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When is the first bracket? (adapting times)


On Friday (4/7/06) we had Non Farm Payroll figures release at 8:30 EST. This caused a move up in the equity indices and a considerable volume traded in the E-mini S&P500 contract - the ES - from 8:30 EST onwards.

In Market Profile we can elect to look at the market from any bracket we want to and combine days and subdivided half hours etc. The question "what is the right (or correct) setting to use?" often comes up. It may not be the right question. The right question might be, on what days (or when) should I change my settings to give a better reading?

Friday is an excellent day to look at. The standard settings that I use for the ES are from 09:30 to 16:15 EST. On Friday this was wrong. Because of the extraordinary large number of contracts trading from 08:30 onwards as a result of the Non Farm Payroll figures being released I should have adjusted my start time to 08:30 EST which would have given me an Initial Balance (IB) forming from 08:30 to 09:30 instead of an hour later. This in turn would have shown me Range Extension (RE) to the downside from 1316.50 and not from 1310.75 - 5.57 points lower and an hour later.

Here are the top sections of the two different Market Profile graphics that you would have seen on Friday had you used an 8:30 and 9:30 EST starts times:

Non standard 08:30 start time. Brackets B and C are IB.

[1324.00] B
[1323.75] B
[1323.50] B
[1323.25] B
[1323.00] B
[1322.75] BC
[1322.50] BC
[1322.25] BCD
[1322.00] BCD
[1321.75] BCD
[1321.50] BCD
[1321.25] BCD
[1321.00] BCD
[1320.75] BCD
[1320.50] BCD
[1320.25] BCD
[1320.00] BCD
[1319.75] BCD
[1319.50] BCD
[1319.25] BCD
[1319.00] BCD
[1318.75] BCD
[1318.50] BCD
[1318.25] BCD
[1318.00] BCD
[1317.75] BCD
[1317.50] BCDE
[1317.25] BDE
[1317.00] BDE
[1316.75] BDE
[1316.50] BDE
[1316.25] E Range Extension starts here
[1316.00] E
[1315.75] E
[1315.50] E [DVAH]
[1315.25] E
[1315.00] E
[1314.75] E
[1314.50] E
[1314.25] E
[1314.00] E
[1313.75] E
[1313.50] E
[1313.25] E
[1313.00] E
[1312.75] E
[1312.50] EF
[1312.25] EF
[1312.00] EFG
[1311.75] EFG
[1311.50] EFG
[1311.25] EFG
[1311.00] EFG
[1310.75] EFG
[1310.50] FG Instead of here
[1310.25] FG
[1310.00] FG
[1309.75] FG
[1309.50] FG
[1309.25] FGH
[1309.00] FGHN
[1308.75] FGHN
[1308.50] FGHN
[1308.25] FHN
[1308.00] FHN
[1307.75] FHN
[1307.50] HN
[1307.25] HNP
[1307.00] HIKMNP
[1306.75] HIJKMNP
[1306.50] HIJKLMNP
[1306.25] HIJKLMNP
[1306.00] HIJKLMNP
[1305.75] HIJKLMNP
[1305.50] HIJKLMNP
[1305.25] HIJKLMNP
[1305.00] HIJKLMNP
[1304.75] HIJKLMNP
[1304.50] HIJKLMPQ
[1304.25] HIJKLMPQ
[1304.00] HIJKLMPQR [DPOC]
[1303.75] HIKLMPQR
[1303.50] IKLMPQR
[1303.25] IKLPQR
[1303.00] KLPQR
[1302.75] LPQR
[1302.50] PQR
[1302.25] PQ
[1302.00] Q [DVAL]
[1301.75] Q
[1301.50] Q
[1301.25] Q

Standard 9:30 EST start time. Brackets D and E are IB.

[1322.25] D
[1322.00] D
[1321.75] D
[1321.50] D
[1321.25] D
[1321.00] D
[1320.75] D
[1320.50] D
[1320.25] D
[1320.00] D
[1319.75] D
[1319.50] D
[1319.25] D
[1319.00] D
[1318.75] D
[1318.50] D
[1318.25] D
[1318.00] D
[1317.75] D
[1317.50] DE
[1317.25] DE
[1317.00] DE
[1316.75] DE
[1316.50] DE
[1316.25] E
[1316.00] E
[1315.75] E
[1315.50] E
[1315.25] E
[1315.00] E
[1314.75] E
[1314.50] E
[1314.25] E
[1314.00] E
[1313.75] E
[1313.50] E
[1313.25] E
[1313.00] E
[1312.75] E
[1312.50] EF
[1312.25] EF
[1312.00] EFG
[1311.75] EFG
[1311.50] EFG
[1311.25] EFG
[1311.00] EFG
[1310.75] EFG
[1310.50] FG [DVAH] Range Extension starts here
[1310.25] FG
[1310.00] FG
[1309.75] FG
[1309.50] FG
[1309.25] FGH
[1309.00] FGHN
[1308.75] FGHN
[1308.50] FGHN
[1308.25] FHN
[1308.00] FHN
[1307.75] FHN
[1307.50] HN
[1307.25] HNP
[1307.00] HIKMNP
[1306.75] HIJKMNP
[1306.50] HIJKLMNP
[1306.25] HIJKLMNP
[1306.00] HIJKLMNP
[1305.75] HIJKLMNP
[1305.50] HIJKLMNP
[1305.25] HIJKLMNP
[1305.00] HIJKLMNP
[1304.75] HIJKLMNP
[1304.50] HIJKLMPQ
[1304.25] HIJKLMPQ
[1304.00] HIJKLMPQR [DPOC]
[1303.75] HIKLMPQR
[1303.50] IKLMPQR
[1303.25] IKLPQR
[1303.00] KLPQR
[1302.75] LPQR
[1302.50] PQR [DVAL]
[1302.25] PQ
[1302.00] Q
[1301.75] Q
[1301.50] Q
[1301.25] Q
I guess you really would have to back test this theory. If there was high volume but little price movement would this still be a viable strategy? It seems like it is the actual price movement itself that caused the 8:30 - 9:30 IB to be more accurate., but can't we have price movement with just a few participants in the pre-market? Therefore not much volume? Just rambling now...will be interesting to watch in the future....

Bruce
quote:
Originally posted by BruceM

...If there was high volume but little price movement would this still be a viable strategy? ...


I believe that high volume with little price movement is VERY significant because that shows acceptance at the current prices. i.e. both buyers and sellers entering the market with weight but equal weight on either side. When that is toppled the acceleration away from the area "should" be faster than had there been light volume in this area.

I completely agree with you that this needs more observance and testing. Let's take a look at any other days that come up in the future with high volume between 8:30 and 9:30 - please remind me if I forget to provide a comparison chart like this one to test our theory...