick to electronic markets where intraday volume is available fro my MP work. I guess if you believed tick volume is a good proxy for "activity" you could analyse "volume" over the 24 hour period for say the last month and figure out opening/closing times and length of the IB. Obviously this will vary for each currency market to coincide with local markets. I've just looked at eSignal intraday data for the majors on the CME. The price action and volume (tick?) numbers look suspect. Any eSignal users that can shed some light on this? Sorry I can't be of more help - I'm outside my sphere of knowledge. bolter
tickflicker, Affirmative. The emini's are in fact smaller electronic versions of "full-sized" pit traded contracts. So the strict answer to your question is yes. But I'm not sure this is the question you wanted to ask? bolter
Is it possible that "traditional" TPO MP analysis is at less of a disadvantage (if indeed the disadvantage exists at all) vis-a-vis volume-based MP with derivatives like the e-mini as its price is so subject to the whims of other vehicles, like the cash indexes, where volume might have a bit more of direct correlation to price activity? (Whew...what a mouthful...sorry...)