tortoise, My answer to your question should be self-evident. I would encourage you to try both (time and volume) methods and make you own determination as to which works best on e-mini contracts. bolter
in regards to the RTH session vs. globex. Bolter, i think sticking to regular trading hours for your MP calcs is arguably a good way to go. i haven't seen any data one way or the other about whether the 24 hr data is useful for MP but... since (if i understand correctly) you use volume @ price levels vs. time @ price levels to calculate your MP #'s, i doubt it would make any difference, since there is such light volume on the overnight session. it would obviously affect TPO's, but not prices @ volume, since it is so thin overnight, the volumes at any overnight price levels would be a tiny fraction of the volumes one sees during the normal trading hours of the cash indexes (and the premarket of an hour or so.) i play a lot of YM gaps (my favorite trades are gap trades, and I find YM by far the most consistent to play gaps with) and I also use floor trader pivots and some fibs, in addition to market profile #'s. i have found globex hi's and low's to be good levels to mark on a chart, because quite frequently they are turning points for the market. i find (at least for the YM - i don't trade ES) that globex hi's and lows are often retested during the day and then we see a reversal. so, it's a good reference point to use. i also find that classic floor trader pivots are FAR more accurate as turning points when you calculate them from the 24 hr session (obviously if globex hi/lows never exceed the cash session hours, the pivots are the same, otherwise they are different). i have got a lot out of this thread by the way bolter. price is king, and i think we (people who look @ price and price type things such as MP, tick, etc.) will always have an edge over "indicator traders" who are using lagging indicators, such as stochs, macd's, or MA's.
nice journal. if you're using eSignal data, you might want to do a few checks. does the day's open using 1 minute bars match the day's open using the 5 minute bars? does the close on your daily bars match the close on the last 5 minute bar for the day? stuff like that. http://www.elitetrader.com/vb/showthread.php?s=&threadid=63510
In the Matlab code that I e-mailed 2 modules were missing (left.m and mid.m). I just figured out that I can attach a zip file to a post (doooohhhh!!!). So here is the lastest and hopefully complete version. I'm not supporting this code. You guys are own your own. Please no more PM's requesting a copy. bolter
jerryz, I'm aware that there are data discrepancies between different servers at eSignal. I think that is what you're alluding to? For my trading style that's not too much of an issue. Annoying but I can live with it. I believe this will be fixed mid year when they convert to using exchange timestamps, which will also overcome the single timezone problem. Hoorah! This is what I was talking about:
whister, You and I are obviously very much on the same page. Thanks for your post, most excellent! All the best.
As soon as I posted that chart it was bloody obvious what the problem was - wrong symbol knucklehead! Sure enough eSignal has mutiple symbols for currencies for various sessions. Using '6E' for the Euro looks a whole lot better. Gotta get my doctor to up my dosage!
Please excuse my ignorance but are you using the basic Matlab program or one of the add ons as well. I haven't used it as you may have guessed. I'd also like to thank you again for this inspirational and thought provoking thread. Yellar
This will be my last pre-market call on this thread - I intend to hang up my boots tomorrow. Globex is up strongly in the pre-market, 5 points off the lows on the ES. At this stage we look to be opening right around Thursdays HOD. Japan was up strongly today, and Europe is higher - so we have a good setup for a run at the 1301 high today. A chip shot right? Well we'll see. A gap open above recent highs is usually how trend reversals get started, but I don't think that is in our cards today. Levels: ES 1290 1289 1287.5 YM 11123 11115 11100 ER2 733.4 731.4 730.4 Obviously we are opening above Fridays VA - posetive bias. However, I'm going to be looking to fade the gap on signs of weakness at the open. Ideally we'll pullback to the UVA/POC we're I'll reverse my position with a stop below the S/R at 1288.50. I'll use Thursdays HOD as my initial target but I hope we can do better than that. That will be my preferred trade(s) at the open. If we head higher out of the gate I'll be looking to get in on the first pullback if the action looks convincing. Good luck todays guys.
Hi Yellar, I'm not using anything special features in Matlab - just bog standard without calls to any of the toolboxes. The logic is very straigt forward, you could write it in any language. Good luck