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Bars

Fundamentals

On the Auction Dashboard™ chart, bars are constructed using the same Data Series settings that apply to any other NinjaTrader® chart. Auction Dashboard™ replaces each bar's display with its own rich display.

Therefore, it is NinjaTrader® that opens and closes each bar; and bars will form in the same way as on any other chart. No changes are made to the chart structure in terms of when and where each bar opens and closes.

A Note On Chart Types

Auction Dashboard™ will work with any chart type that NinjaTrader® supports. You are free to use any type and time frame that you want; and you will find valuable information on any chart. We tend to most frequently display intraday time frame charts, and we nearly always are using a Point And Figure chart type. We ourselves feel that this works well with the True Auction™ Value bars, and an order flow tool in general — the forced reversals on price action are relevant to following order flow, and the intermediary auctions, bid/offer levels, and many other factors are revealed in the structure. Be sure to examine many chart types to see what is revealed.

Display Options

Bar display is controlled with the pop-up button on the chart.

Two Display Modes

Auction Dashboard™ provides two display modes for the bars: "normal display", and our True Auction™ Value bars.

Normal Display

In normal display, the bars have a body like a candlestick: the body outlines the open and close prices, and is colored green for up-candles, and red for down-candles (the body is white for neutral "dojis" or "spinning tops").

True Auction™ Value Display

In True Auction™ Value display, the body outlines the True Auction™ Value area: it doesn't correlate with the candle's open or close. The displayed value area is the True Auction™ Value area; and the color of the body reflects the delta within the value area — green for up-delta, red for down-delta, and white if neutral. Note that this delta is only within the True Auction Value area: it may not correlate with the bar's total delta.

Narrow Display

When narrow, candle bodies include shading to give you a visual gauge of the amount of Aggressor Absorption™ in the bar compared to the total volume. This shading appears in both normal and True Auction™ Value display modes.

The candle body functions the same as with the wide display: in normal display mode, it shows the open and close prices, and the color is green for up-candles, and red for down-candles. In True Auction™ Value display mode, the body is the True Auction™ Value area, and the color reflects the delta within the True Auction™ Value area.

TPO-BackFilled Bars and NinjaTrader® Bars

Auction Dashboard™ supports BackFilling chart data. There are two types of BackFill, and one is TPO ("Time-Price Opportunity"). In a TPO BackFill, data is reconstructed from the total volume in each bar. You will see buying and selling at each price in these bars, but that volume has been distributed price-by-price from the total bar volume; and the volume at each price, and buying and selling is estimated.

TPO is designed primarily to provide Session Profiles and Composite Profiles; and you will find it provides very accurate profiles, value areas, and points of control. Since the bars don't contain market data, they don't display averages, deltas, or markup. In addition, since there is no bid/ask data in these bars, they don't show Aggressor Absorption™. Also, strategies that depend on market data or bid/ask data won't run against TPO bars. The bars will display the bar volume.

Other bars on your chart will contain no data: they only show structure and NinjaTrader's® total bar volume. Auction Dashboard™ draws plain candlesticks for these bars, and the bar volume.

Bar Deltas

Bar delta displays include shading that gives a visual gauge of the imbalance in the delta, or relative volume. The larger the shaded portion, the larger the imbalance.

In the image above, the Absorption Delta favors the bids; and so the display is shaded on the bid side. The size of the shaded portion reflects the size of the bids versus the offers. The Absorption delta includes the Greek Lambda "Λ" — as in "Limit" orders — to distinguish this delta from the bar's delta.

The bar delta is shaded on each side, reflecting the relative size of the absorbed bids and absorbed offers compared to the total volume in the bar.

Configure the bar delta display with the settings found in the PopUp menu.

Volume in Deltas

The volume that the bar delta displays is always only one of two things: the market trading, or True Auction™ Balance volume; which is to say that if you switch the bar text display to show Aggressor Absorption™ or trade sizes, then the delta will still display volume. If the text display is set to a True Auction™ Balance display (volume or delta) then the delta will also switch to True Auction™ Balance. The bar delta will also filter when the filter is on.

