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\begin{document}
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\title{GMP: Gap-filled Market Profile Universal Construction for Any Data Points}
\author{\IEEEauthorblockN{ConQ Research Team}\\
\IEEEauthorblockA{\textit{Continual Quasars}\\
\today}
}
\maketitle
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\begin{abstract}
Conventional Market Profile (CMP) aggregates price activity into histogram bins, but when applied to any ordered sequence of price points (ticks, candlesticks, or other sampled data), it leaves bins between consecutive points empty. We propose \textbf{GMP (Gap-Filled Market Profile)}, a universal construction method that (i) operates on any sequence of price observations and (ii) interpolates every intermediate price bin traversed between successive points, producing a \emph{gap-filled} profile. Building on this gapβfilled structure, we introduce an \emph{Up/DownβBin Footprint Profile} that classifies each bin's contribution directionally, revealing net upward or downward pressure across the price traversal. We formalise CMP and GMP with explicit algorithms, derive the relationship between bin count and a userβdefined binβsize parameter $\beta$, and present a complete worked example showing how points are grouped into bins under CMP, how gapβfilling transforms the sparse CMP output into a dense GMP profile, and how directional footprints are assigned. Charts and tables demonstrate that GMP yields a strictly denser and more informative distribution than CMP, independent of the original data source.
\end{abstract}
\begin{IEEEkeywords}
Market Profile, gap-filling interpolation, price bins, directional footprint, high-frequency data, time series
\end{IEEEkeywords}
% ββ Sideβbyβside introductory CMP vs GMP figure βββββββββββββββββββββββββββββ
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={\textbf{CMP Profile}},
xbar,
xlabel={Stacks},
ylabel={Price (USD)},
ytick={3000,3001,...,3010},
yticklabel style={font=\scriptsize},
xmin=0, xmax=2,
ymin=2999.5, ymax=3010.5,
bar width=4pt,
width=0.42\columnwidth,
height=6.5cm,
enlarge y limits=0.05,
nodes near coords,
nodes near coords style={font=\tiny},
name=cmp
]
\addplot[fill=gray!60, draw=black] coordinates {
(1,3000) (0,3001) (0,3002) (0,3003) (0,3004) (0,3005)
(0,3006) (0,3007) (0,3008) (0,3009) (1,3010)
};
\end{axis}
\begin{axis}[
title={\textbf{GMP Profile}},
xbar,
xlabel={Stacks},
ylabel={},
ytick={3000,3001,...,3010},
yticklabel style={font=\scriptsize},
xmin=0, xmax=2,
ymin=2999.5, ymax=3010.5,
bar width=4pt,
width=0.42\columnwidth,
height=6.5cm,
enlarge y limits=0.05,
nodes near coords,
nodes near coords style={font=\tiny},
at={(cmp.east)},
anchor=west,
xshift=1.2cm
]
\addplot[fill=blue!50, draw=black] coordinates {
(1,3000) (1,3001) (1,3002) (1,3003) (1,3004) (1,3005)
(1,3006) (1,3007) (1,3008) (1,3009) (1,3010)
};
\end{axis}
\end{tikzpicture}
\caption{Horizontal histogram comparison of CMP (left, grey) and GMP (right, blue) for a price move from 3000 to 3010 with $\beta=1$. CMP shows activity only at the two observed prices; GMP fills all 11 traversed bins. Gapβfilling applies to any data sequence.}
\label{fig:profile}
\end{figure}
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% I. INTRODUCTION
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\section{Introduction}\label{sec:intro}
The Market Profile, introduced by Steidlmayer~\cite{steidlmayer1986market} and later formalised by Dalton et~al.~\cite{dalton2007markets}, represents price activity as a horizontal histogram whose bins correspond to discrete price levels and whose bar lengths (``stacks'') reflect the amount of activity observed at each level. In practice, most implementations construct the profile from candlestick TOCHLV (time, open, close, high, low, volume) data: each candle contributes one stack to every bin between its high and low.
This approach suffers from a fundamental shortcoming when applied to any sequence of discrete price points: when consecutive points are separated by several price levels, the conventional profile records activity only at the two observed prices, ignoring the fact that price must have traversed every intermediate level. This gap neglect is not specific to any data sourceβit occurs with ticks, candlesticks, or any sampled price series.
We address this issue with \textbf{GMP (GapβFilled Market Profile)}. The construction rule is universal: for every ordered sequence of price observations $\{p_i\}_{i=1}^{N}$, every bin between two successive points receives an interpolated stack, producing a profile with no gaps. The method does not depend on the original data frequency, source, or aggregation level; it applies equally to millisecond tick data, hourly candlesticks, or irregularly sampled price records.
The main contributions of this work are:
\begin{enumerate}
\item A rigorous formalisation of CMP and GMP with explicit algorithms and complexity analyses.
\item A theoretical relationship between the userβcontrolled binβsize parameter $\beta$ and profile resolution, including a scaling proposition.
\item A universal gapβfilling methodology that can be applied to any ordered price sequence, irrespective of source.
\item The introduction of an \emph{Up/DownβBin Footprint Profile}, a directional classification derived purely from the price traversal without requiring volume or orderβbook data.
\item A complete, selfβcontained illustration of the construction on a tenβpoint price sequence, demonstrating all theoretical constructs.
\end{enumerate}
The remainder of this paper is organised as follows. \Cref{sec:related} surveys related work. \Cref{sec:prelim} establishes notation. \Cref{sec:method} defines CMP and GMP formally, presents the GMP algorithm, and introduces the Up/DownβBin Footprint Profile. \Cref{sec:walkthrough} provides a complete profile construction example using a 10βpoint price sequence. \Cref{sec:binsize} analyses the effect of bin size on profile resolution. \Cref{sec:example} offers a minimal illustrative example. \Cref{sec:discussion} discusses theoretical implications, and \Cref{sec:conclusion} concludes.
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% II. RELATED WORK
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\section{Related Work}\label{sec:related}
\subsection{Market Profile}
The Market Profile concept originates with Steidlmayer's observation that price distributions at each level reveal where market participants find ``fair value''~\cite{steidlmayer1986market}. Dalton et~al.~\cite{dalton2007markets} extended the framework with auctionβmarket theory, using halfβhour brackets as timeβprice opportunities (TPOs). Both formulations rely on timeβbased bars rather than raw ticks, but the underlying logic of binning price activity is independent of the data source.
\subsection{Interpolation in Financial Time Series}
Interpolation techniques are common in highβfrequency finance. Clark~\cite{clark1973subordinated} demonstrated that subordinating returns to tradeβcount time yields closerβtoβGaussian distributions, motivating tradeβindexed analysis. An\'{e} and Geman~\cite{ane2000order} confirmed that businessβtime transformations normalise returns at the tick level. The gapβfilling approach we propose is conceptually similar to linear interpolation on the price axis, but applied to histogram bin counts rather than to prices themselves.
\subsection{Footprint and OrderβFlow Analysis}
Market microstructure theory, including Glosten and Milgrom~\cite{glosten1985bid}, O'Hara~\cite{ohara1995market}, and Madhavan~\cite{madhavan2000market}, provides foundations for analysing directional pressure. Traditional footprint charts distinguish trades at bid versus ask prices. Our Up/DownβBin Footprint provides a complementary directional classification derived purely from the sequence of price observations, without requiring volume or orderβbook data.
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% III. PRELIMINARIES
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\section{Preliminaries}\label{sec:prelim}
\Cref{tab:notation} summarises the notation used throughout.
\begin{table}[!t]
\centering
\caption{Notation Summary}
\label{tab:notation}
\begin{tabular}{@{}cl@{}}
\toprule
\textbf{Symbol} & \textbf{Description} \\
\midrule
$N$ & Total number of price observations in the sequence \\
$p_i$ & Price of the $i$-th observation, $i\in\{1,\dots,N\}$ \\
$\beta$ & Bin size (price units per bin); default $\beta=1$ \\
$b(p)$ & Bin index of price $p$: $b(p)=\lfloor p/\beta \rfloor$ \\
$S[k]$ & Stack count (profile value) at bin~$k$ \\
$\Delta_i$ & Price displacement: $\Delta_i = p_i - p_{i-1}$ \\
$K_i$ & Number of bins traversed from observation $i{-}1$ to $i$ \\
$U[k]$ & Upβbin count at bin $k$ \\
$D[k]$ & Downβbin count at bin $k$ \\
$\delta[k]$ & Net footprint delta at bin $k$: $\delta[k] = U[k] - D[k]$ \\
\bottomrule
\end{tabular}
\end{table}
\begin{definition}[Price observation sequence]
A \emph{price observation sequence} is an ordered set $\mathcal{P}=\{(t_i,\,p_i)\}_{i=1}^{N}$ where $t_i$ is an index (time, trade number, or any monotonic identifier) and $p_i$ is the observed price.
\end{definition}
\begin{definition}[Bin]
Given bin size $\beta>0$, the \emph{bin} for price $p$ is the integer index
\begin{equation}\label{eq:bin}
b(p) = \left\lfloor \frac{p}{\beta} \right\rfloor.
\end{equation}
All prices $p$ satisfying $k\beta \le p < (k+1)\beta$ map to bin~$k$.
\end{definition}
\begin{definition}[Market Profile]
A \emph{market profile} is a mapping $S:\mathbb{Z}\to\mathbb{N}_0$ where $S[k]$ counts the number of stacks accumulated at bin~$k$.
\end{definition}
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% IV. METHODOLOGY
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\section{Methodology}\label{sec:method}
\subsection{Conventional Market Profile (CMP)}\label{sec:cmp}
CMP records a stack only at the bin of each observed data point:
\begin{equation}\label{eq:cmp}
S_{\text{CMP}}[k] \;=\; \sum_{i=1}^{N} \mathbf{1}\!\bigl[b(p_i)=k\bigr],
\end{equation}
where $\mathbf{1}[\cdot]$ is the indicator function. Bins with no observed point receive $S_{\text{CMP}}[k]=0$.
\begin{algorithm}[!t]
\caption{CMP Construction}\label{alg:cmp}
\begin{algorithmic}[1]
\REQUIRE Price sequence $\{p_i\}_{i=1}^{N}$, bin size $\beta$
\ENSURE Profile array $S_{\text{CMP}}[\cdot]$
\STATE Initialise $S_{\text{CMP}}[k]\leftarrow 0\;\;\forall\,k$
\FOR{$i = 1$ \TO $N$}
\STATE $k \leftarrow \lfloor p_i / \beta \rfloor$
\STATE $S_{\text{CMP}}[k] \leftarrow S_{\text{CMP}}[k] + 1$
\ENDFOR
\RETURN $S_{\text{CMP}}$
\end{algorithmic}
\end{algorithm}
\textbf{Complexity.} CMP performs exactly $N$ binβindex computations and $N$ increments, giving $\mathcal{O}(N)$ time complexity.
\subsection{GapβFilled Market Profile (GMP)}\label{sec:gmp}
GMP augments CMP by filling every \emph{intermediate} bin between two consecutive observations. The construction proceeds in two phases:
\begin{enumerate}
\item \textbf{CMP placement.} Each observation $p_i$ contributes one stack to its own bin $b(p_i)$, exactly as in CMP.
\item \textbf{Gapβfilling.} For each consecutive pair $(p_{i-1},\,p_i)$ with $i\ge 2$, every bin \emph{strictly between} $b(p_{i-1})$ and $b(p_i)$ (exclusive of both endpoints) receives one additional stack.
\end{enumerate}
Formally, writing $b_i = b(p_i)$:
\begin{equation}\label{eq:gmp}
S_{\text{GMP}}[k]
\;=\;
\underbrace{\sum_{i=1}^{N}\mathbf{1}\!\bigl[b_i=k\bigr]}_{S_{\text{CMP}}[k]}
\;+\;
\sum_{i=2}^{N}
\;\sum_{j=\min(b_{i-1},\,b_i)+1}^{\max(b_{i-1},\,b_i)-1}
\!\mathbf{1}\!\bigl[j=k\bigr].
\end{equation}
When $|b_i - b_{i-1}| \le 1$ (adjacent or same bin), the inner sum is empty and no gapβfilling occurs. When $|b_i - b_{i-1}| > 1$, the number of gapβfilled (intermediate) bins is
\begin{equation}\label{eq:Ki}
G_i \;=\; \bigl|b(p_i) - b(p_{i-1})\bigr| - 1.
