Market Profile
Also called: TPO profile · Steidlmayer profile
Market Profile is Peter Steidlmayer's organisation of price and time into a distribution. Each half-hour that trades at a price leaves a letter, and the stacked letters form a bell-shaped curve on its side. It organises what happened. It does not predict, and it was never designed to.
How the distribution is built
Split the session into thirty-minute brackets and letter them A, B, C. For each bracket, mark every price that traded during it. One mark is one TPO — a time price opportunity. Stack the marks left to right and the day acquires a shape.
Prices visited in many brackets grow long rows of letters. Prices visited in one leave a single print. The result is usually lopsided but broadly bell-shaped, and its fat middle is where the market kept coming back.
The skeleton: initial balance, POC, value area
The first two brackets form the initial balance, the range the early session was willing to defend. The row carrying the most TPOs is the point of control. The band around it holding roughly 70% of all TPOs is the value area.
That 70% is a convention borrowed from one standard deviation of a normal distribution, not a measurement of anything. Every level built on top of it — value area edges, poor highs, unfair extremes — inherits the choice.
It organises, it does not predict
Steidlmayer built a filing system for the trading day, when a floor trader had no screen and no volume feed. It records where the market spent time and where it refused to. Nothing in the construction points forward, and the day-type vocabulary — trend day, normal day, neutral day — is a label you can only attach once the close has printed.
A worked example
In a synthetic ES session of thirteen brackets, 5 318.00 collects letters in eleven of them and 5 341.00 in one. The TPO point of control sits at 5 318.00 with 11 marks, the value area runs 5 313.50 to 5 322.75, and the initial balance spans 5 315.00 to 5 324.00.
Above 5 340.00, two letters sit alone: a single print, left by a move fast enough that no second bracket did business there.
The trap
Classifying the day, then trading the classification. A trend day is obvious at the close and invisible at the third bracket. The figures that circulate with these labels — roughly one session in five being a trend day, or the '80% rule' that price re-entering the value area and holding two brackets traverses it about 80% of the time — have no public replication behind them. They may be true. Nobody has shown it.
Treat them as hypotheses to test on your own instrument and session definition, and count the outcome yourself. A number you have not counted is not a number you can size on.
Frequently asked
- Market Profile or volume profile?
- They count different things. Market Profile counts half-hours spent at a price; a volume profile counts contracts traded there. They disagree loudest around news, when a huge volume node forms in two minutes and barely registers as time. The disagreement is information, not an error.
- Do you still need Market Profile now that volume data is everywhere?
- It is no longer the only way to see session structure, which was its original advantage. What survives is the vocabulary — balance, extension, acceptance — and the fact that time at price and volume at price are different measurements.
- Which session should a profile cover?
- Whichever you can define and never change. Regular hours, the full 24-hour cycle and overnight-only profiles produce different points of control on the same day. Pick one convention, write it down, and never compare levels built under two of them.