Research · TBPR-001-WP
The True Aggression Framework
The reasoning behind the tools, written down. A quantitative framework for evaluating initiative participation in auction markets — what it measures, what it deliberately does not claim, and how it could be proven wrong.
Version 1.0 · 7 pages · Tarrell Allen · The Boy Prodigy Research · free, no email required
Abstract
The measurement gap.
Executed volume, bid-ask delta, cumulative delta, footprint imbalance and volume profile describe important aspects of market activity. Yet these tools do not always distinguish initiative that changes the auction from initiative that is absorbed, exhausted, or poorly located.
Volume measures how much traded. Delta estimates the imbalance between activity executed at the offer and at the bid. Neither answers the questions that decide whether a move continues: was the initiative effective, did it persist, was it absorbed, did it occur somewhere that matters, and what did the auction do afterward?
The model
Five dimensions.
The relative scale of initiative activity. Magnitude matters, but large effort can still be absorbed or structurally late.
The relationship between effort and auction progress. Efficient initiative displaces price and attracts follow-through; inefficient initiative produces limited progress.
Whether participation continues, decays, alternates, or transfers across subsequent observations.
Where activity occurs relative to value, profile nodes, prior extremes, Initial Balance and developing structure.
What the auction does afterward: accept, reject, rotate, continue, revisit, defend, or invalidate the origin.
It states its own limits.
The framework does not claim to identify informed participants or institutions. It evaluates the observable interaction between initiative and auction response. Absorption, exhaustion and hidden participation are treated as candidate states, not direct knowledge of participant intent.
Proprietary formulas, thresholds, weighting and execution logic are deliberately withheld. What is published is the conceptual model, the software architecture, the evidence standard, the limitations, and a formal validation program — enough for the reasoning to be argued with, which is the point of publishing it.
No audited performance claim is made anywhere in the document, and none is made here.
Contents
What is inside.
- Origin of the research question, and the practitioner observation behind it
- The measurement gap in volume, delta, footprint and profile
- Microstructure and Auction Market Theory foundations
- The public definition of True Aggression, and the five dimensions
- Absorption, exhaustion and hidden participation as candidate states
- Horizontal and vertical analysis, and integration with volume profile
- Software architecture, evidence standard, and the validation program
- The disclosure boundary — what is published and what is not
From paper to platform
Where it becomes software.
The framework is implemented as the True Aggression suite for NinjaTrader 8 — an oscillator, a rate of change, a profile of initiative rather than volume, a divergence engine, and zones drawn at the level where initiative changed hands.
The paper is free and stands alone. You do not need the software to read it, and reading it is the fastest way to decide whether the software is measuring something you actually want measured.