\end{equation}
The total span of bins traversed, inclusive of both endpoints, is $K_i = G_i + 2 = |b_i - b_{i-1}| + 1$.
\begin{algorithm}[!t]
\caption{GMP Construction (TwoβPhase)}\label{alg:gmp}
\begin{algorithmic}[1]
\REQUIRE Price sequence $\{p_i\}_{i=1}^{N}$, bin size $\beta$
\ENSURE Profile array $S_{\text{GMP}}[\cdot]$
\STATE Initialise $S_{\text{GMP}}[k]\leftarrow 0\;\;\forall\,k$
\FOR{$i = 1$ \TO $N$} \COMMENT{Phase~1: CMP placement}
\STATE $S_{\text{GMP}}[\lfloor p_i/\beta \rfloor] \leftarrow S_{\text{GMP}}[\lfloor p_i/\beta \rfloor] + 1$
\ENDFOR
\FOR{$i = 2$ \TO $N$} \COMMENT{Phase~2: gapβfill}
\STATE $k_{\text{from}} \leftarrow \lfloor p_{i-1}/\beta \rfloor$; $k_{\text{to}} \leftarrow \lfloor p_i/\beta \rfloor$
\IF{$|k_{\text{to}} - k_{\text{from}}| > 1$}
\STATE $d \leftarrow \text{sign}(k_{\text{to}} - k_{\text{from}})$
\FOR{$k = k_{\text{from}} + d$ \TO $k_{\text{to}} - d$ \textbf{step} $d$}
\STATE $S_{\text{GMP}}[k] \leftarrow S_{\text{GMP}}[k] + 1$
\ENDFOR
\ENDIF
\ENDFOR
\RETURN $S_{\text{GMP}}$
\end{algorithmic}
\end{algorithm}
\textbf{Complexity.} Let $D=\sum_{i=2}^{N}|b(p_i)-b(p_{i-1})|$ denote the cumulative bin displacement. GMP performs $\mathcal{O}(N + D)$ operations. In the degenerate case where all observations share the same bin, $D=0$ and GMP reduces to CMP. In the worst case, $D=\mathcal{O}(N\cdot\Delta p_{\max}/\beta)$.
\subsection{GMP as a Universal Construction}\label{sec:universal}
The key contribution of GMP is its universality: the gapβfilling rule applies to \emph{any} ordered price sequence, regardless of the original data's temporal spacing, source, or aggregation level. This includes:
\begin{itemize}
\item Raw tick data (millisecondβresolution bid/ask records)
\item Candlestick TOCHLV sequences (using close, high, low, or any representative price)
\item Irregularly sampled price points
\item Synthetic price paths or simulated data
\end{itemize}
The only requirement is that the sequence be ordered (by time, trade index, or any monotonic index). The construction makes no assumption about the mechanism that generated the prices; it purely interpolates bin traversals between consecutive observations.
\subsection{Up/DownβBin Footprint Profile}\label{sec:updown}
Building upon the gapβfilled structure of GMP, we introduce a directional classification layer termed the \emph{Up/DownβBin Footprint Profile}. For every consecutive pair $(p_{i-1},\,p_i)$, the trajectory is evaluated as upward or downward based on the price difference. The origin bin $b(p_{i-1})$ is assigned no directional credit for this move (it has already been evaluated by prior action). However, every subsequent bin along the traversed path up to and including the destination bin $b(p_i)$ increments its \emph{upβbin} count $U[k]$ if $p_i > p_{i-1}$, or its \emph{downβbin} count $D[k]$ if $p_i \le p_{i-1}$.
\begin{algorithm}[!t]
\caption{Up/DownβBin Footprint Construction}\label{alg:updown}
\begin{algorithmic}[1]
\REQUIRE Price sequence $\{p_i\}_{i=1}^{N}$, bin size $\beta$
\ENSURE Profile arrays $U[\cdot], D[\cdot], \delta[\cdot]$
\STATE Initialise $U[k]\leftarrow 0, D[k]\leftarrow 0\;\;\forall\,k$
\FOR{$i = 2$ \TO $N$}
\STATE $k_{\text{from}} \leftarrow \lfloor p_{i-1}/\beta \rfloor$; $k_{\text{to}} \leftarrow \lfloor p_i/\beta \rfloor$
\IF{$k_{\text{from}} = k_{\text{to}}$}
\IF{$p_i > p_{i-1}$}
\STATE $U[k_{\text{from}}] \leftarrow U[k_{\text{from}}] + 1$
\ELSE
\STATE $D[k_{\text{from}}] \leftarrow D[k_{\text{from}}] + 1$
\ENDIF
\STATE \textbf{continue}
\ENDIF
\STATE $\text{is\_up} \leftarrow (k_{\text{to}} > k_{\text{from}})$
\STATE $d \leftarrow \text{sign}(k_{\text{to}} - k_{\text{from}})$
\STATE $k \leftarrow k_{\text{from}} + d$
\WHILE{\textbf{true}}
\IF{$\text{is\_up}$}
\STATE $U[k] \leftarrow U[k] + 1$
\ELSE
\STATE $D[k] \leftarrow D[k] + 1$
\ENDIF
\IF{$k = k_{\text{to}}$}
\STATE \textbf{break}
\ENDIF
\STATE $k \leftarrow k + d$
\ENDWHILE
\ENDFOR
\FORALL{$k$}
\STATE $\delta[k] \leftarrow U[k] - D[k]$
\ENDFOR
\RETURN $U,\,D,\,\delta$
\end{algorithmic}
\end{algorithm}
This algorithm traces the same $\mathcal{O}(N+D)$ bins as the GMP phase, maintaining computational efficiency while providing deep structural insight into directional dominance across the price range.
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% V. PROFILE CONSTRUCTION WALKTHROUGH
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Profile Construction Walkthrough}\label{sec:walkthrough}
We illustrate the construction on a tenβpoint price sequence. Each observation is a triple $(\text{label}, x, y)$ where \textit{label} is an alphabetic identifier, $x$ is the index, and $y$ the price. \Cref{tab:datapoints} lists the data.
\begin{table}[!t]
\centering
\caption{Input Observations (10 Points)}
\label{tab:datapoints}
\begin{tabular}{@{}ccc@{}}
\toprule
\textbf{Label} & \textbf{Index \#} & \textbf{Price (USD)} \\
\midrule
A & 1 & 3000.914 \\
B & 2 & 3003.837 \\
C & 3 & 3002.432 \\
D & 4 & 3009.892 \\
E & 5 & 3007.698 \\
F & 6 & 3009.176 \\
G & 7 & 3003.381 \\
H & 8 & 3004.283 \\
I & 9 & 3003.512 \\
J & 10 & 3003.012 \\
\bottomrule
\end{tabular}
\end{table}
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={Price vs.\ Index},
xlabel={Index},
ylabel={Price (USD)},
ymin=2999.5, ymax=3011,
grid=both,
width=\columnwidth,
height=5cm,
legend style={at={(0.5,-0.15)}, anchor=north, legend columns=-1}
]
\addplot[
only marks,
mark=*,
mark size=2pt,
blue
] coordinates {
(1,3000.914) (2,3003.837) (3,3002.432) (4,3009.892) (5,3007.698)
(6,3009.176) (7,3003.381) (8,3004.283) (9,3003.512) (10,3003.012)
};
\legend{Observed price}
\end{axis}
\end{tikzpicture}
\caption{Price vs.\ index for the 10βpoint example.}
\label{fig:price_scatter}
\end{figure}
\subsection{CMP Profile Table}\label{sec:cmp_table}
With $\beta=1$, the bin index is $b(p)=\lfloor p\rfloor$. CMP counts points per bin. \Cref{tab:cmp_profile} shows that bins 2, 6, 7, and 9 are emptyβthe gaps in the conventional profile.
\begin{table}[!t]
\centering
\caption{CMP Profile Table ($\beta=1$)}
\label{tab:cmp_profile}
\begin{tabular}{@{}ccccc@{}}
\toprule
\textbf{Bin} & \textbf{From} & \textbf{Until} & \textbf{Group} & \textbf{Stacks} \\
\midrule
1 & 3000 & 3001 & A & 1 \\
2 & 3001 & 3002 & & 0 \\
3 & 3002 & 3003 & C & 1 \\
4 & 3003 & 3004 & BGIJ & 4 \\
5 & 3004 & 3005 & H & 1 \\
6 & 3005 & 3006 & & 0 \\
7 & 3006 & 3007 & & 0 \\
8 & 3007 & 3008 & E & 1 \\
9 & 3008 & 3009 & & 0 \\
10 & 3009 & 3010 & DF & 2 \\
\midrule
\multicolumn{4}{c}{\textbf{Total stacks}} & \textbf{10} \\
\bottomrule
\end{tabular}
\end{table}
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={CMP Profile},
xbar,
xlabel={Stacks},
ylabel={Price (USD)},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=0, xmax=5,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=\columnwidth,
height=5cm,
enlarge y limits=0.05,
nodes near coords,
nodes near coords style={font=\tiny}
]
\addplot[fill=orange!50, draw=black] coordinates {
(1,3000) (0,3001) (1,3002) (4,3003) (1,3004)
(0,3005) (0,3006) (1,3007) (0,3008) (2,3009)
};
\end{axis}
\end{tikzpicture}
\caption{CMP profile for the 10βpoint example ($\beta=1$). Four bins are empty.}
\label{fig:cmp_chart}
\end{figure}
\subsection{GMP Profile Table}\label{sec:gmp_table}
GMP fills intermediate bins between consecutive points. \Cref{tab:gmp_profile} shows every bin now populated, with total stack count 25.
\begin{table}[!t]
\centering
\caption{GMP Profile Table ($\beta=1$)}
\label{tab:gmp_profile}
\begin{tabular}{@{}ccccc@{}}
\toprule
\textbf{Bin} & \textbf{From} & \textbf{Until} & \textbf{Group} & \textbf{Stacks} \\
\midrule
1 & 3000 & 3001 & A & 1 \\
2 & 3001 & 3002 & A & 1 \\
3 & 3002 & 3003 & AC & 2 \\
4 & 3003 & 3004 & BCGIJ & 5 \\
5 & 3004 & 3005 & CFH & 3 \\
6 & 3005 & 3006 & CF & 2 \\
7 & 3006 & 3007 & CF & 2 \\
8 & 3007 & 3008 & CEF & 3 \\
9 & 3008 & 3009 & CDEF & 4 \\
10 & 3009 & 3010 & DF & 2 \\
\midrule
\multicolumn{4}{c}{\textbf{Total stacks}} & \textbf{25} \\
\bottomrule
\end{tabular}
\end{table}
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={GMP Profile},
xbar,
xlabel={Stacks},
ylabel={Price (USD)},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=0, xmax=6,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=\columnwidth,
height=5cm,
enlarge y limits=0.05,
nodes near coords,
nodes near coords style={font=\tiny}
]
\addplot[fill=green!40, draw=black] coordinates {
(1,3000) (1,3001) (2,3002) (5,3003) (3,3004)
(2,3005) (2,3006) (3,3007) (4,3008) (2,3009)
};
\end{axis}
\end{tikzpicture}
\caption{GMP profile for the 10βpoint example ($\beta=1$). Every bin is populated.}
\label{fig:gmp_chart}
\end{figure}
\subsection{CMP vs.\ GMP SideβbyβSide}\label{sec:cmp_gmp_compare}
\Cref{fig:cmp_vs_gmp_10pt} places both profiles side by side. CMP (10 stacks) leaves 40\% of bins empty; GMP (25 stacks) fully covers the range.
