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text courtesy of wikipedia creative commons licence
A Market Profile is an intra-day charting technique (price vertical, time/activity horizontal) devised by J. Peter Steidlmayer, a trader at the Chicago Board of Trade (CBOT), ca 1959-1985. Steidlmayer was seeking to evaluate market value as it developed in the day time frame. Steidlmayer's charts displayed a bell shape, fatter at the middle prices, with activity trailing off at the higher and lower prices. In this structure he recognized the 'Normal', gaussian distribution he had met with in college statistics, (3).
The Market Profile graphic was introduced to the public in 1985 as a part of a CBOT product, the CBOT Market Profile (CBOTMP1) (2). CBOTMP1 included the new Liquidity Data Bank (LDB) data; end-of-day clearings, identified by the class of trader in the pits ( (1) local, (2) commercial, (3) members filling for other members and (4) members filling orders for the public). The Profile was proposed as a trading methodology for using these new data. CBOTMP1 advertised the Profile/LDB as the way to 'Improve Performance'. It is described as "the only variable-cost ticker service in the commodities industry."
The promotional material says the Profile is to be the link between the CBOT data and the market. A Profile graphic is to be used to tell "what the market is doing"; the LDB data is for finding the market's 'condition'. As a part of the data-display connection in CBOTMP1, the price of the peak cleared volume is identified as the Point of Control (POC). Following the normal distribution analogy, the central seventy percent of trading activity about POC (+/- one standard deviation) is termed the 'Value Area'. Volume is said to identify signs of continuation or change, to infer the directional facilitation of trade, but "volume data, by itself, is meaningless". The reason given is that "it is essential to know what market participants are doing". Many 'profile readings' are shown in both CBOTMP1 and CBOTMP2, inferring who is trading what and what message they are sending. One method, apparently, is to see if volume is increasing to the upside or downside intra-day. It should be noted that the LDB data discussed here is end of day. Some time later the CBOT began releasing clearings during the day on the half hour. These clearings when compared to tick data indicate an approximately half hour delay. It is not explained just how reading trade facilitation with delayed data is effected.
At the beginning of the day the first hour of trading creates a range (the Initial Balance). Then, as additional information on the day's trading continued, certain chart formations, called day types, are recognized. These formations have names (1), (2), such as 'neutral day', non-trend day, trend day, etc. Another concept, the 'third standard deviation' or Steidlmayer Distribution has been discussed (1) possibly in support of day types. The Steidlmayer Distribution begins as the current, equilibrium, distribution moves out of equilibrium.
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