Understanding Metrixx Value Distributions

Metrixx utilizes proprietary algorithms to display price activity over time for a number of listed futures instruments. This short piece will help explain these distributions.

To start with we should explain just what the Metrixx Fair Price (MFP) is and the Value Area that surrounds it. Simply put the Metrixx Fair Price is the price level with the largest distribution of price activity. The area surrounding the MFP is marked as the Value Area and is comprised of 70% of the price distribution. Metrixx displays this information both in tabular and graphical form. Below is a graphic of the distribution for the December 10 Year U.S. Treasury Futures contract.

Image

Looking at this graph we can see that each distribution block is color coded and numerically marked. The blue colors represent all trade activity within the session’s Value Area; the grey represents all activity outside the Value Area. Each number indicates when the trade occurred in relation to the interval selected (distributions can be based on a 1, 5, 15, 30 or 60 minute interval). For example, if the above distribution was based on a 5 minute interval every price traded within the first 5 minutes of the selected session would be marked by a one. Similarly every price traded during the second 5 minute interval would be marked with a 2 and so on. The Price level marked in red represents the last traded price.

So, just what is this graph telling me? Looking at this distribution I can see the price area where this session opened, 127.020 – 127.014 (the distribution blocks marked by a one). As the session progressed we can see that interval 12 represents a number of price levels marked with single distributions. This area extends from 126.314 to 126.110. We refer to this area as a Value Gap. Value Gaps represent any area along a distribution that is comprised of single distribution blocks. If I looked even closer I can see that this gap originally extended down to 126.064 (intervals 12 and 13), but the price activity retraced by interval 15. Filling in the original gap up to 126.014 by interval 20. From here it looks like the market began to consolidate creating a Metrixx Fair Price Level at 126.040 with a Value Area High of 126.060 and a Value Area Low of 126.020. Last price traded looks to be just outside of the session’s Value Area.

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One comment

  1. […] What am I seeing: The lightest colors show the beginning of the session, the darker the color the later in the trading session. The larger the distribution the more value market participants have placed at that price level. A distribution outside of the blue colored area is viewed as being outside of that session’s Value Area. Those areas of single distribution are noted as Value Gaps. To better understand Value Distributions please read, Understanding Metrixx Value Distributions. […]

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