The Math Behind Auction Market Theory

The first half of this document is jetbundle's own framework, built on real AAPL limit order book data: seven misconceptions that each collapse a high dimensional auction into a single number, participation as three verbs (provide, withdraw, consume), why an order book imbalance is not a directional oracle, the real three conditions for absorption, value as a statistical regime rather than a fixed price, the five-state alphabet (Balance, Absorption, Discovery, Exhaustion, Withdrawal), and the transition matrix that proves a setup can never have a fixed win rate.

The second half is Sires taking the same ideas onto a live NQ chart for a Discord Q&A, with the top 3 fixes for actually reading auctions: trading the current auction instead of one from days ago, why a real extreme needs a second transition behind it (the difference between a shelf, a ledge and a tail), and pairing the higher timeframe auction with a lower timeframe entry trigger.