Market Profile Reference Levels: The Map Before the Open
The footprint lessons in this series looked inside single bars: who traded, at what price, and whether it moved anything. This lesson zooms out. Before the open, the market has already left a trail of prices where it did business, stopped, or left in a hurry. Those prices are where the next session tends to react, and knowing them in advance tells you where to point the order flow reading you have learned so far.
The idea of trading from a short list of reference prices comes from Jim Dalton, whose books Mind Over Markets and Markets in Profile, written with Eric Jones and Robert Dalton, brought Market Profile to a wide audience. His list includes the halfback, the prior day's high and low, the overnight high and low, the early high and low of the session, one-timeframing, the point of control, spike highs and lows, the settlement and the open. Below we group them our own way, by when you can know them, and explain each one in our own words.
Why reference levels work
A market is an auction. It moves to find prices where buyers and sellers will both trade, and it remembers where it found them. Every level on this list marks one of three things:
- Where business was done. The point of control and the value area hold most of yesterday's trading. When price returns there, the market is checking whether yesterday's fair price is still fair.
- Where the auction stopped. Highs and lows are where one side gave up. Traders who are wrong usually have their stops just beyond them, the same pile of orders described in the liquidity grab lesson.
- Where positions are marked. The settlement and the open are prices that a lot of traders measure their day against.
None of this tells you what will happen at a level. It tells you where something is likely to happen, which is exactly what an order flow reader needs.
The levels you know before the open
These are fixed before the first trade of the day. Marking them is the whole of the morning preparation.
- Prior day high and low. Where yesterday's auction stopped in each direction. A move beyond either one is either accepted or rejected, and the next section shows how to tell which.
- Prior point of control. The price with the most time at it yesterday, the fairest price of the day. In the diagram it is the row of ten letters at 6,026.
- Prior value area. The range holding 70% of yesterday's time, 6,020 to 6,030 in the diagram. Opening inside it suggests balance. Opening outside it means the market has to decide whether to return.
- Prior halfback. The midpoint of yesterday's range, 6,025 here. It often sits near the point of control, as it does in the diagram, and two levels in the same place count for more than either alone.
- Settlement. The official price the exchange settled the contract at, which can differ from the last trade. Many positions are marked to it overnight.
- Spike base. Yesterday ended with a spike: the last two periods, L and M, ran from 6,034 to the high with only one or two letters per row. A late move like that has not been tested yet, and where the next session opens against it, above, inside or below, says a lot about whether it was accepted.
- Overnight high and low. The range traded while the day session was closed. Overnight traders' stops and breakout orders sit just beyond it, so a quick poke through the overnight high in the first hour deserves the same suspicion as a spike above any old high.
Notice the single letter A at the bottom of the profile, from 6,010 to 6,016. That tail of single prints is where buyers stepped in so fast in the first period that the market never came back. Tails like it are worth marking too.
The levels the session draws as it goes
A second group does not exist at the open. The session builds these as it trades, and they change the map during the day.
- The open. The first price of the session, and where it sits against yesterday's value and range, frames the whole day.
- The early high and low. The range of the first hour, periods A and B, is called the initial balance. A break of either end later in the day shows which side took control after the opening auction.
- Today's halfback. The midpoint of today's range so far. It moves every time the range extends, which is why it climbs in steps in the diagram.
- The developing point of control. Where today's time is building. When it moves up through the day, value is moving up with it.
- One-timeframing. In the diagram, every period from C to G makes a low above the low of the period before. That is one-timeframing up: only buyers are in control of the auction. The reference that matters during it is simple: the last period's low. When period H trades below G's low, the one-sided auction is over, which does not mean the trend has turned, only that the other side has a say again.
What happens at a level: rejected or accepted
A level is a question, not an answer. The market comes to it and answers one of two ways, and the profile shows which.
Rejected. On the left, period E pushes above yesterday's high, leaves a tail of single prints, and price goes straight back inside. The time keeps building below the level. That is a liquidity grab, seen on a profile instead of a candle chart. On the footprint at that moment you would expect the signs from earlier lessons: heavy buying at the high that goes nowhere, which is absorption, and often a bar with positive delta that closes down, the bar version of delta divergence.
Accepted. On the right, price crosses the level and stays. Period after period trades above it, the profile fattens there, and when I, J and K come back to test the old high, it holds as support. Many profile traders want at least two full periods trading beyond a level before calling it accepted, because one period can be a poke.
This is where profile and order flow meet. The reference level tells you where to look. The footprint tells you what the traders at that price actually did.
Not all levels are equal
A morning map with fifteen lines on it is not a map. A few rules keep it useful:
- Levels that line up count more. A halfback next to a point of control, or an overnight high just above the prior day high, is one stronger zone rather than two weak lines.
- Fresh beats tested. A prior point of control the market has not traded back to, often called a naked POC, still holds its information. A level the market has crossed back and forth all morning has said what it had to say.
- Nearest first. The levels just above and just below the current price matter for the next hour. The rest can wait.
- Six to eight is plenty. Mark the prior high and low, the prior value area and point of control, the overnight range, and anything that coincides. Add the initial balance once the first hour is done.
A five minute routine before the open
- Mark yesterday's high, low, point of control and value area from the profile.
- Add the halfback and the settlement, and note any spike or tail at yesterday's extremes.
- Add the overnight high and low.
- Circle the places where two or more levels sit together.
- At the open, note where price sits against yesterday's value: inside, above or below. After the first hour, add the initial balance.
Common mistakes with reference levels
- Treating a level as an order. A level is a place to watch, not a price to buy or sell blindly. Wait for the market's answer.
- Too many lines. If every price is a level, none of them is.
- Mixing sessions. A profile built on the full 24 hour session has a different point of control and value area from one built on the day session. Pick one deliberately, as the setup guide explains, and know which one your levels come from.
- Ignoring time. A level touched for one period and a level traded through for three periods are not the same event. Acceptance takes time.
Seeing it in Sierra Chart
Every level above comes from a TPO profile. If you have not built one yet, our Market Profile TPO setup guide walks through it, including the Session Times setting that decides which session your levels belong to. Our Market Profile TPO templates come with the profiles already built for each instrument.
Marking the levels by hand every morning is where most of the time goes, and it is what our Market Profile Copilot studies are built for:
- MP Prior Profile Levels draws the point of control, value area, extremes, midpoint, close, initial balance and VWAP of past sessions, labelled, up to six sessions back.
- MP Session Dashboard reads the developing session: where it opened against yesterday's value, the initial balance and which way it broke, and whether the auction is one-timeframing.
- MP Naked Levels keeps every untouched point of control on the chart until the market trades back to it.
Two levels on the list are not covered by it: it plots the session close rather than the exchange settlement, and it reads the day session, so the overnight high and low come from a 24 hour chart of the same symbol. The rest of our studies are in the Sierra Chart indicators collection.
In the next lesson we go back to the footprint for stacked imbalances: what it means when one side dominates several prices in a row, and why the price where it happens often becomes a level of its own.
Trading futures involves substantial risk of loss and is not suitable for every investor. This article is education, not trading advice.