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={CMP},
xbar,
xlabel={Stacks},
ylabel={Price (USD)},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=0, xmax=6,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=0.42\columnwidth,
height=6cm,
enlarge y limits=0.05,
name=cmp_10
]
\addplot[fill=orange!50, draw=black] coordinates {
(1,3000) (0,3001) (1,3002) (4,3003) (1,3004)
(0,3005) (0,3006) (1,3007) (0,3008) (2,3009)
};
\end{axis}
\begin{axis}[
title={GMP},
xbar,
xlabel={Stacks},
ylabel={},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=0, xmax=6,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=0.42\columnwidth,
height=6cm,
enlarge y limits=0.05,
at={(cmp_10.east)},
anchor=west,
xshift=0.8cm
]
\addplot[fill=green!40, draw=black] coordinates {
(1,3000) (1,3001) (2,3002) (5,3003) (3,3004)
(2,3005) (2,3006) (3,3007) (4,3008) (2,3009)
};
\end{axis}
\end{tikzpicture}
\caption{CMP vs.\ GMP sideβbyβside.}
\label{fig:cmp_vs_gmp_10pt}
\end{figure}
\Cref{fig:combined_3panel} presents the entire construction pipelineβraw data, CMP, GMPβin a single threeβpanel TikZ graphic, ensuring full reproducibility.
\begin{figure*}[!t]
\centering
\begin{tikzpicture}
% Panel 1: raw data scatter
\begin{axis}[
title={Raw Data},
xlabel={Index},
ylabel={Price (USD)},
ymin=2999.5, ymax=3011,
width=0.30\textwidth,
height=6cm,
name=raw
]
\addplot[only marks, mark=*, mark size=2pt, blue] coordinates {
(1,3000.914) (2,3003.837) (3,3002.432) (4,3009.892) (5,3007.698)
(6,3009.176) (7,3003.381) (8,3004.283) (9,3003.512) (10,3003.012)
};
\end{axis}
% Panel 2: CMP profile
\begin{axis}[
title={CMP Profile},
xbar,
xlabel={Stacks},
ylabel={},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=0, xmax=5,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=0.30\textwidth,
height=6cm,
enlarge y limits=0.05,
at={(raw.east)},
anchor=west,
xshift=1.2cm
]
\addplot[fill=orange!50, draw=black] coordinates {
(1,3000) (0,3001) (1,3002) (4,3003) (1,3004)
(0,3005) (0,3006) (1,3007) (0,3008) (2,3009)
};
\end{axis}
% Panel 3: GMP profile
\begin{axis}[
title={GMP Profile},
xbar,
xlabel={Stacks},
ylabel={},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=0, xmax=6,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=0.30\textwidth,
height=6cm,
enlarge y limits=0.05,
at={(raw.east)},
anchor=west,
xshift=6cm
]
\addplot[fill=green!40, draw=black] coordinates {
(1,3000) (1,3001) (2,3002) (5,3003) (3,3004)
(2,3005) (2,3006) (3,3007) (4,3008) (2,3009)
};
\end{axis}
\end{tikzpicture}
\caption{Threeβpanel overview: raw data (left), CMP (centre), and GMP (right). Gapβfilling produces a continuous profile without empty bins.}
\label{fig:combined_3panel}
\end{figure*}
\subsection{Up/DownβBin Footprint Table}\label{sec:updown_table}
Applying \Cref{alg:updown} yields the directional footprint in \Cref{tab:updown_table}. For instance, the move from A to B adds upβbins at bins~2--4; the move from C to D adds upβbins at bins~4--10.
\begin{table}[!t]
\centering
\caption{Up/DownβBin Footprint Table ($\beta=1$)}
\label{tab:updown_table}
\begin{tabular}{@{}cccccrr@{}}
\toprule
\textbf{Bin} & \textbf{From} & \textbf{Until} & \textbf{Group} & \textbf{Down} & \textbf{Up} & \textbf{Delta} \\
\midrule
1 & 3000 & 3001 & A & 0 & 0 & 0 \\
2 & 3001 & 3002 & A & 0 & 1 & +1 \\
3 & 3002 & 3003 & AC & 1 & 1 & 0 \\
4 & 3003 & 3004 & BCGIJ & 3 & 2 & -1 \\
5 & 3004 & 3005 & CFH & 1 & 2 & +1 \\
6 & 3005 & 3006 & CF & 1 & 1 & 0 \\
7 & 3006 & 3007 & CF & 1 & 1 & 0 \\
8 & 3007 & 3008 & CEF & 2 & 1 & -1 \\
9 & 3008 & 3009 & CDEF & 2 & 2 & 0 \\
10 & 3009 & 3010 & DF & 0 & 2 & +2 \\
\bottomrule
\end{tabular}
\end{table}
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={Up/DownβBin Footprint},
xbar,
xlabel={Count (Down / Up)},
ylabel={Price (USD)},
ytick={3000,3001,...,3009},
yticklabel style={font=\scriptsize},
xmin=-3.5, xmax=3.5,
ymin=2999.5, ymax=3010,
bar width=4pt,
width=\columnwidth,
height=5cm,
enlarge y limits=0.05,
legend style={at={(0.5,-0.15)}, anchor=north, legend columns=2}
]
\addplot[fill=red!60, draw=black] coordinates {
(0,3000) (0,3001) (-1,3002) (-3,3003) (-1,3004)
(-1,3005) (-1,3006) (-2,3007) (-2,3008) (0,3009)
};
\addplot[fill=teal!60, draw=black] coordinates {
(0,3000) (1,3001) (1,3002) (2,3003) (2,3004)
(1,3005) (1,3006) (1,3007) (2,3008) (2,3009)
};
\legend{Down bins, Up bins}
\end{axis}
\end{tikzpicture}
\caption{Directional footprint: downβbins (red) and upβbins (teal).}
\label{fig:updown_footprint}
\end{figure}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% VI. BINβSIZE ANALYSIS
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Effect of Bin Size on Profile Resolution}\label{sec:binsize}
The binβsize parameter $\beta$ controls granularity. For a single displacement $\Delta p = |p_i - p_{i-1}|$, the number of traversed bins is
\begin{equation}\label{eq:bins_beta}
K_i(\beta) \;=\;
\left|\left\lfloor \frac{p_i}{\beta} \right\rfloor
- \left\lfloor \frac{p_{i-1}}{\beta} \right\rfloor\right|
+ 1.
\end{equation}
Halving $\beta$ roughly doubles $K_i$.
\begin{proposition}[Binβcount scaling]\label{prop:scaling}
For fixed $\Delta p$ and $\beta_1 > \beta_2 > 0$,
\begin{equation}\label{eq:scaling}
K_i(\beta_2) \;\ge\;
\left\lfloor \frac{\beta_1}{\beta_2} \right\rfloor
\cdot \bigl(K_i(\beta_1) - 1\bigr) + 1.
\end{equation}
\end{proposition}
\begin{proof}
Write $\Delta p = (K_i(\beta_1)-1)\,\beta_1 + r_1$, $0 \le r_1 < \beta_1$. Then
$K_i(\beta_2) = \lfloor \Delta p/\beta_2 \rfloor + 1
\ge \lfloor (K_i(\beta_1)-1)\,\beta_1/\beta_2 \rfloor + 1
\ge \lfloor \beta_1/\beta_2 \rfloor\,(K_i(\beta_1)-1) + 1$.
\end{proof}
\Cref{tab:binsize} quantifies this for $\Delta p = 10$.
\begin{table}[!t]
\centering
\caption{Bin count vs.\ $\beta$ for $\Delta p = 10$}
\label{tab:binsize}
\begin{tabular}{@{}cccc@{}}
\toprule
$\beta$ & $K_i(\beta)$ & CMP bins & GMP bins filled \\
\midrule
2.0 & 6 & 2 & 6 \\
1.0 & 11 & 2 & 11 \\
0.5 & 21 & 2 & 21 \\
0.25 & 41 & 2 & 41 \\
0.1 & 101 & 2 & 101 \\
\bottomrule
\end{tabular}
\end{table}
Key observations:
\begin{itemize}
\item \textbf{CMP is invariant:} always 2 bins, regardless of $\beta$.
\item \textbf{GMP scales as $\mathcal{O}(\Delta p/\beta)$:} resolution improves inversely with $\beta$. The lower bound is the minimum meaningful price increment.
\end{itemize}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% VII. ILLUSTRATIVE EXAMPLE
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Illustrative Example}\label{sec:example}
Two observations: $p_1 = 3000$, $p_2 = 3010$, $\beta=1$. \Cref{tab:cmp_vs_gmp} shows CMP (2 stacks) vs.\ GMP (11 stacks). \Cref{fig:profile} plots both.
\begin{table}[!t]
\centering
\caption{CMP vs.\ GMP ($\beta=1$)}
\label{tab:cmp_vs_gmp}
\begin{tabular}{@{}cccc@{}}
\toprule
Observation \# & Price & CMP stacks & GMP stacks \\
\midrule
1 & 3000 & 1 & 1 \\
0 & 3001 & 0 & 1 \\
0 & 3002 & 0 & 1 \\
0 & 3003 & 0 & 1 \\
0 & 3004 & 0 & 1 \\
0 & 3005 & 0 & 1 \\
0 & 3006 & 0 & 1 \\
0 & 3007 & 0 & 1 \\
0 & 3008 & 0 & 1 \\
0 & 3009 & 0 & 1 \\
2 & 3010 & 1 & 1 \\
\midrule
\multicolumn{2}{c}{\textbf{Total stacks}} & \textbf{2} & \textbf{11} \\
\bottomrule
\end{tabular}
\end{table}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% VIII. DISCUSSION
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Discussion}\label{sec:discussion}
\subsection{Advantages}
\begin{enumerate}
\item \textbf{No profile gaps.} All traversed price levels are represented, avoiding sparse CMP histograms.
\item \textbf{Volumeβneutral interpolation.} Interpolated stacks mark traversal, not fabricated volume.
\item \textbf{Directional context.} The footprint reveals net pressure without external orderβflow data.
\item \textbf{Tunable resolution.} $\beta$ adjusts granularity independently of data frequency.
\item \textbf{Universality.} GMP applies to any ordered price sequence.
\end{enumerate}
\subsection{Limitations}
\begin{enumerate}
\item \textbf{Interpolation assumption.} Assumes continuous traversal; genuine price gaps may be overβrepresented.
\item \textbf{Computational cost.} $\mathcal{O}(N+D)$ may be high for large cumulative displacement.
\item \textbf{Not a volume profile.} GMP is a pure priceβtraversal profile; combining with volume is future work.
\end{enumerate}
\subsection{Choosing $\beta$}
\begin{itemize}
\item Set $\beta$ near the minimum price increment for maximum resolution.
\item Enlarge $\beta$ to reduce noise or align with psychological levels.
\item The resolution advantage of GMP over CMP grows as $\beta$ decreases.
\end{itemize}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% IX. CONCLUSION
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Conclusion}\label{sec:conclusion}
We have presented \textbf{GMP (GapβFilled Market Profile)}, a universal construction that interpolates all intermediate price bins between consecutive observations. We formalised CMP and GMP, provided algorithms with complexity analysis, and derived the inverse relationship between bin size $\beta$ and profile resolution. The detailed 10βpoint illustration and accompanying charts demonstrate that GMP yields a strictly denser and more informative profile, closing the gaps inherent in conventional methods. Future work may explore weighted interpolation and application across asset classes.
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% REFERENCES
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\begin{thebibliography}{10}
\bibitem{steidlmayer1986market}
J.~Steidlmayer, \emph{Market Profile}, Chicago Board of Trade, 1986.
\bibitem{dalton2007markets}
J.~F.~Dalton, E.~T.~Jones, and R.~B.~Dalton, \emph{Markets in Profile: Profiting from the Auction Process}, John Wiley \& Sons, 2007.
\bibitem{clark1973subordinated}
P.~K.~Clark, ``A subordinated stochastic process model with finite variance for speculative prices,'' \emph{Econometrica}, vol.~41, no.~1, pp.~135--155, 1973.
\bibitem{ane2000order}
T.~An\'{e} and H.~Geman, ``Order flow, transaction clock, and normality of asset returns,'' \emph{The Journal of Finance}, vol.~55, no.~5, pp.~2259--2284, 2000.
\bibitem{glosten1985bid}
L.~R.~Glosten and P.~R.~Milgrom, ``Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,'' \emph{Journal of Financial Economics}, vol.~14, no.~1, pp.~71--100, 1985.
\bibitem{ohara1995market}
M.~O'Hara, \emph{Market Microstructure Theory}, Blackwell, 1995.
\bibitem{madhavan2000market}
A.~Madhavan, ``Market microstructure: A survey,'' \emph{Journal of Financial Markets}, vol.~3, no.~3, pp.~205--258, 2000.
\end{thebibliography}
\end{document}
\documentclass[conference]{IEEEtran}
% ββ Packages ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\usepackage{cite}
\usepackage{amsmath,amssymb,amsfonts}
\usepackage{algorithmic}
\usepackage{algorithm}
\usepackage{graphicx}
\usepackage{textcomp}
\usepackage{booktabs}
\usepackage{multirow}
\usepackage{tikz}
\usepackage{pgfplots}
\pgfplotsset{compat=1.18}
\usepackage{hyperref}
\usepackage{cleveref}
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\hypersetup{
colorlinks=true,
linkcolor=blue,
citecolor=blue,
urlcolor=blue
}
\def\BibTeX{{\rm B\kern-.05em{\sc i\kern-.025em b}\kern-.08em
T\kern-.1667em\lower.7ex\hbox{E}\kern-.125emX}}
\begin{document}
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% TITLE
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\title{mBA-GMP.\textit{v3}: Micro Bid-Ask Gap-Filled Market Profile\textsuperscript{*}}
\author{%
\href{https://github.com/ContinualQuasars}{\includegraphics[height=1.6ex]{ContinualQuasars_icon.png}}\ \textit{Continual Quasars, Research Team}\\%
February 20, 2026%
}
\maketitle
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% ABSTRACT
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\begin{abstract}
Conventional Market Profile (CMP) aggregates price activity into histogram
bins using candlestick-derived data (TOCHLV), discarding the intra-bar
microstructure and leaving price bins between consecutive trades empty. We
propose \textbf{mBA-GMP} (\textit{micro Bid-Ask Gap-filled Market Profile}),
a method that (i)~operates on raw, microsecond-resolution bid/ask
tick-formation data rather than pre-aggregated candlesticks, and
(ii)~interpolates every intermediate price bin traversed between successive
ticks, producing a \emph{gap-filled} profile. Building on this gap-filled
structure, we further introduce an \emph{Up/Down-Bin Footprint Profile} that
classifies each bin's contribution directionally, revealing the net upward
or downward pressure across the price traversal. We formalise CMP and
GMP with explicit algorithms, derive the relationship between bin-count and
a user-defined bin-size parameter~$\beta$, and introduce a \emph{dataframe
recording approach} that walks through a 10-datapoint XAUUSD example to
show how datapoints are grouped into price bins (the CMP dataframe),
how gap-filling transforms the sparse CMP output into a dense GMP
dataframe, and how directional footprints are assigned. We demonstrate via
generated charts and CSV data that mBA-GMP yields a strictly denser and
more informative distribution than CMP.
