What is auction market theory

It is 10:15 ET on Wednesday 4 November 2026 (22:15 ICT). NQ has rallied 539 points since the 09:30 open and just printed 28,969.00, far above anything traded the day before. Six minutes later the last trade at or above 28,900 is over. By 11:28 NQ is at 28,474.00, and by the close most of the day’s volume sits around 28,632.

So what was 28,969? A real price, because a trade printed there. But almost nobody kept trading there. This lesson gives you the frame the whole module uses to tell the two apart.

Key terms

Two-way auction (đấu giá hai chiều): a market where buyers post bids, sellers post offers, and price moves to wherever the next trade can happen Definition.

Value (giá trị): the prices where most of a session’s volume traded, the place both sides kept agreeing to do business Definition.

Value area (vùng giá trị): the band of prices around the busiest price that holds 70% of the session’s volume. Its top is the VAH (value area high) and its bottom the VAL (value area low) Definition. The 70% is a convention chosen by the people who built Market Profile, not a law of markets.

Term you need: POC. The point of control (điểm kiểm soát) is the single price with the most volume in a session. M2.01 covers it in full; here you only need to know that it sits inside the value area.

Chart first: one session, price versus value

How it works

The auction moves price to find the other side

Every trade needs a buyer and a seller. When buyers keep lifting offers and nobody sells at the current price, the price moves up. That shuts off buyers who find the new price too expensive and advertises to sellers who like it. The same happens in reverse on the way down Definition.

Read every move as a question: “Higher: anyone selling here?” If sellers answer, trade builds at the new price. If nobody comes, the auction turns around and asks lower. That is all the theory says. It describes what the order flow did; it does not promise what comes next.

Price is a print, value is an agreement

A price (giá) is one trade at one moment. Value is where trade kept happening over time. On 4 November the auction printed 28,969.00, but only 3.2% of the day’s regular-session volume traded at or above 28,900, inside a window of 12 minutes Definition. The day’s value area was 28,558 to 28,787, with the POC at 28,632.

The high is where the auction asked its question; the value area is where the market answered it.

Acceptance and rejection are read after the fact

When price trades at a new level and time and volume build there, we call it acceptance (chấp nhận). When price visits and leaves quickly on little volume, we call it rejection (từ chối) Definition. You can only apply the label once the time and volume have happened; a level is not accepted at the moment it prints. M1.07 turns this into a set of questions, and M4.09 into a written rule you can test.

Why 70%, and what it is not

The value area holds 70% of the volume because that is how it is defined: start at the POC and add the busier neighbouring rows until 70% is inside (M2.02 shows the steps). Platforms let you change the number.

Myth / hypothesis: “Seventy percent of volume trades within one standard deviation of the POC, because volume is normally distributed.” Lore The 70% is a choice that sits close to the 68% a normal curve holds within one standard deviation, which is where the story comes from. Nobody has shown that NQ’s daily volume profile is bell-shaped; many sessions have two humps or a long tail, like 4 November. Our lab has not measured the fit.

Why it is still worth knowing

The auction frame gives you shared words for where the market traded, where it did business and where it only visited. It shows where an idea is plainly wrong: if you think value is moving higher and price returns inside yesterday’s value, your read is broken. And it turns chart feelings into claims you can test, such as “value-area edges act as support and resistance”.

Worked example: Tuesday 27 October 2026, value accepted higher

Real session from our lab’s NQ tick data, December contract, regular session 09:30 to 16:00 ET (20:30 to 03:00 ICT; US daylight time was still on). NQ trades in ticks of 0.25 points; one point is worth $20 on NQ and $2 on the micro contract (MNQ).

The map before the open. Monday’s value area was 29,349 to 29,572, with the POC at 29,495.

09:30 to 10:30 ET. NQ opened at 29,561.25, just under Monday’s VAH, and rotated between 29,494.50 and 29,687.75, in and out of Monday’s value: mixed answers.

10:30 to 12:00 ET. Price climbed to 29,845.25. After 11:00 it never traded below 29,707.50.

