What this covers
Scope
This site documents the analytical methods used by active traders on US markets: volume profile, depth of market, order flow, session structure and trading statistics. It is a reference, not a course, and it assumes you already trade.
- PRICE × VOLUMEVolume profile
- How volume distributes across price levels, and what the shape tells you about acceptance and rejection.
- DEPTHOrder flow
- Reading the order book: resting liquidity, aggressive fills, absorption and sweeps.
- TIMESessions
- CME Globex vs regular trading hours, US holidays, daylight saving and the contract cycle.
- REVIEWStatistics
- Drawdown, expectancy, sample size and the numbers worth tracking in your own trading.
Who this is for
People who already trade US markets and want to understand what their charts are measuring. If you are still learning what a limit order does, the material here will be out of place.
It is also useful if you use a professional terminal and the numbers never seem to match another platform. They usually disagree for a reason, and the reason is a session boundary, a timezone or a data feed rather than a calculation error.
The three inputs every chart depends on
Every analytical result on a trading screen comes from three things. Most disappointing results are not calculation bugs but wrong assumptions about one of them.
| Input | What it determines | Where it goes wrong |
|---|---|---|
| Price data | Which bars exist, at what prices, in what order | Consolidated versus exchange-specific feeds differ, especially on thin instruments |
| Session boundary | Where one bar or profile begins and the previous one ends | Regular hours versus full session on index futures changes volume by a large factor |
| Aggregation | How raw ticks are grouped into bars, profiles or levels | Same data with different tick or time aggregation produces different shapes |
Common trap
The most frequent cause of mismatched analytics between platforms is session coverage, not a formula difference. Full Globex session and cash session are different markets with different participants and different volumes.
Contract specifications matter
Futures are quoted in points, not dollars. Every P&L calculation has to apply the contract multiplier, and getting it wrong produces numbers that look correct and are not.
| Contract | Symbol | Multiplier | Tick value |
|---|---|---|---|
| E-mini S&P 500 | ES | $50 / point | $12.50 |
| E-mini Nasdaq 100 | NQ | $20 / point | $5.00 |
| E-mini Dow | YM | $5 / point | $5.00 |
| Crude oil | CL | $1,000 / point | $10.00 |
| Gold | GC | $100 / oz | $10.00 |
How to use this reference
Each page covers one subject and stands on its own. The order listed below avoids the most confusion: sessions before volume, volume before order flow, and statistics last because it applies to everything else.
- Session structure — when the market is open, and what that changes
- Volume profile — how volume distributes across price
- Order flow and DOM — reading the book and the tape
- Trading statistics — measuring your own performance
- Platform guide — what a professional terminal should provide
Nothing here is investment advice. It describes measurement, not what to trade.
Start: session structure