Unfinished Auction Strategy: Capturing Price
It's 6:15 AM. Your algorithm just executed a reversal trade at a previously unfinished auction level in ES futures, capturing a 12-tick move before the ...
It's 6:15 AM. Your algorithm just executed a reversal trade at a previously unfinished auction level in ES futures, capturing a 12-tick move before the market even opened. Meanwhile, manual traders are still scanning charts for their first entry. This isn't magic—it's the power of understanding unfinished auctions in futures trading. Unfinished Auction is a level where bid and ask volumes are balanced at a bar's high or low, indicating price has not fully resolved at that level. This creates a magnet effect where price often returns to complete the auction, offering high-probability trade opportunities. Unlike traditional technical analysis, unfinished auctions reveal market imbalances before they're reflected in price. Moreover, the concept of unfinished auctions originates from Auction Market Theory, developed by J. Peter Steidlmayer in the 1980s while trading at the Chicago Board of Trade. Steidlmayer pioneered Market Profile to visualize how markets find fair value through continuous auctions, establishing the foundation for modern order flow analysis. Auction Market Theory is the framework explaining how markets find fair value through continuous price auctions.