The rest of the day. From 11:44 to the close, 173 of the minutes had trades at or above 29,800, and 33.6% of the session’s volume traded up there. The day’s value area was 29,637 to 29,882, POC 29,805, almost all of it above Monday’s VAH. Value had migrated higher: acceptance, labelled once the time and volume had arrived.

Turning the read into an if-then plan. At 11:30 you want to be long only if value is moving higher. You write: if trade holds above 29,700 with volume building there, value is migrating up; invalid back inside Monday’s value, below 29,571.75. Long 1 MNQ at 29,767.25 with that invalidation carries 195.50 points of risk: 195.50 × $2 = $391 before costs. The frame tells you where you are wrong; it does not hand you a tight stop, and sizing for a wide one is RSK1.05’s job. NQ closed at 29,813.25 that day: one historical outcome, not a typical one.

The mirror and the failure

The mirror, rejected. Tuesday 20 October 2026. Monday’s value was 29,718 to 29,855. NQ opened below it at 29,594.00 and sold to 29,391.75 at 09:45 ET. Trade below 29,500 lasted from 09:35 to 09:51 with 7.2% of the day’s volume. By 10:08 price was back inside Monday’s value, and the day’s value area, 29,603 to 29,844, overlapped Monday’s. The auction asked lower and found little business there.

The mirror, accepted. Thursday 5 November 2026. Wednesday’s value was 28,558 to 28,787. NQ opened at 28,203.25 and never traded back into it (regular-session high 28,228.25, in the first minute). Value formed at 26,828 to 27,363; NQ closed at 26,746.25.

The failure. Back to 4 November. A common rule of thumb calls a level accepted after two 30-minute bars close beyond it House rule. The 09:30 bar closed at 28,810.75 and the 10:00 bar at 28,816.75, so by that rule 28,800 was accepted at 10:30. At 11:28 NQ was at 28,474.00, about 343 points lower, and the final value area topped out at 28,787. The frame did not fail; the label came too early. Any rule for acceptance is a choice you test, not a fact about the market.

Do it on the platform

Prop-firm note. In an evaluation account, the distance to where your read is wrong is also what the firm’s loss limits see; the Prop Firm course covers how those limits interact with stop distance.

Common mistakes

Common mistake: Treating the day’s extreme as information about value. The 28,969 high on 4 November held 12 minutes of trade. Read where the volume went, not only where the line went.

Common mistake: Treating a base rate as an edge. “Price often reacts at the VAH” sounds like a level that works, until you see that random prices at the same distance get almost the same reactions (evidence box above).

Drill: price or value?

On three recent NQ sessions with the value area visible (setup above):

1. Write down the regular-session high and low, and the final VAH, VAL and POC.
2. Count the minutes price spent within 20 points of the high, and within 20 points of the POC.
3. Label each extreme accepted (time and volume built there) or rejected (a short visit).

What we don’t know yet

• How closely NQ’s daily volume profile follows a bell curve: not yet measured.
• Whether acceptance or rejection of yesterday’s value, as a fixed rule, changes the next hour’s range or direction on NQ: not yet measured (M4.09 starts the test).

Recap

• The market is a two-way auction: price moves to find the other side of the trade.
• Price is where one trade printed; value is where volume built up and both sides kept doing business.
• The value area is the band around the POC holding 70% of the volume, by convention.
• Acceptance and rejection are labels you apply after time and volume have shown up, not at the first print.
• Yesterday’s value-area edges, tested as reaction levels, did no better than random prices at the same distance.

Further reading

• J. Peter Steidlmayer and Kevin Koy, Markets and Market Logic (1986): the original account of the market as an auction.
• James Dalton, Eric Jones and Robert Dalton, Mind Over Markets (2013 edition), chapters 1 to 3: value, acceptance and the value-area calculation.
• CQG help, Market Profile Value Areas: a platform definition with the 70% as a setting.
• Our lab: yesterday’s value-area edges and POC were respected at the placebo rate over 721 sessions; time-based value areas gave the same answer.

Prerequisite: M0.01 and M0.03. Next: M1.02 Balance and imbalance: once you can tell price from value, ask whether value is staying put or moving.

Educational content only. Not financial advice. Futures trading involves substantial risk of loss.