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Introduction, Concepts, Terminology

On the Chart

The above picture shows the key elements on the chart; and where controls are located. Auction Dashboard's™ controls are all found either in the chart's ToolStrip or in PopUp buttons on the chart. The main ToolStrip menu primarily contains chart-wide settings. Settings for the displays of components on the chart are in the PopUp buttons.

Default Shortcut

You can  Control-Click  on most components to open the PopUp button.

Flow of Events

In a general sense, incoming market data flows through the chart from right-to-left. Resting orders appear on the Level-2. The bid and offer, and all of the current trading appears in the Inside Auction. The market data then prints into the bars (and they include rich information, including the Bid/Ask data). The session profiles appear on the left, accumulating the complete volume profile for each session.

You can quickly hide the Auction Visualizer™ with the "Collapse Button" at the top of the chart.

Conversely, it is possible to configure a chart's display to hide the bars, and show only the Auction Visualizer™. That setting is found in the main menu, under Chart Display. Please see the User Guide section on Chart Display for more information.

Text Display

Since the chart is printing text at every price, it commands more screen real estate to fit that text. By default, Auction Dashboard™ manages the chart price axis, to make room for text (if you shrink that too far, text will become invisible).

There is a side effect to this space: bars are allowed to extend off the top or bottom of the chart to make room for text. Also by default, when you zoom the bars out far enough, Auction Dashboard™ assumes you are more interested in the structure, and will switch the display to force the bars into the chart: and at that point, you may loose the space to view text. You can control the behavior from the PopUp button at the top of the chart, shown above.

Real Time Data Sensitivity

We're going to say right up front that we know to many users the following behavior seems vexing. We are still working on sensible solutions; and anything might pop up around the corner.

Auction Dashboard's™ primary activity is in consuming and printing the real time data streaming in from your data provider. There is a silent consequence to consuming real time data. If you "quit" Auction Dashboard™ it obviously no longer receives real time updates. If you restart AD, you might wonder why the previous real time data is not immediately available. It is simply because we are not saving it. The primary seemingly vexing issue is in chart reloading: if you reload a chart, then AD does lose all prior real time data; and begins printing fresh data.

There is a very sensible reason for this behavior. Real time data saved on your machine is bulky (and also resource intensive to simply save). If we did that, we would be silently saving many many megabytes (and gigabytes for heavy users) on your machine. It also brings you, the user into this picture: you now have a need to manage large sets of data on your machine, which adds labor for you. Other consequences include the fact that in the time AD is shut down, since no real time data is being captured, there is a gap between the stored data and new real time data. We'd need to lean on NinjaTrader's® historical data to fill in that gap anyway. Further, NT is storing historical data, so we should sensibly lean on using that.

We simply believe that overall it is less sensible for us to save data like that: it is not a seamless and ergonomic experience for the user. The other important factor is in the fact that NinjaTrader® provides data management; and we simply lean on that as the correct way to consider data management. Data that we would save would duplicate NT's data, causing even more burden on your local storage; and we would be "re-inventing the wheel" since NT is already managing data. It is in fact one of the primary reasons the host platform is providing you value: we should both expect to utilize NT's data for this purpose. There are also many vexing engineering issues around storing the data.

If you reload a chart, and you want to feel that you are getting back where you left off, simply perform a Bid/Ask BackFill. You will find explained in our User Guide that the BackFill is not guaranteed to be 100% accurate. However, we are leaning on improvements in this area, and, NT version 8 does already implement improvements here. Therefore we are continuing to work against the model were we look to the host platform to provide us historical data. We can also point out that saved data is even a bulky process for NT. There is no "magic" reconstruction, and NT's data itself is stored in "linear" formats. That's why when you perform a BackFill there is a "reconstruction" process: the events must be "replayed" in sequence.

In the end, most charts open and stay open: you will see the market evolving in real time. Despite limitations also, Bid/Ask BackFill is robust and valuable, and we believe you will be brought back to a point where you feel you've just left off. The only reason we don't do things automatically is so that we don't burden your machine's resources: we only do that when you explicitly ask.

We will continue to try to strike a middle ground here, so that some of the vexing aspects might be alleviated; but it is a complex engineering process that takes resources away from our primary goals ... And we'd like to avoid any duplication of engineering and saved data.

"BackFill" and "Reconstruction"

BackFill is explained in more detail on a dedicated page in the user guide. It refers to filling historical data into the chart. Any data prior to the current time when the chart is opened is "historical" — data from that point forward is real-time.

