Identifies value areas and auction imbalances for directional trades
| Strategy Type | Volume-at-Price Auction Analysis |
| Market Outlook | Identifies value areas and auction imbalances for directional trades |
| Risk Profile | Medium (defined entries at value area extremes) |
| Reward Profile | 2:1 to 3:1 risk-reward targeting value area transitions |
| Time Horizon | Intraday to swing (1-5 days typical) |
| Iv Environment | Works in all IV environments; profile shape changes with volatility |
| Breakeven | Win rate >45% with 2:1 reward-to-risk achieves profitability |
| Primary Instruments | TSX 60 constituents, XIU ETF, high-volume Canadian stocks (banks, energy) |
| Iiroc Compliance | Fully compliant; standard equity trading with no leverage requirements |
| Contract Size | Standard 100-share board lots; odd lots acceptable for smaller accounts |
| Trading Hours | 9:30 AM - 4:00 PM ET; profile builds during regular session only |
| Expiry Options | N/A - equity positions with no expiration |
| Settlement | T+1 for equities (effective May 2024) |
| Options Exchange | Montreal Exchange (MX) for options overlay if desired |
| Capital Gains Tax | 50% inclusion rate; frequent trading may trigger business income treatment |
| Tfsa Eligibility | Fully eligible for Canadian equities; tax-free gains ideal for active trading |
| Rrsp Eligibility | Permitted; tax-deferred but frequent trading not optimal use |
TradingView (free) has a basic Market Profile indicator. For serious trading, Sierra Chart ($26/month) or NinjaTrader with Market Profile add-ons are industry standards. Some brokers (Thinkorswim) include MP tools.
Yes, but focus on liquid names like the Big 6 banks (RY, TD, BMO, BNS, CM, NA), major energy stocks (ENB, SU, CNQ), and XIU ETF. Less liquid TSX stocks produce noisy profiles.
Candlestick charts show price movement over time. Market Profile shows how much time (TPOs) or volume was spent at each price level, revealing fair value and extremes that regular charts don't show.
Standard Market Profile uses 30-minute TPO brackets. For intraday trading, use 30-minute; for swing trading, build composite profiles over 3-5 days.
Basic concepts take 2-4 weeks to understand. Proficiency requires 3-6 months of daily observation. Mastery takes years. Start by just watching profiles form without trading.
Daily profile governs intraday trades; composite profile governs swing trades. If they conflict, reduce position size or wait. Generally, trade daily profile within composite structure.
TPO Profile shows TIME at each price (auction duration). Volume Profile shows VOLUME at each price (participation level). Both are useful; volume POC is often more significant for levels.
Look for acceptance: 2+ TPO prints outside VA, volume confirmation, and sustained price outside VA for 30+ minutes. Single TPO probes that quickly return are failed auctions - fade them.
No. Best setups have confluence: profile level + prior day's level + volume confirmation + rejection evidence. Cherry-pick the clearest setups. 2-3 quality trades per week beats overtrading.
Build composite profiles over 3-5+ days. Look for weekly POC and VA. Enter when price reaches composite VA extreme; target composite POC. Wider stops and targets than intraday.
Use IB TWS DOM, Bookmap, or Sierra Chart with order flow. Focus on Big 6 banks for cleanest data. Watch delta at profile levels - absorption confirms support/resistance.
Partially. Level identification and signal generation can be automated. Execution and context interpretation (profile shape, market type) benefit from discretionary overlay. Hybrid approaches work best.
Treat gaps as single prints - areas where price 'teleported' and didn't trade. Gaps tend to fill. Note gap fill targets; previous session's POC is often a magnet after gaps.
70% is standard and works well. Some traders use 68% (one standard deviation) for tighter levels. Test both in your trading; 70% is more forgiving for timing.
Track composite profile for entire portfolio (weighted by position size). If portfolio P&L profile shows poor structure (extreme) or all positions at VA same direction, portfolio risk is elevated. Reduce exposure.
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