\end{abstract}
\begin{IEEEkeywords}
Market Profile, tick data, bid-ask spread, gap-filling interpolation,
high-frequency data, market microstructure, XAUUSD
\end{IEEEkeywords}
\vspace{0.5\baselineskip}
\hrule
\vspace{0.5\baselineskip}
{\footnotesize\noindent\textsuperscript{*}This research is conducted by the Continual Quasars Research Team at: {\color{blue}\href{https://github.com/ContinualQuasars}{github.com/ContinualQuasars}}\par}
\begin{figure}[!t]
\centering
\begin{tikzpicture}
\begin{axis}[
title={\textbf{CMP Profile}},
xbar,
xlabel={Stacks},
ylabel={Price (USD)},
ytick={3000,3001,...,3010},
yticklabel style={font=\scriptsize},
xmin=0, xmax=2,
ymin=2999.5, ymax=3010.5,
bar width=4pt,
width=0.42\columnwidth,
height=6.5cm,
enlarge y limits=0.05,
nodes near coords,
nodes near coords style={font=\tiny},
name=cmp
]
\addplot[fill=gray!60, draw=black] coordinates {
(1,3000) (0,3001) (0,3002) (0,3003) (0,3004) (0,3005)
(0,3006) (0,3007) (0,3008) (0,3009) (1,3010)
};
\end{axis}
\begin{axis}[
title={\textbf{GMP Profile}},
xbar,
xlabel={Stacks},
ylabel={},
ytick={3000,3001,...,3010},
yticklabel style={font=\scriptsize},
xmin=0, xmax=2,
ymin=2999.5, ymax=3010.5,
bar width=4pt,
width=0.42\columnwidth,
height=6.5cm,
enlarge y limits=0.05,
nodes near coords,
nodes near coords style={font=\tiny},
at={(cmp.east)},
anchor=west,
xshift=1.2cm
]
\addplot[fill=blue!50, draw=black] coordinates {
(1,3000) (1,3001) (1,3002) (1,3003) (1,3004) (1,3005)
(1,3006) (1,3007) (1,3008) (1,3009) (1,3010)
};
\end{axis}
\end{tikzpicture}
\caption{Horizontal histogram comparison of CMP (left, grey) and GMP
(right, blue) for XAUUSD with $\beta=1$. CMP shows activity only at
the two observed prices; GMP fills all 11~traversed bins. The
gap-filling approach is most effective when applied to micro bid/ask
(mBA) raw tick-formation data.}
\label{fig:profile}
\end{figure}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% I. INTRODUCTION
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Introduction}\label{sec:intro}
The Market Profile, introduced by Steidlmayer~\cite{steidlmayer1986market}
and later formalised by Dalton et~al.~\cite{dalton2007markets}, represents
price activity as a horizontal histogram whose bins correspond to discrete
price levels and whose bar lengths (``stacks'') reflect the amount of
activity observed at each level. In practice, most implementations
construct the profile from candlestick TOCHLV (time, open, close, high, low, volume) data: each candle
contributes one stack to every bin between its high and low.
This approach suffers from two shortcomings:
\begin{enumerate}
\item \textbf{Aggregation loss.}\;Candlesticks pre-aggregate raw ticks
into time-based bars chosen by the broker or exchange, irreversibly
discarding the sequence and microsecond timing of individual
bid/ask updates~\cite{engle2000econometrics,easley1992time}.
\item \textbf{Gap neglect.}\;When consecutive \emph{raw} ticks are
separated by several price levels, the conventional profile records
activity only at the two observed prices, ignoring the fact that price
must have traversed every intermediate level.
\end{enumerate}
We address both issues with \textbf{mBA-GMP}. The prefix \textit{mBA}
(micro Bid-Ask) specifies the data domain: raw, micro\-/millisecond-stamped
bid/ask tick-formation records---the smallest observable price changes.
The suffix \textit{GMP} (Gap-filled Market Profile) specifies the
construction rule: every price bin between two successive ticks receives an
interpolated stack, producing a profile with no gaps.
The remainder of this paper is organised as follows.
\Cref{sec:related} surveys related work.
\Cref{sec:prelim} establishes notation.
\Cref{sec:method} defines CMP and GMP formally, presents the mBA-GMP
algorithm, and introduces the Up/Down-Bin Footprint Profile.
\Cref{sec:dataframe} introduces the dataframe recording approach and
walks through a 10-datapoint worked example showing CMP, GMP, and footprint
construction step by step.
\Cref{sec:binsize} analyses the effect of bin-size on profile resolution.
\Cref{sec:example} provides an additional worked example with XAUUSD.
\Cref{sec:discussion} discusses practical implications, and
\Cref{sec:conclusion} concludes.
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% II. RELATED WORK
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Related Work}\label{sec:related}
\subsection{Market Profile}
The Market Profile concept originates with Steidlmayer's observation that
price distributions at each level reveal where market participants find
``fair value''~\cite{steidlmayer1986market}. Dalton et~al.~\cite{dalton2007markets} extended the framework with auction-market
theory, using half-hour brackets as time-price opportunities (TPOs). Both
formulations rely on time-based bars rather than raw ticks.
\subsection{Tick-Level Analysis}
Clark~\cite{clark1973subordinated} demonstrated that subordinating returns
to trade-count time yields closer-to-Gaussian distributions, motivating
trade-indexed (rather than time-indexed) analysis.
An\'{e} and Geman~\cite{ane2000order} confirmed that business-time
transformations normalise returns at the tick level.
Engle~\cite{engle2000econometrics} introduced econometric models tailored
to ultra-high-frequency data.
\subsection{Market Microstructure}
The theoretical foundations of bid-ask price formation are laid out by
Glosten and Milgrom~\cite{glosten1985bid}, O'Hara~\cite{ohara1995market},
and the comprehensive survey of Madhavan~\cite{madhavan2000market}.
Hasbrouck~\cite{hasbrouck2007empirical} provides empirical methods for
tick-level inference. Bouchaud et~al.~\cite{bouchaud2018trades} present a
modern, physics-inspired treatment linking order flow to price dynamics.
A common thread across these works is that raw tick data preserves
information lost by any form of aggregation. Our contribution is to
combine this insight with a gap-filling interpolation rule applied to the
Market Profile histogram.
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% III. PRELIMINARIES
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Preliminaries}\label{sec:prelim}
\Cref{tab:notation} summarises the notation used throughout.
\begin{table}[!t]
\centering
\caption{Notation Summary}
\label{tab:notation}
\begin{tabular}{@{}cl@{}}
\toprule
\textbf{Symbol} & \textbf{Description} \\
\midrule
$N$ & Total number of raw ticks in the dataset \\
$p_i$ & Price of the $i$-th tick, $i\in\{1,\dots,N\}$ \\
$\beta$ & Bin size (price units per bin); default $\beta=1$ \\
$b(p)$ & Bin index of price $p$: $b(p)=\lfloor p/\beta \rfloor$ \\
$S[k]$ & Stack count (profile value) at bin~$k$ \\
$\Delta_i$ & Price displacement: $\Delta_i = p_i - p_{i-1}$ \\
$K_i$ & Number of bins traversed from tick $i{-}1$ to $i$ \\
$U[k]$ & Up-bin count at bin $k$ \\
$D[k]$ & Down-bin count at bin $k$ \\
$\delta[k]$ & Net footprint delta at bin $k$: $\delta[k] = U[k] - D[k]$ \\
\bottomrule
\end{tabular}
\end{table}
\begin{definition}[Tick-formation]
A \emph{tick-formation} is the smallest observable change in the bid or
ask price as recorded by the broker. Formally, a tick stream is an
ordered sequence $\mathcal{T}=\{(t_i,\,p_i)\}_{i=1}^{N}$ where $t_i$
is the micro\-/millisecond timestamp and $p_i$ is the observed price.
\end{definition}
\begin{definition}[Bin]
Given bin size $\beta>0$, the \emph{bin} for price $p$ is the integer
index
\begin{equation}\label{eq:bin}
b(p) = \left\lfloor \frac{p}{\beta} \right\rfloor.
\end{equation}
All prices $p$ satisfying $k\beta \le p < (k+1)\beta$ map to bin~$k$.
\end{definition}
\begin{definition}[Market Profile]
A \emph{market profile} is a mapping $S:\mathbb{Z}\to\mathbb{N}_0$
where $S[k]$ counts the number of stacks accumulated at bin~$k$.
\end{definition}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% IV. METHODOLOGY
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Methodology}\label{sec:method}
\subsection{Conventional Market Profile (CMP)}\label{sec:cmp}
CMP records a stack only at the bin of each observed data point:
\begin{equation}\label{eq:cmp}
S_{\text{CMP}}[k] \;=\; \sum_{i=1}^{N} \mathbf{1}\!\bigl[b(p_i)=k\bigr],
\end{equation}
where $\mathbf{1}[\cdot]$ is the indicator function. Bins with no
observed tick receive $S_{\text{CMP}}[k]=0$.
\smallskip
\begin{algorithm}[!t]
\caption{CMP Construction}\label{alg:cmp}
\begin{algorithmic}[1]
\REQUIRE Tick stream $\{p_i\}_{i=1}^{N}$, bin size $\beta$
\ENSURE Profile array $S_{\text{CMP}}[\cdot]$
\STATE Initialise $S_{\text{CMP}}[k]\leftarrow 0\;\;\forall\,k$
\FOR{$i = 1$ \TO $N$}
\STATE $k \leftarrow \lfloor p_i / \beta \rfloor$
\STATE $S_{\text{CMP}}[k] \leftarrow S_{\text{CMP}}[k] + 1$
\ENDFOR
\RETURN $S_{\text{CMP}}$
\end{algorithmic}
\end{algorithm}
\textbf{Complexity.}\;CMP performs exactly $N$ bin-index computations and
$N$ increments, giving $\mathcal{O}(N)$ time complexity.
\subsection{Gap-Filled Market Profile (GMP)}\label{sec:gmp}
GMP augments CMP by filling every \emph{intermediate} bin between two
consecutive ticks. The construction proceeds in two phases:
\begin{enumerate}
\item \textbf{CMP placement.}\;Each tick~$p_i$ contributes one stack to
its own bin~$b(p_i)$, exactly as in CMP.
\item \textbf{Gap-filling.}\;For each consecutive pair
$(p_{i-1},\,p_i)$ with $i\ge 2$, every bin \emph{strictly between}
$b(p_{i-1})$ and $b(p_i)$ (exclusive of both endpoints) receives one
additional stack.
\end{enumerate}
\noindent Formally, writing $b_i = b(p_i)$:
\begin{equation}\label{eq:gmp}
S_{\text{GMP}}[k]
\;=\;
\underbrace{\sum_{i=1}^{N}\mathbf{1}\!\bigl[b_i=k\bigr]}_{S_{\text{CMP}}[k]}
\;+\;
\sum_{i=2}^{N}
\;\sum_{j=\min(b_{i-1},\,b_i)+1}^{\max(b_{i-1},\,b_i)-1}
\!\mathbf{1}\!\bigl[j=k\bigr].
\end{equation}
When $|b_i - b_{i-1}| \le 1$ (adjacent or same bin), the inner sum is
empty and no gap-filling occurs. When $|b_i - b_{i-1}| > 1$, the number
of gap-filled (intermediate) bins is
\begin{equation}\label{eq:Ki}
G_i \;=\; \bigl|b(p_i) - b(p_{i-1})\bigr| - 1.