Reconstruction refers to the process we use to fill the historical data back into the chart. Historical data is stored as a sequence of events: time and sales prints, bid updates, and offer updates. We read back the data in sequence in order to reconstruct all of the data as when it streamed live: each event is processed the same way as on the live feed, to generate all of the resulting metrics and studies the same way.

"TPO Reconstruction"

TPO is "Time Price Opportunity". Clearly, we do not lay claims to TPO, nor Market Profile in any way. You may find many other sources of information for that. We'll explain quickly the basic concept behind TPO; and explain what TPO reconstruction is in Auction Dashboard™. For an example of creating TPO: given the bars on the left:


You overlay the bars to see the time spent at each price; and get the profile on the right. This typically would also assume that each bar covered the same length of time (the period), as usually employed in TPO Market Profile.

Our reconstruction is again not a literal TPO, though it begins with a similar process. For each bar, we know the total volume in the bar. The overlay above shows only the total volume because technically we don't know the actual volume on each price. TPO is "time" price opportunity, and not a "Volume" profile. Therefore, the opportunity presented in the profile is based on time spent in each period at each price.

When auction Dashboard™ performs a "TPO Reconstruction": instead of overlaying each bar in the linear fashion shown above, we actually run an algorithm to roughly distribute the volume through each price in each bar. It is not perfect, but we do that so we can generate something closer to a rough Volume profile. The resulting profile typically comes closer to what a true Volume profile would show. The resulting profile and point of control might be a little different:


Again, it is an estimation, yet we do this so you can have session profiles and overlays, and also create composite profiles over arbitrary bars on the chart — any bars that contain some kind of reconstructed volume. Some strategies and features are not able to run against TPO reconstructed data, because they depend on bid/ask data, and there is none in the TPO reconstruction.

How We Refer to Volume

Auction Dashboard™ is measuring volume in a few basic ways: Level-2 depth, Bid and Offer depth, Time and Sales prints, and our Aggressor Absorption™. In general, we may lump our wording into "Limit Orders" and "Market Trading". The terms are not meant to be taken literally.

"Limit Orders" is referring to Level-2 depth, Bid or Offer depth, or Aggressor Absorption™. These volumes all originate with data coming from the Level-2, Bid, or Offer, which we model as limit orders at the exchange.

"Market Trading" (or Market Volume or Market Deltas) is referring to the Time and Sales prints; which we simply mean to model as trades that print into one of the prior orders. Market Trading is the "Aggressors".

We know the terms will not be exact. The model is simply: a Time and Sales print is a trade executing into an order resting at the exchange (for the most part); and so we refer to the resting orders as limit orders, and prints as "market trading".

What is Aggressor Absorption™?

Traders are familiar with at least one concept of Absorption: when selling has peaked to a low support zone, C.O.'s may begin to buy and accumulate, absorbing any further selling. They want to get the best price, so they absorb in the narrowest and lowest support range that they can. The effect is that price stays at that low, even as volume enters the market, and the buyers accumulate and absorb. So the two aspects here are: halted price, and buyers actively opposing sellers. Note that the absorbers may do so with bids, and also with buying.

Aggressor Absorption™ has a narrower definition. First, it only ever measures Limit Order information; not Market Trading. And importantly, it is measured bid-by-bid, and offer-by-offer. It is not a parallel to the above. It is defined this way: given some individual bid or offer depth shown to the market, and one or more traders accepting that bid or offer; then if other bids or offers add into that bid or offer, and those adding traders do execute against the aggressors, then those adding traders are what we term Aggressor Absorption™. They add into the current bid or offer, and do ultimately get executed by an aggressor. Therefore, they are "absorbing" the printed volume there. Adding bids would be termed "Absorbed Bids", and adding offers "Absorbed Offers".

And so, restating: Aggressor Absorption™ is the activity of bids and offers tailing into the current bid or offer, and ultimately in fact absorbing some buyer or seller.

There are many aspects to this volume that may not be readily apparent to the trader who is not thinking from an academic point of view. You will find more information on this page in the Reference: Information in True Auction™ Value Bars, and in our White Paper.

When Aggressor Absorption™ is displayed on the chart, we consider absorbed bids to be like buy volume; and absorbed offers like sell volume: by which we only mean that in a display, absorbed bids will appear where buy volume would appear; and absorbed offers appear where sell volume would appear. There is at least one case where there is a reverse: in Composite Volume Profiles, the Level-1 display is reversed overall; yet the absorbed offers are still colored as sell volume, and absorbed bids are still colored as buy volume (the entire Level-1 display in the composite plots in reverse since it accompanies a volume display; but the representation is still obvious).

