Market Profile/Liquidity Data Bank: A
by Donald L. Jones
The Chicago Board of Trade's Market Profile/Liquidity Data Bank report is an unparalleled source of
market- generated information. Each price traded during the day is identified by its associated volume,
the class of trader doing the trading and the time period in which the trading took a place at that price.
For the analyst, who for years has had to make do with daily summary data (open, high, low, close,
volume and open interest), the Market Profile/Liquidity Data Bank provides almost an embarrassment of
The data, developed for and utilized by the theory of auction markets, allow more in-depth technical
analysis than ever before possible. The theory, itself, is new, dating from the 1984 Chicago Board of
Trade (CBOT) Manual.
Reference materials on the Market Profile/Liquidity Data Bank are limited. There are three publications
by J. Peter Steidlmayer and co-authors, two on-going research reports, and seminars, mostly of the long
Through Commodity Information Service's (CISCO) contact with many users of the Market Profile, we
have found a real desire and need for guidance in the application of auction market theory. What follows
is an outline of the procedure for using Market Profile information. Although abbreviated, it identifies
and covers all the major tasks required to use this data.