CL Market Profile Analysis

NexusFi · 2014-07-28T12:45:03-04:00

You are completely correct. there's no question that when the waterfall turns red that they are hitting the bid faster than the offers have a chance to. I don't trade the T&S. Its a supporting tool for me that's all. It doesn't carry any heavy weight for me personally because I need time for the bar to be painted anyway before I take a position. If I alluded to my feeling that the T&S is very helpful to me, I apologize Isn't Time and Sales reading the tape, or are you referring to something …

Discussion in Commodities

Updated July 28, 2014

CL Market Profile Analysis

July 28th, 2014, 12:45 PM	#281 (permalink)
Oysteryx New York, NY Elite Member Experience: Master Platform: Various Trading: Everything that moves Posts: 217 since Feb 2014 Thanks Given: 340 Thanks Received: 466	So I tried to replicate the pivots used in DCB's chart Using tick data , 18:00 EST to 17:15 as session, regular (floor) pivot formulas, I calcualted the daily S1 for the CL2010-10 contract on Aug/20/2010 at 73.94 - only 2 ticks off DCB's, which is close enough. The difference may be explained by me using the 17:15 close rather than the settlement price. I failed to replicate the multi-day weekly pivots. And thus I'm not sure what those weekly pivots are. Those levels puzzle me. This made me wonder if DCB used weekly periods defined for a full week based on the prior week's data, or weekly periods based on the seven prior calendar days (which would mean different weekly pivots every day). I'm aware this thread is from four years ago, but it still has very valuable information. DCB never logged back in. If anyone has/had a look and can provide insight on the matter, would greatly appreciate it. Cheers