\end{equation}
The total span of bins traversed, inclusive of both endpoints, is
$K_i = G_i + 2 = |b_i - b_{i-1}| + 1$.
\begin{algorithm}[!t]
\caption{GMP Construction (Two-Phase)}\label{alg:gmp}
\begin{algorithmic}[1]
\REQUIRE Tick stream $\{p_i\}_{i=1}^{N}$, bin size $\beta$
\ENSURE Profile array $S_{\text{GMP}}[\cdot]$
\STATE Initialise $S_{\text{GMP}}[k]\leftarrow 0\;\;\forall\,k$
\FOR{$i = 1$ \TO $N$} \COMMENT{Phase~1: CMP placement}
\STATE $S_{\text{GMP}}[\lfloor p_i/\beta \rfloor] \leftarrow
S_{\text{GMP}}[\lfloor p_i/\beta \rfloor] + 1$
\ENDFOR
\FOR{$i = 2$ \TO $N$} \COMMENT{Phase~2: gap-fill}
\STATE $k_{\text{from}} \leftarrow \lfloor p_{i-1}/\beta \rfloor$;
$k_{\text{to}} \leftarrow \lfloor p_i/\beta \rfloor$
\IF{$|k_{\text{to}} - k_{\text{from}}| > 1$}
\STATE $d \leftarrow \text{sign}(k_{\text{to}} - k_{\text{from}})$
\FOR{$k = k_{\text{from}} + d$ \TO $k_{\text{to}} - d$ \textbf{step} $d$}
\STATE $S_{\text{GMP}}[k] \leftarrow S_{\text{GMP}}[k] + 1$
\ENDFOR
\ENDIF
\ENDFOR
\RETURN $S_{\text{GMP}}$
\end{algorithmic}
\end{algorithm}
\textbf{Complexity.}\;Let
$D=\sum_{i=2}^{N}|b(p_i)-b(p_{i-1})|$ denote the cumulative bin
displacement. GMP performs $\mathcal{O}(N + D)$ operations. In the
degenerate case where all ticks share the same bin, $D=0$ and GMP reduces
to CMP. In the worst case, $D=\mathcal{O}(N\cdot\Delta p_{\max}/\beta)$.
\subsection{mBA-GMP: Applying GMP to Raw Tick Data}\label{sec:mba}
The key contribution of mBA-GMP is \emph{not} a novel interpolation rule
per~se, but rather the principled insistence that GMP must be applied to
raw bid/ask tick-formation data:
\begin{enumerate}
\item \textbf{Data source.}\;Use the broker's micro\-/millisecond
bid/ask feed---the lowest-granularity record available---rather than
any TOCHLV candlestick derivative.
\item \textbf{Trade indexing.}\;Index the $x$-axis by trade sequence
number, not by wall-clock time (cf.~\cite{clark1973subordinated,
ane2000order}).
\item \textbf{Gap filling.}\;Apply \Cref{alg:gmp} to the tick stream.
\end{enumerate}
\begin{algorithm}[!t]
\caption{mBA-GMP Pipeline}\label{alg:mba}
\begin{algorithmic}[1]
\REQUIRE Raw bid/ask tick feed $\mathcal{T}$, bin size $\beta$
\ENSURE Gap-filled profile $S_{\text{GMP}}[\cdot]$
\STATE Extract price sequence $\{p_i\}_{i=1}^{N}$ from $\mathcal{T}$,
indexed by trade count
\STATE $S_{\text{GMP}} \leftarrow \textsc{GMP}(\{p_i\},\,\beta)$
\COMMENT{Algorithm~\ref{alg:gmp}}
\RETURN $S_{\text{GMP}}$
\end{algorithmic}
\end{algorithm}
By operating on raw ticks, mBA-GMP avoids the aggregation artefacts
inherent in candlestick data~\cite{harris1990estimation} (e.g., arbitrary
bar boundaries, concealed intra-bar reversals) and ensures that every
micro-level price traversal is captured in the profile.
\subsection{Up/Down-Bin Footprint Profile}\label{sec:updown}
Building upon the gap-filled structure of GMP, we introduce a directional
classification layer termed the \emph{Up/Down-Bin Footprint Profile}.
Unlike order-flow bid/ask footprint charts which rely on volume traded at
the bid versus the ask, our footprint is derived purely from the GMP
transitive mechanics.
For every consecutive pair $(p_{i-1},\,p_i)$, the trajectory is evaluated
as an upward or downward movement based solely on the price difference.
The origin bin $b(p_{i-1})$ is assigned no directional credit relating
to this specific move (it has already been evaluated by prior action).
However, every subsequent bin along the traversed path up to and including
the destination bin $b(p_i)$ increments its \emph{up-bin} count $U[k]$ if $p_i > p_{i-1}$,
or its \emph{down-bin} count $D[k]$ if $p_i \le p_{i-1}$.
\begin{algorithm}[!t]
\caption{Up/Down-Bin Footprint Construction}\label{alg:updown}
\begin{algorithmic}[1]
\REQUIRE Tick stream $\{p_i\}_{i=1}^{N}$, bin size $\beta$
\ENSURE Profile arrays $U[\cdot], D[\cdot], \delta[\cdot]$
\STATE Initialise $U[k]\leftarrow 0, D[k]\leftarrow 0\;\;\forall\,k$
\FOR{$i = 2$ \TO $N$}
\STATE $k_{\text{from}} \leftarrow \lfloor p_{i-1}/\beta \rfloor$;
$k_{\text{to}} \leftarrow \lfloor p_i/\beta \rfloor$
\IF{$k_{\text{from}} = k_{\text{to}}$}
\IF{$p_i > p_{i-1}$}
\STATE $U[k_{\text{from}}] \leftarrow U[k_{\text{from}}] + 1$
\ELSE
\STATE $D[k_{\text{from}}] \leftarrow D[k_{\text{from}}] + 1$
\ENDIF
\STATE \textbf{continue}
\ENDIF
\STATE $\text{is\_up} \leftarrow (k_{\text{to}} > k_{\text{from}})$
\STATE $d \leftarrow \text{sign}(k_{\text{to}} - k_{\text{from}})$
\STATE $k \leftarrow k_{\text{from}} + d$
\WHILE{\textbf{true}}
\IF{$\text{is\_up}$}
\STATE $U[k] \leftarrow U[k] + 1$
\ELSE
\STATE $D[k] \leftarrow D[k] + 1$
\ENDIF
\IF{$k = k_{\text{to}}$}
\STATE \textbf{break}
\ENDIF
\STATE $k \leftarrow k + d$
\ENDWHILE
\ENDFOR
\FORALL{$k$}
\STATE $\delta[k] \leftarrow U[k] - D[k]$
\ENDFOR
\RETURN $U,\,D,\,\delta$
\end{algorithmic}
\end{algorithm}
This algorithm traces the same $\mathcal{O}(N+D)$ bins as the GMP phase,
maintaining computational efficiency while providing deep structural
insight into directional dominance across the price range.
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% V. DATAFRAME RECORDING APPROACH
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Dataframe Recording Approach}\label{sec:dataframe}
To build practical intuition for how CMP and GMP profiles are constructed,
this section walks through a concrete 10-datapoint example using a
\emph{dataframe}-style representation. Each raw data record is a triple
$(\text{label},\;x,\;y)$ where \textit{label} is an alphabetic identifier,
$x$ is the trade index (or time), and $y$ is the observed price.
\Cref{tab:datapoints} lists the input data.
\begin{table}[!t]
\centering
\caption{Input Datapoints (XAUUSD Example, 10 Ticks)}
\label{tab:datapoints}
\begin{tabular}{@{}ccc@{}}
\toprule
\textbf{Datapoint} & \textbf{Trade \#} & \textbf{Price (USD)} \\
\midrule
A & 1 & 3000.914 \\
B & 2 & 3003.837 \\
C & 3 & 3002.432 \\
D & 4 & 3009.892 \\
E & 5 & 3007.698 \\
F & 6 & 3009.176 \\
G & 7 & 3003.381 \\
H & 8 & 3004.283 \\
I & 9 & 3003.512 \\
J & 10 & 3003.012 \\
\bottomrule
\end{tabular}
\end{table}
\Cref{fig:price_scatter} plots these datapoints as a price-vs-trade-index
scatter chart, illustrating the raw price path that both CMP and GMP
will profile.
\begin{figure}[!t]
\centering
\includegraphics[width=\columnwidth]{fig_price_scatter.png}
\caption{Price vs.\ trade index for the 10-datapoint XAUUSD example
(A--J). Each point represents one raw tick-formation record.}
\label{fig:price_scatter}
\end{figure}
\subsection{CMP Output Dataframe}\label{sec:df_cmp}
Using $\beta=1$, the bin index for each tick is $b(p)=\lfloor p\rfloor$.
CMP simply counts how many datapoints fall into each bin.
\Cref{tab:cmp_df} shows the resulting dataframe: bins are numbered~1
through~10 from the lowest observed price to the highest. The
\emph{datapoint group} column records which labels landed in each bin,
and \emph{stacks} is the group size.
\begin{table}[!t]
\centering
\caption{CMP Output Dataframe ($\beta=1$)}
\label{tab:cmp_df}
\begin{tabular}{@{}ccccc@{}}
\toprule
\textbf{Bin} & \textbf{From} & \textbf{Until}
& \textbf{Group} & \textbf{Stacks} \\
\midrule
1 & 3000 & 3001 & A & 1 \\
2 & 3001 & 3002 & & 0 \\
3 & 3002 & 3003 & C & 1 \\
4 & 3003 & 3004 & BGIJ & 4 \\
5 & 3004 & 3005 & H & 1 \\
6 & 3005 & 3006 & & 0 \\
7 & 3006 & 3007 & & 0 \\
8 & 3007 & 3008 & E & 1 \\
9 & 3008 & 3009 & & 0 \\
10 & 3009 & 3010 & DF & 2 \\
\midrule
\multicolumn{4}{c}{\textbf{Total stacks}} & \textbf{10} \\
\bottomrule
\end{tabular}
\end{table}
Note that bins~2, 6, 7, and~9 have zero stacks---these are the
\emph{gaps} in the CMP profile. The CMP histogram formed by the
\emph{datapoint group} column is exactly the $y$-distribution
histogram used by traditional Market Profile implementations.
\begin{figure}[!t]
\centering
\includegraphics[width=0.85\columnwidth]{fig_cmp_profile.png}
\caption{CMP profile for the 10-datapoint example ($\beta=1$).
Four bins (2,\,6,\,7,\,9) are empty, revealing gaps in price coverage.}
\label{fig:cmp_chart}
\end{figure}
\subsection{GMP Output Dataframe}\label{sec:df_gmp}
GMP augments the CMP result by filling every intermediate bin that price
must have traversed between consecutive datapoints. The gap-filling
convention is:
\begin{enumerate}
\item Each datapoint contributes one stack to its own bin (identical to
CMP).
\item For each consecutive pair $(i,\,i{+}1)$, every bin strictly
\emph{between} $b(p_i)$ and $b(p_{i+1})$ (exclusive of both
endpoints) receives one additional stack, labelled with the
source datapoint~$i$.
\end{enumerate}
\Cref{tab:gmp_df} shows the resulting GMP dataframe. All bins now have
at least one stack---no gaps remain.
\begin{table}[!t]
\centering
\caption{GMP Output Dataframe ($\beta=1$)}
\label{tab:gmp_df}
\begin{tabular}{@{}ccccc@{}}
\toprule
\textbf{Bin} & \textbf{From} & \textbf{Until}
& \textbf{Group} & \textbf{Stacks} \\
\midrule
1 & 3000 & 3001 & A & 1 \\
2 & 3001 & 3002 & A & 1 \\
3 & 3002 & 3003 & AC & 2 \\
4 & 3003 & 3004 & BCGIJ & 5 \\
5 & 3004 & 3005 & CFH & 3 \\
6 & 3005 & 3006 & CF & 2 \\
7 & 3006 & 3007 & CF & 2 \\
8 & 3007 & 3008 & CEF & 3 \\
9 & 3008 & 3009 & CDEF & 4 \\
10 & 3009 & 3010 & DF & 2 \\
\midrule
\multicolumn{4}{c}{\textbf{Total stacks}} & \textbf{25} \\
\bottomrule
\end{tabular}
\end{table}
\begin{figure}[!t]
\centering
\includegraphics[width=0.85\columnwidth]{fig_gmp_profile.png}
\caption{GMP profile for the 10-datapoint example ($\beta=1$).
Every bin is populated; the profile fully represents the price
range traversed by the market.}
\label{fig:gmp_chart}
\end{figure}
\subsection{CMP vs.\ GMP Side-by-Side}\label{sec:df_compare}
\Cref{fig:cmp_vs_gmp_10pt} places both profiles side by side. The
contrast is striking: CMP concentrates stacks at a handful of prices
(total~10~stacks), leaving 40\,\% of bins empty, while GMP distributes
25~stacks across all 10~bins, yielding a strictly denser and more
informative volume-at-price distribution.
\begin{figure}[!t]
\centering
\includegraphics[width=\columnwidth]{fig_cmp_vs_gmp.png}
\caption{Side-by-side comparison of CMP (left, orange) and GMP (right,
green) for the 10-datapoint XAUUSD example with $\beta=1$.}
\label{fig:cmp_vs_gmp_10pt}
\end{figure}
\Cref{fig:combined_3panel} presents the entire pipeline---from raw
datapoints, through CMP, to GMP---in a single three-panel view, with
every bar annotated by its constituent datapoint letters.
\begin{figure*}[!t]
\centering
\includegraphics[width=\textwidth]{fig_combined_3panel.png}
\caption{Three-panel overview: raw datapoints (left), CMP profile
with group letters (centre), and GMP profile with group letters
(right). Every bar is annotated with the alphabetic labels of the
datapoints it contains, making the gap-filling effect directly
visible. The gap-filling approach is most effective when applied to micro bid/ask
(mBA) raw tick-formation data.}
\label{fig:combined_3panel}
\end{figure*}
\begin{quote}
\textbf{Rendering note.}\;In the dataframe tables above, bin~1
(lowest price) appears at the \emph{top} of the table. On an actual
price chart, however, the lowest price is at the \emph{bottom} of the
$y$-axis and the highest price at the top---the profile histogram is
effectively ``flipped'' relative to the tabular representation.
