Within the next couple of weeks I should have the opportunity to chat with Peter Steidlmayer. If anybody has a question that you would like me to ask him then please post it as a reply to this topic and I will do my best to get an answer from him.

In an email, you asked if we had any questions for the Peter Steidlmayer interview. Here are a couple:

1. Has there been any adjustment, since the Market Profile was initially developed, in the day-type categories (Normal, Normal Variation, Neutral, Trend, Double-Distribution Trend, Non-Trend) that might prove useful as a means of further understanding the trading day?
2. Has the burgeoning electronic day-trading environment effected the Market Profile? Any additional ideas that the e-mini day-trader can used from an evolution in Market Profile theory?

Thanks,
Mike Gutmann

Thanks Mike - I will ask those.

Question from JP for Steidlmayer:

Why do the double/triple TPO's in the bond market not get filled in like they do for every other market? Why don't they act like a magnet?

Questions from skook:

1-On page 165 coments on trading day structure; "Neutral days my favorite I trade them aggressively" Does this still stand ? what conditions enhance probability of neutral day? Have you new definitions of RE from new ES observation?

2-On page 75 the Time Slot Matrix discussion begins and introduces the concept of merging multiple day profiles into rolling profile ,how important is this? Is it and art or science? Can you set up a trade based on time slot count?

3-Much of your work is based on pit data,and volume was inexact, now that mini volume =80% and is exact how can we use more effectively?

Do you look at overnight price action in the electronic contracts? How do you factor this into MP?
How has the modern (overnight electronic) market effected the MP structure?

From: MidKnight <[email protected]>
Date: Jul 5, 2006 1:20 AM
Subject: Question for Stiedlemeyer
To: [email protected]

...if Guy hasn't done his interview with the main MP man then maybe he could ask this question on my behalf.

Market profile uses the idea that time is an accurate measure of trade
facilitation. The value area is calculated based on the number of TPOs
printed, and same sort of thing for the POC. I can understand why he
did it this way. Back when Market Profile was created, there wasn't
timely volume information available, even when the LDB became
available I think even that was 30 minutes delayed and not available
for markets outside of the CBOT.

So what is trade facilitation then? It is people making trades. What
better way to show trade facilitation then through volume.

So my question becomes, is a more accurate representation of trade
facilitation with respect to value area calculation and POC
calculations done with volume, or perhaps even through a combination
of time and volume? I'd be very interested to hear what he has to say
about it.

Thanks for the question MidKnight. I think that it's a very important one. I have already started combining both time and volume into a hybrid Market Profile and believe that this has enormous potential. I will raise this question with Steidlmayer when I talke to him.

Not sure when this will be. A friend of his is interviewing him in her office and says that she will call me and get me on the line when she's doing this. No date has been set yet.

The chat with Peter Steidlmayer is still on but will probably be sometime in September. I am just joining in on the chat that someone else is having with him and so have no influence over when it takes place and so it will happen when it happens.

I haven't forgotten about it though and it will come...