Auction market theory

Auction market theory is the framework, associated with J. Peter Steidlmayer's Market Profile, that describes a market as a continuous two-sided auction whose purpose is to find the prices where trade is facilitated. It explains profiles, value areas, balance and imbalance in terms of acceptance and rejection of price over time.

Senzoukria · Glossary · Updated September 2026

The core ideas

The theory starts from a simple statement: a market is an auction in which buyers and sellers advertise prices, and the market moves until it finds prices where both sides are willing to transact. Prices that facilitate trade attract volume and time; prices that do not are rejected quickly. A profile, whether built from TPO counts or from volume, is the record of that process by price.

From this come the working concepts: the point of control as the price with the most activity, the value area as the band containing most of it, balance as two-sided rotation, imbalance as directional movement toward new value, and the extremes as places where the auction either finished (excess) or stopped without resolution (poor high or low).

  • Acceptance: price stays and trades volume at a level.
  • Rejection: price leaves a level quickly with little volume.
  • Time and volume are the two evidences of acceptance; a TPO profile counts time, a volume profile counts contracts.

Where order flow fits

The senzoukria.com guides on order flow trading and footprint trading describe the same auction one layer down: the footprint shows, at each price, how much traded on the bid and how much on the ask, and the delta (ask volume minus bid volume per level) shows which side was aggressive. Auction market theory gives the structural question (is this price being accepted or rejected?); the footprint gives the evidence at the moment price arrives there.

The volume profile guide sums this up as map and microscope: the profile marks where to watch, the footprint reads what happens there.

In Senzoukria

The Market Profile (TPO) overlay on the footprint chart is described in the app as a Steidlmayer TPO profile over a free period, with letters, blocks or bars, a configurable bracket (30 minutes being the standard the app cites) and a note that A is the first bracket of the period. Session VAH/VAL (developing) applies the Steidlmayer value area algorithm to the cumulated session profile. Session POC (developing), Naked POC, Initial Balance and IB Extensions cover the other reference levels of the theory.

The footprint itself, with its bid × ask cells, delta and imbalance types, is where the acceptance and rejection evidence is read. Market data is billed by the provider and the app displays what it receives; a missing level is shown as missing.

Common mistakes

  • Treating the theory as a signal system. It is a description of how price is discovered; the setups people build on it are their own.
  • Confusing time-based acceptance (TPO count) with volume-based acceptance; they usually agree but can differ on thin, fast markets.
  • Reading a profile without knowing its period. The auction on a 30-minute bracket and on a week are different auctions.
  • Ignoring the session definition: the app anchors sessions at 17:00 CT for CME products; an RTH-only profile is a different object.

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Frequently asked questions

Who developed auction market theory?
The framework is associated with J. Peter Steidlmayer, who developed Market Profile at the Chicago Board of Trade in the 1980s. It has since been extended by other authors and by traders who apply the same ideas to volume profiles and to order flow. The value area construction used in Senzoukria's Session VAH/VAL indicator is described in the app as the Steidlmayer algorithm.
What is the difference between auction market theory and order flow?
Auction market theory works at the level of structure: value areas, balance, imbalance, acceptance and rejection over a period. Order flow works at the level of individual transactions: bid and ask volume per price, delta, imbalances, absorption. The first tells you where the important prices are; the second shows how participants behave when price gets there. The two are complementary rather than competing.
Does auction market theory apply to crypto?
The concepts apply to any continuous two-sided market with a record of trades by price. In Senzoukria, crypto is available for analysis only, on Binance Spot and Perp data with real volume at price, and the same profile and footprint tools are used. Session boundaries differ from futures, since crypto trades continuously, so the profile period must be chosen deliberately.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.