\end{quote}
\subsection{Up/Down-Bin Footprint Dataframe}\label{sec:df_updown}
Applying \Cref{alg:updown} to the same 10-datapoint trajectory yields
the directional footprint dataframe shown in \Cref{tab:updown_df}.
For example, the move from A (3000.914) to B (3003.837) causes bins 2, 3, and 4
to receive $+1$ up-bin point. The movement from C (3002.432) to D (3009.892)
applies up-bin points to bins 4 through 10. Downward movements, such as
B down to C, or D down to E, function symmetrically. Note that
the very first datapoint (A) does not carry directional value as there is
no precedent movement. Price movement within the same bin is correctly
assigned its respective directional label.
\begin{table}[!t]
\centering
\caption{Up/Down-Bin Footprint Output Dataframe ($\beta=1$)}
\label{tab:updown_df}
\begin{tabular}{@{}cccccrr@{}}
\toprule
\textbf{Bin} & \textbf{From} & \textbf{Until}
& \textbf{Group} & \textbf{Down} & \textbf{Up} & \textbf{Delta} \\
\midrule
1 & 3000 & 3001 & A & 0 & 0 & 0 \\
2 & 3001 & 3002 & A & 0 & 1 & +1 \\
3 & 3002 & 3003 & AC & 1 & 1 & 0 \\
4 & 3003 & 3004 & BCGIJ & 3 & 2 & -1 \\
5 & 3004 & 3005 & CFH & 1 & 2 & +1 \\
6 & 3005 & 3006 & CF & 1 & 1 & 0 \\
7 & 3006 & 3007 & CF & 1 & 1 & 0 \\
8 & 3007 & 3008 & CEF & 2 & 1 & -1 \\
9 & 3008 & 3009 & CDEF & 2 & 2 & 0 \\
10 & 3009 & 3010 & DF & 0 & 2 & +2 \\
\bottomrule
\end{tabular}
\end{table}
\Cref{fig:updown_footprint} visualises this footprint as a dual-axis
histogram. Each bin possesses opposing horizontal stacks indicating the
total amount of upward versus downward crossing, exposing the directional bias
driving the profile gap-fills.
\begin{figure}[!t]
\centering
\includegraphics[width=\columnwidth]{fig_updown_footprint.png}
\caption{Up/Down-Bin Footprint Profile for the 10-datapoint example.
Red bars (left) signify down-bin gap-fills; teal bars (right) signify
up-bin gap-fills. Delta values $\delta[k]$ denote net directional
pressure at each price bin.}
\label{fig:updown_footprint}
\end{figure}
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% VI. BIN-SIZE ANALYSIS
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Effect of Bin Size on Profile Resolution}\label{sec:binsize}
The bin-size parameter $\beta$ controls the granularity of the profile.
For two consecutive ticks at prices $p_{i-1}$ and $p_i$, the total number
of bins traversed (inclusive of both endpoints) is
\begin{equation}\label{eq:bins_beta}
K_i(\beta) \;=\;
\left|\left\lfloor \frac{p_i}{\beta} \right\rfloor
- \left\lfloor \frac{p_{i-1}}{\beta} \right\rfloor\right|
+ 1.
\end{equation}
\noindent Halving $\beta$ approximately doubles the number of interpolated
bins, while doubling $\beta$ approximately halves it.
\begin{proposition}[Bin-count scaling]\label{prop:scaling}
For a fixed price displacement $\Delta p = |p_i - p_{i-1}|$ and bin
sizes $\beta_1 > \beta_2 > 0$, the bin counts satisfy
\begin{equation}\label{eq:scaling}
K_i(\beta_2) \;\ge\;
\left\lfloor \frac{\beta_1}{\beta_2} \right\rfloor
\cdot \bigl(K_i(\beta_1) - 1\bigr) + 1.
\end{equation}
\end{proposition}
\begin{proof}
Write $\Delta p = (K_i(\beta_1)-1)\,\beta_1 + r_1$ where
$0 \le r_1 < \beta_1$. Then
$K_i(\beta_2) = \lfloor \Delta p / \beta_2 \rfloor + 1
\ge \lfloor (K_i(\beta_1)-1)\,\beta_1 / \beta_2 \rfloor + 1
\ge \lfloor \beta_1/\beta_2 \rfloor\,(K_i(\beta_1)-1) + 1$.
\end{proof}
\Cref{tab:binsize} illustrates how varying $\beta$ changes the GMP
resolution for the XAUUSD example where price moves from \$3{,}000 to
\$3{,}010 ($\Delta p = 10$).
\begin{table}[!t]
\centering
\caption{Effect of Bin Size ($\beta$) on GMP Bin Count for $\Delta p = 10$}
\label{tab:binsize}
\begin{tabular}{@{}cccc@{}}
\toprule
$\beta$ (USD) & $K_i(\beta)$ & CMP bins & GMP bins filled \\
\midrule
2.0 & 6 & 2 & 6 \\
1.0 & 11 & 2 & 11 \\
0.5 & 21 & 2 & 21 \\
0.25 & 41 & 2 & 41 \\
0.1 & 101 & 2 & 101 \\
\bottomrule
\end{tabular}
\end{table}
\noindent
Two key observations follow:
\begin{itemize}
\item \textbf{CMP is invariant to~$\beta$ in bin count:} regardless
of~$\beta$, CMP always fills exactly~2 bins (one per observed tick),
because no intermediate bins are populated.
\item \textbf{GMP scales as~$\mathcal{O}(\Delta p\,/\,\beta)$:}
the filled bin count grows inversely with~$\beta$, producing a
progressively finer-grained profile. Setting $\beta$~below the
instrument's tick size yields redundant empty bins, so the practical
lower bound is $\beta \ge \text{tick\_size}$.
\end{itemize}
\Cref{tab:binsize_half} presents the full GMP profile comparison for
$\beta=1$ versus $\beta=0.5$.
\begin{table}[!t]
\centering
\caption{GMP Profile: $\beta=1$ vs.\ $\beta=0.5$ (Price from \$3{,}000 to \$3{,}010)}
\label{tab:binsize_half}
\begin{tabular}{@{}cccc@{}}
\toprule
Price (USD) & CMP & GMP ($\beta\!=\!1$) & GMP ($\beta\!=\!0.5$) \\
\midrule
3000.0 & 1 & 1 & 1 \\
3000.5 & 0 & & 1 \\
3001.0 & 0 & 1 & 1 \\
3001.5 & 0 & & 1 \\
3002.0 & 0 & 1 & 1 \\
3002.5 & 0 & & 1 \\
3003.0 & 0 & 1 & 1 \\
3003.5 & 0 & & 1 \\
3004.0 & 0 & 1 & 1 \\
3004.5 & 0 & & 1 \\
3005.0 & 0 & 1 & 1 \\
3005.5 & 0 & & 1 \\
3006.0 & 0 & 1 & 1 \\
3006.5 & 0 & & 1 \\
3007.0 & 0 & 1 & 1 \\
3007.5 & 0 & & 1 \\
3008.0 & 0 & 1 & 1 \\
3008.5 & 0 & & 1 \\
3009.0 & 0 & 1 & 1 \\
3009.5 & 0 & & 1 \\
3010.0 & 1 & 1 & 1 \\
\midrule
\textbf{Total bins} & \textbf{2} & \textbf{11} & \textbf{21} \\
\bottomrule
\end{tabular}
\end{table}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% VII. ILLUSTRATIVE EXAMPLE
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Illustrative Example}\label{sec:example}
Consider two raw XAUUSD ticks with $\beta=1$:
\begin{itemize}
\item Tick~1: trade at $p_1 = \$3{,}000$.
\item Tick~2: trade at $p_2 = \$3{,}010$.
\end{itemize}
\Cref{tab:cmp_vs_gmp} shows the resulting profiles side-by-side.
\begin{table}[!t]
\centering
\caption{CMP vs.\ GMP Comparison ($\beta=1$, XAUUSD)}
\label{tab:cmp_vs_gmp}
\begin{tabular}{@{}cccc@{}}
\toprule
Trade \# & Price (USD) & CMP stacks & GMP stacks \\
\midrule
1 & 3000 & 1 & 1 \\
0 & 3001 & 0 & 1 \\
0 & 3002 & 0 & 1 \\
0 & 3003 & 0 & 1 \\
0 & 3004 & 0 & 1 \\
0 & 3005 & 0 & 1 \\
0 & 3006 & 0 & 1 \\
0 & 3007 & 0 & 1 \\
0 & 3008 & 0 & 1 \\
0 & 3009 & 0 & 1 \\
2 & 3010 & 1 & 1 \\
\midrule
\multicolumn{2}{c}{\textbf{Total stacks}} & \textbf{2} & \textbf{11} \\
\bottomrule
\end{tabular}
\end{table}
CMP records only 2~stacks at the observed prices; GMP records
11~stacks spanning the full traversal. \Cref{fig:profile} visualises
both profiles as horizontal histograms.
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% VIII. DISCUSSION
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Discussion}\label{sec:discussion}
\subsection{Advantages}
\begin{enumerate}
\item \textbf{Maximal resolution.}\;By operating on raw bid/ask ticks,
mBA-GMP captures every price movement the broker records---no
information is pre-aggregated or discarded.
\item \textbf{No profile gaps.}\;Gap-filling ensures that every price
level traversed by the market is represented, preventing the sparse,
misleading histograms produced by CMP on fast-moving ticks.
\item \textbf{Volume-neutral interpolation.}\;Interpolated bins receive
exactly one stack each, reflecting a traversal rather than fabricating
volume. This preserves the interpretive semantics of the profile:
high-stack regions still correspond to genuine price acceptance.
\item \textbf{Directional Context.}\;By classifying gap-filled stacks into
up/down bins, the resultant footprint profile reveals net directional
pressure across the evaluated interval, independent of conventional
bid/ask volume mechanics.
\item \textbf{Tunable resolution via~$\beta$.}\;The bin-size parameter
allows practitioners to control profile granularity without altering
the underlying data, unlike candlestick-based approaches where
resolution is fixed by the bar period.
\end{enumerate}
\subsection{Limitations}
\begin{enumerate}
\item \textbf{Data availability.}\;Not all brokers expose raw
micro\-/millisecond tick feeds. Where only TOCHLV data is available,
GMP can still be applied to candlestick prices, but the
``mBA'' guarantee is lost.
\item \textbf{Computational cost.}\;The $\mathcal{O}(N + D)$ complexity
implies that highly volatile instruments with large cumulative
displacement~$D$ will require proportionally more computation. For
modern hardware this is rarely a practical bottleneck, but
memory-constrained environments may require streaming or windowed
implementations.
\item \textbf{Interpolation assumption.}\;Gap-filling assumes that price
continuously traverses every intermediate level. In instruments with
genuine price gaps (e.g., exchange-traded equities at market open),
this assumption may over-represent bins that were never actually
available for trading.
\end{enumerate}
\subsection{Practical Guidance on Choosing $\beta$}
\begin{itemize}
\item Set $\beta$ near to the instrument's minimum tick size for maximum
resolution (e.g., $\beta = 0.01$ for XAUUSD's 0.001 lowest tick, on many brokers).
\item Increase $\beta$ to reduce noise in low-liquidity regimes or to
align bins with round-number psychological levels.
\item As shown in \Cref{sec:binsize}, CMP bin count is invariant
to~$\beta$; thus, the resolution advantage of GMP grows as $\beta$
decreases.
\end{itemize}
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% IX. CONCLUSION
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\section{Conclusion}\label{sec:conclusion}
We have presented \textbf{mBA-GMP}, a market-profile construction method
that combines two principles: (i)~sourcing data from raw micro\-/millisecond
bid/ask tick-formation records rather than pre-aggregated candlesticks,
and (ii)~interpolating all intermediate price bins between consecutive
ticks. We formalised both Conventional Market Profile (CMP) and
Gap-filled Market Profile (GMP), provided pseudocode algorithms with
complexity analysis, and demonstrated that the bin-size parameter~$\beta$
controls profile resolution with a simple inverse relationship.