What is True Auction™ Balance?

True Auction™ Balance is our term for volume studies that combine market trading with limit order information. In many cases, True Auction™ Balance is some combination of Time and Sales prints and Aggressor Absorption™.

The purpose of True Auction™ Balance is precisely to provide a study that does combine the market trading with the limit order opposition, in order to get a clearer gauge of the actual traders executing. In practical use, True Auction™ Balance can nearly always show a clearer picture of the actual balance of forces. Going further, if your strategies include taking note of imbalances, you can quite often get a much more refined picture by looking for imbalances in the True Auction™ Balance deltas.

Brief Example

The highlighted price above shows a significant market volume imbalance at 9:42 AM EST. The following chart has switched the display to True Auction™ Balance. Clearly there is a significant difference in the revealed balance! We observe that delta imbalances by price (even "diagonal" Auction Deltas) tend to become balanced through revisited trading; and typically within shorter intraday time frames (within some 30 minute periods). In the above example, the marked price did not re-trade through the entire session and past Globex close! Clearly, if the imbalance is an important factor, then you can get a much different picture with the correct study.

Note on imbalance ratios: If you are measuring imbalance ratios on True Auction™ Balance volumes, then you will discover that the ratios of imbalance will be much smaller. What we mean to point out is that you still can find imbalance that way, but because the True Auction™ Balance volume has other metrics factored in, the volume on each side comes closer to balance: reduce your imbalance tolerances when measuring this way.

True Auction™ Balance display is supported in the Bars, Session Profiles, Inside Auction Cum Volumes, the chart's Cumulative Delta, and Composite Volume Profiles. In addition, some strategies use some form of True Auction™ Balance in their implementation — one specific example is the Delta Imbalance display in the True Auction™ History: those displayed imbalances are measured from True Auction™ Balance deltas.

Display Changes; and Indications

When a component's text display has been set to a True Auction™ Balance display, the corresponding Delta display underneath will also change (but not the volume display underneath). Bar Delta displays, Sesion Profile Delta displays, and the Inside Auction Cum Volumes Delta display will show the True Auction™ Balance delta. The delta display will include the Greek "Beta" (as in "Balance") to alert you. Also, the Bars PopUp and Session Profiles PopUp will show the Greek Beta on the button. The Inside Auction Cum Volumes PopUp will highlight any time the text display is set to anything other than Market Volumes.

Volume Text Displays; and Profile Displays

Components with a Volume Display menu control what is displayed by the text on the component. If the component has a corresponding volume profile, the volume that the 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 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.

Auction Dashboard™ has a volume Filter. In most cases, if you turn the Filter on, components will only display volume and profile segments on prices that contain volume at your filter size. For volume text displays, the displayed volume is filtered volume only. The same is true for profiles: they will show filtered volume only.

Extra: Where to Find Aggressor Absorption™

Since it's a frequently asked question, we'll just try to add a quick list of where you can view the absorption on the chart. Please see specific pages in the User Guide for more about particular features.

Inside Auction Cum Volumes

This is a great place to see the absorption accumulating. Especially if you take advantage of resetting and rewinding the accumulation: you can see the development.

The inside auction is a good place to watch the absorbers because you can see it in relation to the aggressive trading; and follow the facilitation and patterns. Remember that there is a lot of confluence in the Aggressor Absorption™: you will reveal guarded prices, entries and exits, trading places, and many other tops, bottoms, and initiative/exhausted prices.

Inside Auction Deltas

The deltas normally show you all of the activity on the inside bid and offer: traders that add and pull away accumulate the raw delta. Switching the view to show the absorbed contracts only shows you only when the adding traders are absorbing the aggressors.

The inside deltas are very transient: they typically only accumulate through one sweep on the bid or offer (depending on settings); but you can quickly toggle the automatic resetting off to let more accumulation develop in the deltas … And you'll reveal where the absorbers are getting in with more volume.

Bars

The bars capture all of the Aggressor Absorption™ price by price. The absorption markers on the bars can be tuned to appear when the absorbers begin to kick in with more volume compared to the aggressors. Again, you'll reveal where activity is higher (remember that Aggressor Absorption™ is a measure of trader activity).

Session Profiles

The session profile will accumulate all of the absorption throughout the session. You need to change the display to see the text on the profile; and you'll see levels that should correlate well with definitive price tiers in the session.

Cum Aggressor Absorption™ Delta

The Cum Delta display along the bottom of the chart includes a Cum Aggressor Absorption™ delta. Obviously, that's an excellent place to see trends in the absorber volume entering the market, and changes in facilitation.