Bar Averages

When narrow, bar average displays also include shading to give you a visual gauge of the relative trade sizes. The larger the shaded portion, the larger the imbalance.

Control the average display from the setting in the PopUp menu:

Wide Displays

Momentum Delta

The Momentum Delta is tuned to show the force of the stronger side in the auction here and now. The delta is colored behind the text in the bars. Markup appears when there is an imbalance in the delta, and the total volume on the price meets a minimum. This delta is partly a "diagonal" delta: measuring the buying on the price above, minus the selling on the price below (which matches the offer-over-bid at auction); but Auction Dashboard™ does more weighting to show you the stronger momentum (the markup will also not correlate directly with the volume delta on the prices.)

When reading the delta, you will see the markup appear when the trading is gaining force. The traders may back off, and the delta can "unwind" in the other direction. Volume and delta will again need to build up to actually unwind the delta.

It does not signal that price action is guaranteed to continue, yet it does signal that force is attempting to trade in the indicated direction.

It's a good signal of strong activity in the current bar. It is also an excellent source of confluence; and, where you see buy momentum directly opposing sell momentum on adjacent or almost adjacent prices, there will be a strong correlation with a "battle" at the price for the winning momentum.

While the given buy or sell momentum delta is building, you can typically see price action in that direction; yet also, if the limit orders hold strong, or if the buyers or sellers stop, what you will see is delta building but price action being held. Example:
The long candle is down. At the price where the buyers appear, the delta has accumulated with buyer imbalance. Therefore, we know the buyers were aggressive at this point; and we know there was a momentary reversal or stoppage at this level. The price action turned and continued down. We can deduce another bit of feedback from this activity: since the buy imbalance was left on the prices, and further, no sell imbalance developed immediately adjacently, we know the aggressive buying stopped, and, we know that bids were thin enough for the sellers to take price down without needing to be so aggressive as to build up a sell imbalance there.

So in other words: the auction stepped up here to challenge the selling down; but the buyers did not continue to commit through; and the sellers were able to continue after the buying dropped off.

The bottom of the bar is another reversal. We see that the sellers began to imbalance the buyers here; yet again, they stopped; and the same symptom appears in reverse. We know the buyers did not aggressively start back up because the sell imbalance was left there, and, no buy imbalance developed immediately adjacently.

It's possible that some of the sell imbalance was built up from buyers above stopping out here. In either case, the sellers did not continue through.

Price reversed back up to the close of that bar; and in the following bar we can see the adjacent imbalances. This reveals a battle between aggressive buying and selling; and it was right at the mid level between the prior imbalances.

Confluence

Another signal that appears is in the confluence in the tops and bottoms of the following candles, which are bound by those two momentum delta clusters (several further bars continued to bind here as well).

We can easily give you another powerful example of how the Momentum Delta shows confluence in the momentum battles. We'll create a composite profile, and use the Momentum Delta display to look at how the Momentum battled in our composite's range.


We changed the display to show the Momentum Delta (there's not enough space for text, but we see the delta); and, we can see the points where the delta "Battled" between buyers and sellers. We'll mark these prices and see what those levels represent.

It's clear to see that what looks like battles in the delta really are bid/offer battle prices!


That's the easy point we're trying to make with this example: when you are watching the Momentum Delta, understand that if you see what looks like a battle begin between buyer momentum and seller momentum, then you really do have a momentum battle there.

Settings

Settings for the delta are found in the Markup and Alert Strategies window. You can tune the display with an imbalance setting, and a minimum volume threshold level. Since the delta has this volume threshold, you won't see the markup appear until enough trading has built up on the price.

Profiles

Profiles have several display styles. You can change the display in the Bars PopUp menu. Profiles are an excellent tool to turn up volume clusters.

Centered profiles show selling extending to the left, and buying to the right. Centered display yields an easy visual indication of imbalances (though volume accumulation may be less easily seen).

One-directional profiles show volume accumulation relative to other prices well. If you want to use one-directional profiles, you can find more settings in the main menu. In the image above, we switched the display to show the higher volume on the profile tips. This display is designed to combine the easy identification of volume accumulation, and help also visually indicate imbalances.