The dataframe recording approach (\Cref{sec:dataframe}) showed concretely
how 10~raw datapoints map to CMP bins with gaps, how gap-filling
produces a GMP dataframe in which every price bin is populated, and how
these intermediate bins are classified into directional up/down stacks
to yield a structural footprint. The accompanying charts and tabulated
outputs make the method reproducible and directly applicable to real-world
tick streams.
Future directions include extending the gap-filling convention to
weighted interpolation (where intermediate bins receive fractional stacks
proportional to their traversal speed) and evaluating mBA-GMP on
live order-book data across multiple asset classes.
\newpage
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
% REFERENCES
% ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
\bibliographystyle{IEEEtran}
\bibliography{references}
\end{document}
#!/usr/bin/env python3
"""
generate_profiles.py β mBA-GMP.v3 Dataframe & Chart Generator
==============================================================
Produces CSV files and publication-quality PNG charts demonstrating the
Conventional Market Profile (CMP), Gap-filled Market Profile (GMP),
and Up/Down-Bin Footprint Profile using a 10-datapoint XAUUSD example.
Outputs:
CSV: datapoints.csv, cmp_profile.csv, gmp_profile.csv,
updown_profile.csv
PNG: fig_price_scatter.png, fig_cmp_profile.png,
fig_gmp_profile.png, fig_cmp_vs_gmp.png,
fig_updown_footprint.png
"""
import math
import csv
import os
# ββ Try to import optional plotting libs βββββββββββββββββββββββββββββββββββββ
try:
import matplotlib
matplotlib.use("Agg") # non-interactive backend
import matplotlib.pyplot as plt
import matplotlib.ticker as ticker
HAS_MPL = True
except ImportError:
HAS_MPL = False
print("[WARN] matplotlib not found β CSV files will still be generated "
"but PNG charts will be skipped.")
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 1. RAW DATAPOINTS
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
DATAPOINTS = [
("A", 1, 3000.914),
("B", 2, 3003.837),
("C", 3, 3002.432),
("D", 4, 3009.892),
("E", 5, 3007.698),
("F", 6, 3009.176),
("G", 7, 3003.381),
("H", 8, 3004.283),
("I", 9, 3003.512),
("J", 10, 3003.012),
]
BIN_SIZE = 1 # Ξ² = 1 symbol price unit
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 2. HELPER FUNCTIONS
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
def bin_index(price: float, beta: float = BIN_SIZE) -> int:
"""Return the bin index for a given price: floor(price / Ξ²)."""
return int(math.floor(price / beta))
def bin_range(price: float, beta: float = BIN_SIZE):
"""Return (price_from, price_until) for the bin containing *price*."""
b = bin_index(price, beta)
return b * beta, (b + 1) * beta
def make_bin_key(b: int, beta: float = BIN_SIZE):
"""Return (bin_number_1based, price_from, price_until) for bin index *b*."""
return (b * beta, (b + 1) * beta)
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 3. CMP CONSTRUCTION
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
def build_cmp(datapoints, beta=BIN_SIZE):
"""
Build CMP profile.
Returns dict: bin_index -> {"labels": [str], "count": int}
"""
profile = {}
for label, _trade, price in datapoints:
b = bin_index(price, beta)
if b not in profile:
profile[b] = {"labels": [], "count": 0}
profile[b]["labels"].append(label)
profile[b]["count"] += 1
return profile
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 4. GMP CONSTRUCTION
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
def build_gmp(datapoints, beta=BIN_SIZE):
"""
Build GMP profile (gap-filled).
Convention (matches the dataframe approach):
1. Every datapoint fills its OWN bin with its own label (same as CMP).
2. For each consecutive pair (i, i+1), the intermediate bins BETWEEN
b(p_i) and b(p_{i+1}) β exclusive of both endpoints β are filled
with the SOURCE datapoint's label (datapoint i).
Returns dict: bin_index -> {"labels": [str], "count": int}
"""
profile = {}
def add_to_bin(b, label):
if b not in profile:
profile[b] = {"labels": [], "count": 0}
profile[b]["labels"].append(label)
profile[b]["count"] += 1
# ββ Step 1: CMP-style placement β each datapoint fills its own bin ββ
for label, _trade, price in datapoints:
add_to_bin(bin_index(price, beta), label)
# ββ Step 2: Gap-fill intermediate bins between consecutive pairs βββββ
for idx in range(len(datapoints) - 1):
src_label, _, src_price = datapoints[idx]
_dst_label, _, dst_price = datapoints[idx + 1]
b_from = bin_index(src_price, beta)
b_to = bin_index(dst_price, beta)
if abs(b_to - b_from) <= 1:
# Adjacent or same bin β no intermediate bins to fill
continue
direction = 1 if b_to > b_from else -1
# Fill bins strictly BETWEEN b_from and b_to (exclusive of both)
b = b_from + direction
while b != b_to:
add_to_bin(b, src_label)
b += direction
return profile
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 4b. UP/DOWN-BIN FOOTPRINT PROFILE CONSTRUCTION
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
def build_updown_profile(datapoints, beta=BIN_SIZE):
"""
Build the Up/Down-Bin Footprint Profile.
For each consecutive pair of datapoints, every bin on the gap-filled
path (excluding the source datapoint's own bin) is classified as an
up-bin or down-bin depending on the direction of the move.
The first datapoint (no prior movement) receives 0 up / 0 down.
Returns dict: bin_index -> {"labels": [str], "up": int, "down": int}
"""
# ββ Collect GMP group labels (reuse from GMP logic) ββββββββββββββββββ
groups = {} # bin_index -> list of labels
def add_label(b, label):
if b not in groups:
groups[b] = []
groups[b].append(label)
# CMP placement
for label, _trade, price in datapoints:
add_label(bin_index(price, beta), label)
# Gap-fill intermediate labels
for idx in range(len(datapoints) - 1):
src_label, _, src_price = datapoints[idx]
_, _, dst_price = datapoints[idx + 1]
b_from = bin_index(src_price, beta)
b_to = bin_index(dst_price, beta)
if abs(b_to - b_from) <= 1:
continue
direction = 1 if b_to > b_from else -1
b = b_from + direction
while b != b_to:
add_label(b, src_label)
b += direction
# ββ Now compute up/down counts per bin ββββββββββββββββββββββββββββββββ
up_counts = {} # bin_index -> int
down_counts = {} # bin_index -> int
for idx in range(len(datapoints) - 1):
_, _, src_price = datapoints[idx]
_, _, dst_price = datapoints[idx + 1]
b_from = bin_index(src_price, beta)
b_to = bin_index(dst_price, beta)
if b_from == b_to:
# Same bin, but price might have moved
if dst_price > src_price:
up_counts[b_from] = up_counts.get(b_from, 0) + 1
elif dst_price < src_price:
down_counts[b_from] = down_counts.get(b_from, 0) + 1
continue
is_up = b_to > b_from
direction = 1 if is_up else -1
# Every bin on the path AFTER the source bin (exclusive of source,
# inclusive of destination) gets a directional count.
b = b_from + direction
while True:
if is_up:
up_counts[b] = up_counts.get(b, 0) + 1
else:
down_counts[b] = down_counts.get(b, 0) + 1
if b == b_to:
break
b += direction
# ββ Merge into result dict βββββββββββββββββββββββββββββββββββββββββββ
all_bins = set(groups.keys()) | set(up_counts.keys()) | set(down_counts.keys())
profile = {}
for b in all_bins:
profile[b] = {
"labels": sorted(groups.get(b, [])),
"up": up_counts.get(b, 0),
"down": down_counts.get(b, 0),
}
return profile
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 5. CSV OUTPUT
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
def write_datapoints_csv(datapoints, path="datapoints.csv"):
"""Write the raw datapoints to CSV."""
with open(path, "w", newline="") as f:
w = csv.writer(f)
w.writerow(["datapoint", "x-axis trades (raw trades or time)", "y-axis Price"])
for label, trade, price in datapoints:
w.writerow([label, trade, f"{price:.3f}"])
print(f"[OK] {path}")
def write_profile_csv(profile, beta, path):
"""Write a profile (CMP or GMP) to CSV, bins numbered 1..N from lowest."""
if not profile:
print(f"[WARN] Empty profile, skipping {path}")
return
b_min = min(profile.keys())
b_max = max(profile.keys())
# Include ALL bins from b_min to b_max (even empty ones)
rows = []
bin_number = 1
for b in range(b_min, b_max + 1):
p_from = b * beta
p_until = (b + 1) * beta
info = profile.get(b, {"labels": [], "count": 0})
group = "".join(sorted(info["labels"]))
count = info["count"]
rows.append([bin_number, int(p_from), int(p_until), group, count])
bin_number += 1
with open(path, "w", newline="") as f:
w = csv.writer(f)
w.writerow([
f"bin (with binsize = {beta} symbol's price unit)",
"price from", "price until", "datapoint group",
"number of profile's stacks"
])
for row in rows:
w.writerow(row)
print(f"[OK] {path}")
def write_updown_profile_csv(updown_profile, gmp_groups, beta, path):
"""Write the Up/Down-Bin Footprint Profile to CSV."""
if not updown_profile:
print(f"[WARN] Empty profile, skipping {path}")
return
b_min = min(updown_profile.keys())
b_max = max(updown_profile.keys())
rows = []
bin_number = 1
for b in range(b_min, b_max + 1):
p_from = b * beta
p_until = (b + 1) * beta
info = updown_profile.get(b, {"labels": [], "up": 0, "down": 0})
group = "".join(info["labels"])
up_val = info["up"]
down_val = info["down"]
delta_val = up_val - down_val
rows.append([bin_number, int(p_from), int(p_until), group,
down_val, up_val, delta_val])
bin_number += 1
with open(path, "w", newline="") as f:
w = csv.writer(f)
w.writerow([
f"bin (with binsize = {beta} symbol's price unit)",
"price from", "price until", "datapoint group",
"down-bin profile's stacks", "up-bin profile's stacks",
"delta-bin profile's stacks"
])
for row in rows:
w.writerow(row)
print(f"[OK] {path}")
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 6. CHART GENERATION
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# ββ Color palette (white / light theme) ββββββββββββββββββββββββββββββββββββββ
CLR_BG = "#ffffff"
CLR_FG = "#1a1a1a"
CLR_GRID = "#d0d0d0"
CLR_ACCENT1 = "#1565c0" # deep blue (scatter)
CLR_ACCENT2 = "#e65100" # deep orange (CMP)
CLR_ACCENT3 = "#2e7d32" # deep green (GMP)
CLR_MUTED = "#607d8b"
CLR_LABEL = "#333333" # label text
CHART_DPI = 300
def _apply_style(ax, title=""):
"""Apply a consistent white/light theme to an axes object."""
ax.set_facecolor(CLR_BG)
ax.figure.set_facecolor(CLR_BG)
ax.tick_params(colors=CLR_FG, labelsize=8)
ax.xaxis.label.set_color(CLR_FG)
ax.yaxis.label.set_color(CLR_FG)
ax.title.set_color(CLR_FG)
for spine in ax.spines.values():
spine.set_color(CLR_GRID)
ax.grid(True, color=CLR_GRID, linewidth=0.5, alpha=0.4)
if title:
ax.set_title(title, fontsize=11, fontweight="bold", pad=10)
def chart_price_scatter(datapoints, path="fig_price_scatter.png", ax=None):
"""Scatter + line plot of price vs trade index, labeled AβJ."""
labels = [d[0] for d in datapoints]
trades = [d[1] for d in datapoints]
prices = [d[2] for d in datapoints]
standalone = ax is None
if standalone:
fig, ax = plt.subplots(figsize=(7, 4))
_apply_style(ax, "Price vs. Trade Index (Datapoints AβJ)")
ax.plot(trades, prices, color=CLR_ACCENT1, linewidth=1.2, alpha=0.45,
zorder=1)
ax.scatter(trades, prices, color=CLR_ACCENT1, s=52, zorder=2,
edgecolors="white", linewidths=0.6)
for lbl, x, y in zip(labels, trades, prices):
ax.annotate(lbl, (x, y), textcoords="offset points",
xytext=(0, 10), ha="center", fontsize=8,
fontweight="bold", color=CLR_LABEL)
ax.set_xlabel("Trade Index (raw trades)", fontsize=9)
ax.set_ylabel("Price (USD)", fontsize=9)
ax.yaxis.set_major_formatter(ticker.FormatStrFormatter("%.0f"))
if standalone:
fig.tight_layout()
fig.savefig(path, dpi=CHART_DPI, bbox_inches="tight")
plt.close(fig)
print(f"[OK] {path}")
def _draw_profile(ax, profile, beta, title, bar_color):
"""Draw a horizontal bar chart for a profile onto *ax*."""
b_min = min(profile.keys())
b_max = max(profile.keys())
bin_labels = []
stacks = []
groups = []
for b in range(b_min, b_max + 1):
p_from = b * beta
p_until = (b + 1) * beta
bin_labels.append(f"{int(p_from)}β{int(p_until)}")
info = profile.get(b, {"labels": [], "count": 0})
stacks.append(info["count"])
groups.append("".join(sorted(info["labels"])))
y_pos = range(len(bin_labels))
bars = ax.barh(y_pos, stacks, color=bar_color, edgecolor="white",
linewidth=0.5, height=0.7, alpha=0.85)
ax.set_yticks(y_pos)
ax.set_yticklabels(bin_labels, fontsize=7)
ax.set_xlabel("Stacks", fontsize=9)
ax.set_ylabel("Price Bin (USD)", fontsize=9)
# Annotate bars with datapoint group letters
max_s = max(stacks) if stacks else 1
for i, (bar, grp) in enumerate(zip(bars, groups)):
if grp:
ax.text(bar.get_width() + 0.12, bar.get_y() + bar.get_height() / 2,
grp, va="center", ha="left", fontsize=7, color=CLR_LABEL,
fontweight="bold")
ax.set_xlim(0, max_s + 2)
_apply_style(ax, title)
def chart_profile(profile, beta, path, title, bar_color):
"""Standalone horizontal bar chart for a single profile (CMP or GMP)."""
if not profile:
return
fig, ax = plt.subplots(figsize=(6, 5))
_draw_profile(ax, profile, beta, title, bar_color)
fig.tight_layout()
fig.savefig(path, dpi=CHART_DPI, bbox_inches="tight")
plt.close(fig)
print(f"[OK] {path}")
def chart_cmp_vs_gmp(cmp_profile, gmp_profile, beta,
path="fig_cmp_vs_gmp.png"):
"""Side-by-side comparison of CMP and GMP profiles (2-panel)."""
if not cmp_profile or not gmp_profile:
return
fig, (ax1, ax2) = plt.subplots(1, 2, figsize=(11, 5), sharey=True)
_draw_profile(ax1, cmp_profile, beta, "CMP Profile", CLR_ACCENT2)
_draw_profile(ax2, gmp_profile, beta, "GMP Profile", CLR_ACCENT3)
ax2.set_ylabel("") # avoid duplicate y-label
fig.suptitle("CMP vs. GMP β 10-Datapoint Example (Ξ² = 1)",
fontsize=13, fontweight="bold", color=CLR_FG, y=1.01)
fig.tight_layout()
fig.savefig(path, dpi=CHART_DPI, bbox_inches="tight")
plt.close(fig)
print(f"[OK] {path}")
def chart_combined_3panel(datapoints, cmp_profile, gmp_profile, beta,
path="fig_combined_3panel.png"):
"""Three-panel chart: Datapoints | CMP with letters | GMP with letters."""
if not cmp_profile or not gmp_profile:
return
fig, (ax1, ax2, ax3) = plt.subplots(1, 3, figsize=(16, 5.5),
gridspec_kw={"width_ratios": [1.1, 1, 1]})
# ββ Panel 1: Datapoints scatter with labels ββββββββββββββββββββββββββ
labels = [d[0] for d in datapoints]
trades = [d[1] for d in datapoints]
prices = [d[2] for d in datapoints]
_apply_style(ax1, "Datapoints (AβJ)")
ax1.plot(trades, prices, color=CLR_ACCENT1, linewidth=1.2, alpha=0.4,
zorder=1)
ax1.scatter(trades, prices, color=CLR_ACCENT1, s=52, zorder=2,
edgecolors="white", linewidths=0.6)
for lbl, x, y in zip(labels, trades, prices):
ax1.annotate(lbl, (x, y), textcoords="offset points",
xytext=(0, 10), ha="center", fontsize=9,
fontweight="bold", color=CLR_LABEL)
ax1.set_xlabel("Trade Index", fontsize=9)
ax1.set_ylabel("Price (USD)", fontsize=9)
ax1.yaxis.set_major_formatter(ticker.FormatStrFormatter("%.0f"))
# ββ Panel 2: CMP with group letters ββββββββββββββββββββββββββββββββββ
_draw_profile(ax2, cmp_profile, beta, "CMP with Letters", CLR_ACCENT2)
# ββ Panel 3: GMP with group letters ββββββββββββββββββββββββββββββββββ
_draw_profile(ax3, gmp_profile, beta, "GMP with Letters", CLR_ACCENT3)
ax3.set_ylabel("") # avoid duplicate y-label
fig.suptitle("Datapoints β CMP β GMP (Ξ² = 1)",
fontsize=14, fontweight="bold", color=CLR_FG, y=1.02)
fig.tight_layout()
fig.savefig(path, dpi=CHART_DPI, bbox_inches="tight")
plt.close(fig)
print(f"[OK] {path}")
def chart_updown_footprint(updown_profile, beta,
path="fig_updown_footprint.png"):
"""Dual horizontal bar chart: down-bins (left/red) vs up-bins (right/teal)."""
if not updown_profile:
return
CLR_UP = "#00897b" # teal
CLR_DOWN = "#e53935" # red
b_min = min(updown_profile.keys())
b_max = max(updown_profile.keys())
bin_labels = []
up_vals = []
down_vals = []
delta_vals = []
for b in range(b_min, b_max + 1):
p_from = b * beta
p_until = (b + 1) * beta
bin_labels.append(f"{int(p_from)}-{int(p_until)}")
info = updown_profile.get(b, {"labels": [], "up": 0, "down": 0})
up_vals.append(info["up"])
down_vals.append(info["down"])
delta_vals.append(info["up"] - info["down"])
y_pos = list(range(len(bin_labels)))
max_val = max(max(up_vals, default=1), max(down_vals, default=1), 1)
fig, ax = plt.subplots(figsize=(8, 5.5))
_apply_style(ax, "Up/Down-Bin Footprint Profile (GMP-based)")
# Down bars extend to the LEFT (negative x)
bars_down = ax.barh(y_pos, [-d for d in down_vals], color=CLR_DOWN,
edgecolor="white", linewidth=0.5, height=0.65,
alpha=0.85, label="Down-bin")
# Up bars extend to the RIGHT (positive x)
bars_up = ax.barh(y_pos, up_vals, color=CLR_UP,
edgecolor="white", linewidth=0.5, height=0.65,
alpha=0.85, label="Up-bin")
# Annotate bars with counts
for i, (dv, uv, deltav) in enumerate(zip(down_vals, up_vals, delta_vals)):
if dv > 0:
ax.text(-dv - 0.15, i, str(dv), va="center", ha="right",
fontsize=7, color=CLR_DOWN, fontweight="bold")
if uv > 0:
ax.text(uv + 0.15, i, str(uv), va="center", ha="left",
fontsize=7, color=CLR_UP, fontweight="bold")
# Delta annotation at far right
delta_color = CLR_UP if deltav > 0 else (CLR_DOWN if deltav < 0 else CLR_MUTED)
delta_str = f"{deltav:+d}" if deltav != 0 else "0"
ax.text(max_val + 1.0, i, f"\u0394={delta_str}", va="center", ha="left",
fontsize=6.5, color=delta_color)
ax.set_yticks(y_pos)
ax.set_yticklabels(bin_labels, fontsize=7)
ax.set_xlabel("Stacks", fontsize=9)
ax.set_ylabel("Price Bin (USD)", fontsize=9)
ax.axvline(0, color=CLR_FG, linewidth=0.6)
ax.set_xlim(-max_val - 1.5, max_val + 2.5)
ax.legend(loc="lower right", fontsize=8)
fig.tight_layout()
fig.savefig(path, dpi=CHART_DPI, bbox_inches="tight")
plt.close(fig)
print(f"[OK] {path}")
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
# 7. MAIN
# ββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
def main():
out_dir = os.path.dirname(os.path.abspath(__file__))
# ββ Build profiles ββββββββββββββββββββββββββββββββββββββββββββββββββββ
cmp = build_cmp(DATAPOINTS, BIN_SIZE)
gmp = build_gmp(DATAPOINTS, BIN_SIZE)
updown = build_updown_profile(DATAPOINTS, BIN_SIZE)
# ββ Write CSVs ββββββββββββββββββββββββββββββββββββββββββββββββββββββββ
write_datapoints_csv(DATAPOINTS, os.path.join(out_dir, "datapoints.csv"))
write_profile_csv(cmp, BIN_SIZE, os.path.join(out_dir, "cmp_profile.csv"))
write_profile_csv(gmp, BIN_SIZE, os.path.join(out_dir, "gmp_profile.csv"))
write_updown_profile_csv(updown, gmp, BIN_SIZE,
os.path.join(out_dir, "updown_profile.csv"))
# ββ Generate charts βββββββββββββββββββββββββββββββββββββββββββββββββββ
if HAS_MPL:
chart_price_scatter(
DATAPOINTS, os.path.join(out_dir, "fig_price_scatter.png"))
chart_profile(
cmp, BIN_SIZE, os.path.join(out_dir, "fig_cmp_profile.png"),
"Conventional Market Profile (CMP)", CLR_ACCENT2)
chart_profile(
gmp, BIN_SIZE, os.path.join(out_dir, "fig_gmp_profile.png"),
"Gap-Filled Market Profile (GMP)", CLR_ACCENT3)
chart_cmp_vs_gmp(
cmp, gmp, BIN_SIZE,
os.path.join(out_dir, "fig_cmp_vs_gmp.png"))
chart_combined_3panel(
DATAPOINTS, cmp, gmp, BIN_SIZE,
os.path.join(out_dir, "fig_combined_3panel.png"))
chart_updown_footprint(
updown, BIN_SIZE,
os.path.join(out_dir, "fig_updown_footprint.png"))
# ββ Print summary βββββββββββββββββββββββββββββββββββββββββββββββββββββ
print("\nββ CMP Profile ββ")
b_min = min(cmp.keys())
b_max = max(cmp.keys())
for b in range(b_min, b_max + 1):
info = cmp.get(b, {"labels": [], "count": 0})
grp = "".join(sorted(info["labels"]))
print(f" Bin {b - b_min + 1}: {int(b * BIN_SIZE)}β{int((b+1) * BIN_SIZE)} "
f"group={grp or 'β':6s} stacks={info['count']}")
print("\nββ GMP Profile ββ")
b_min = min(gmp.keys())
b_max = max(gmp.keys())
for b in range(b_min, b_max + 1):
info = gmp.get(b, {"labels": [], "count": 0})
grp = "".join(sorted(info["labels"]))
print(f" Bin {b - b_min + 1}: {int(b * BIN_SIZE)}β{int((b+1) * BIN_SIZE)} "
f"group={grp or 'β':6s} stacks={info['count']}")
print("\nββ Up/Down-Bin Footprint Profile ββ")
b_min = min(updown.keys())
b_max = max(updown.keys())
for b in range(b_min, b_max + 1):
info = updown.get(b, {"labels": [], "up": 0, "down": 0})
grp = "".join(info["labels"])
delta = info["up"] - info["down"]
print(f" Bin {b - b_min + 1}: {int(b * BIN_SIZE)}β{int((b+1) * BIN_SIZE)} "
f"group={grp or 'β':6s} up={info['up']} down={info['down']} "
f"delta={delta:+d}")
if __name__ == "__main__":
main()
datapoint,x-axis trades (raw trades or time),y-axis Price
A,1,3000.914
B,2,3003.837
C,3,3002.432
D,4,3009.892
E,5,3007.698
F,6,3009.176
G,7,3003.381
H,8,3004.283
I,9,3003.512
J,10,3003.012
bin (with binsize = 1 symbol's price unit),price from,price until,datapoint group,number of profile's stacks
1,3000,3001,A,1
2,3001,3002,,0
3,3002,3003,C,1
4,3003,3004,BGIJ,4
5,3004,3005,H,1
6,3005,3006,,0
7,3006,3007,,0
8,3007,3008,E,1
9,3008,3009,,0
10,3009,3010,DF,2
bin (with binsize = 1 symbol's price unit),price from,price until,datapoint group,number of profile's stacks
1,3000,3001,A,1
2,3001,3002,A,1
3,3002,3003,AC,2
4,3003,3004,BCGIJ,5
5,3004,3005,CFH,3
6,3005,3006,CF,2
7,3006,3007,CF,2
8,3007,3008,CEF,3
9,3008,3009,CDEF,4
10,3009,3010,DF,2
bin (with binsize = 1 symbol's price unit),price from,price until,datapoint group,down-bin profile's stacks,up-bin profile's stacks,delta-bin profile's stacks
1,3000,3001,A,0,0,0
2,3001,3002,A,0,1,1
3,3002,3003,AC,1,1,0
4,3003,3004,BCGIJ,3,2,-1
5,3004,3005,CFH,1,2,1
6,3005,3006,CF,1,1,0
7,3006,3007,CF,1,1,0
8,3007,3008,CEF,2,1,-1
9,3008,3009,CDEF,2,2,0
10,3009,3010,DF,0,2,2