Volume in Profiles

The volume that profiles display is always only one of two things: the market trading, or True Auction™ Balance volume; which is to say that if you switch the bar text display to show Aggressor Absorption™ or trade sizes, then the profile will still display volume. If the text display is set to a True Auction™ Balance display (volume or delta) then the profile will also switch to True Auction™ Balance, so that they can show you those balances. Notice that this is one way to view two pieces of information at once: when the text display is absorption (or any other setting) then you can see that compared with the volume profile in the back. Profiles will also filter when the filter is on.

Profile Scaling

The Bars PopUp also includes options for profile scaling. Scaling can be an important factor in identifying volume clusters, depending on your chart style. Each profile segment's length is scaled relative to other bars on the chart, which identifies when the cluster is accumulating more volume than adjacent bars. In most cases, some scaling will be desired to identify those relative sizes. If your bars accumulate on a longer time frame, then you may be able to scale each bar individually with good effect. When scaled individually, the profile will fill the bar, which will expose the relative sizes within each bar, even if the overall volume in the bar is low compared to adjacent bars.


Markup

The bars have several markup strategies. Settings are found in the Bars PopUp. Most markup is enabled by default, all at once; and they each tend to watch for different metrics. Use particular markup to aid feedback that works with your trading strategy; and you can also combine this with different text displays to get feedback on what you consider important or relevant. In other words, if your strategy has some focus on trade sizes, then be sure to watch for Price Level Penetrations; and you can also view trade sizes in the bar text.

Some markup settings will be found in the Markup and Alert Strategies Settings window, from the main menu.

Heat

Auction Dashboard™ is always capturing a great deal of bid and offer activity, which unwinds into the bars along with the trading. There is bid and offer data throughout the chart, price by price and bar by bar. (The True Auction™ History display and Composites present a lot of this information.)

Heat is a term we use for the histogram display along the sides of the bars, and it is designed to show you bid and offer activity in the bar. It is good way to see more feedback as the current bar is developing, to give you a more complete picture of what is happening here and now. Heat has two display modes: "Unsatisfied Depth" and Update Frequency Imbalances.

With Update Frequency Imbalances, the rate of updating on the bid and offer is measured, and where there are imbalances, the Heat shows on the side with the higher update frequency. Again, you can use this to understand more about the activity: where a bid or offer is updating frequently, whether traders are accepting or not will give you clues about the auctioning.

What we term "Unsatisfied Depth" is explained this way: Auction Dashboard™ has captured the total depth presented to the market on the bid and offer throughout the chart. We take a study that is the accumulated total of each first accepted depth on the bid and offer on each price in the bar (the "first accepted depth" is the depth on the bid or offer at the moment the first trade prints into it). Given the grand total of that depth on each bid and offer, we then account for all of the traded volume there; and subtract that from the total bid or offered depth. What remains is "unsatisfied". The Unsatisfied Depth will account for two basic things: bids and offers that were "left behind" (a bid is left as price ticks up and away); and, bids and offers initially accepted, but then had some depth pulled away. These two basic things typically appear as signals in the Heat:
Above, where we see unsatisfied offers, and price ticking down, we understand that offers had deepened on the book, and buyers stopped accepting. Price ticked down, and the offers were left behind. It can be described as a fairly obvious study: the offers showed, but the buyers didn't sweep through.

Where we see unsatisfied bids, and price ticking down, we understand that we had depth on the bids here, but a significant portion was pulled off: sellers hit thinner bids as trades executed there … and price ticked down and through as those remaining bids were swept.

In both displays, we use the indication of the activity on the bid or offer to understand the auctioning (and we can be watchful for the symptoms).
Heat can also show up confluence. In the bars above, we see the Heat appears at the candle tops — price action is confluent with that Heat.

Delta Imbalances

This markup watches delta on prices, and marks imbalances by coloring the text on the higher side of the measured delta. Settings for this strategy are located in the Markup and Alert Strategies Settings window.

Notice that this imbalance markup colors the text on the imbalanced prices. This may seem to conflict or just contrast with the Momentum Delta. As described above, that delta colors the price behind the text. And in fact, the delta markup will combine. These imbalance settings appear on the price text; and do also allow you to choose how the imbalance is measured.

Auction Dashboard™ has three ways to measure deltas: At-Price Deltas, Auction Deltas, and the Momentum Delta. The Momentum Delta was covered above. At-Price deltas measure the buying vs. selling on the same price. Auction Deltas are "diagonal deltas": they measure the buying on the price above, minus the selling on the price below; which matches the offer-over-bid at Auction.

The Delta Imbalance markup can measure imbalances on any of the three deltas.

When the checkbox in the strategy settings is selected, the measured delta will be the Momentum Delta. Notice that because of the way the Momentum Delta is measured, the markup does not directly correlate with the volume on the marked prices (there is additional weighting applied for that delta); and so you will see the bright text appear where AD has measured a Momentum Delta imbalance. Also, any True Auction™ Balance display does not change the way that delta is measured: it has its own strategy for measuring imbalance, and that is what you will see marked up.

To have the strategy markup At-Price or Auction Delta imbalances, you must make two selections. First, un-check the Momentum Delta checkbox in the Imbalance settings. Then, in the main menu you will find a selection in the Delta Display Settings menu: choose the delta there. This choice is located in the main menu because it also controls delta text displays.

Once you have made your selection for which delta to measure, you choose the imbalance ratio for the markup. For example, a ratio of "2x" generates the markup when the volume on one side is 2x the volume on the other — 200%. And again, this markup always only colors the text on the imbalance: even if combined with the Momentum Delta display.

Auction and At-Price Delta Imbalances will Measure True Auction™ Balance When Selected

With either the Auction Deltas or At-Price deltas selection, the measured delta will change between market volume and True Auction™ Balance volume if you change the bar text display to a True Auction™ Balance display. In other words: when a True Auction™ Balance display is selected, the measured volume is the True Auction™ Balance volume on the measured prices.

Price Level Penetrations at the Filter Size

This markup watches trade sizes and price level penetrations. When a trade at your filter size sweeps one or more bids or offers, the markup draws a bright underline on each price that the single trade executed into.

Absorption Markers

This markup is controlled in the Markup and Alert Strategies Settings window. The strategy defines a percent absorption to market volume. When the absorption on the price reaches the threshold — comparing absorbed bids to market selling, and/or absorbed offers to market buying — a triangle appears: down for absorbing offers, and up for absorbing bids.

Cum True Auction™ Delta Zero Touches

Auction Dashboard™ runs what we call an accumulating True Auction™ Delta. See the reference on that delta for more information. This delta is accumulating the deltas within the True Auction™ Value areas on the bars; and in fact there are two components to that delta. One is a linear accumulation through the session. The other is working with a strategy that "resolves" the delta based on certain order flow metrics. When this second delta resolves by crossing zero, this strategy marks the bar and price where the delta crossed. (That delta is also driving the Transition Zones™ on the chart.) The markup draws a "circle with slash" at the zero crosses.

The purpose of the Cum True Auction™ Delta is to project force and trading boundaries in the auction — which is what the Transition Zones™ are plotting. This markup does not directly duplicate what the Transition Zones™ show; and the purpose here is to identify specifically these crosses through zero. Like a session accumulated market delta, the accumulation and distribution in the delta can be a valuable metric for monitoring the trading accumulation. Since the True Auction™ Delta also measures a True Auction™ Balance weighted volume, the accumulation in the delta is a strong measure of not only market trading, but all of the other benefits that True Auction™ Balance volumes carry.

Read the zero crosses in a fundamentally similar way to reading a session accumulating market delta; yet at the same time, understand that because a component of True Auction™ Balance is trader activity, this delta will react more forcibly and with less lag to all activity through the session. By this we mean to say that it can tend to resolve, and cross zero much more frequently than a straight market trading accumulation. This helps make it an excellent delta for intraday trading; and notice also that it does not preclude the delta from longer time frame studies. On longer time frames, factor price action into the periods between zero crosses.