Volume Levels

[tradercrm]

Thanks for the update, makes much more sense now. I'm currently using ZF with RCG for clearing so I can check with them. All in all though, my expectation is that I can't expect stability from NT with zero coalescence?

[cclsys]

Did you check the Gomi package?

[cclsys]

I did one day (and only one day) compare Gomi's live-updating PVP/POC prices with dValue's VWTPO calcs using tick chart, and they were very close. With dvalue you have to use tick or 1-3 min charts otherwise the averaging method of calculation (which means you can use the indicator without having to keep track of the live data all the time) will be too loose. But with short-term charts, it ends up being pretty good. Then the Eds live-updating can provide further granularity, esp. if using time bars who often get large ranges during fast moves, but whose main volume might be at one particular end of the bar rather than spread out along the whole length of it as the calc. method has to do after the bar close.

[cclsys]

Thx yes I have.
Forgive me if I'm wrong but I didn't see anything that gave this kind of volume level reading.
Namely that maximum volume levels for day/week/previous week/month/and total contract, are displayed as both a horizontal line level and in histogram, for each, on one chart, and for each CME futures contract, automatically from one download each night.
Did I miss this somewhere ?

Thx

Dvalue area does that but again you can't do it by loading daily charts. Recommend 1 minutes: load very quickly and provide good granularity. However, for looking at a week at a time, can't be compressed enough. 30 mins works fine of course, but probably accuracy of the PVP/POC prices is in question although again, not by all that much. I prefer VWTPO based on comparing with the live-updating equivalents but again, did not compare extensively.

Try CalculateVolumeArea by sbgtrading from which Dvalue was made. His examples on website and NT download area show daily histograms with daily PVP lines as you describe above.

[dj22522]

Dvalue area does that but again you can't do it by loading daily charts. Recommend 1 minutes: load very quickly and provide good granularity. However, for looking at a week at a time, can't be compressed enough. 30 mins works fine of course, but probably accuracy of the PVP/POC prices is in question although again, not by all that much. I prefer VWTPO based on comparing with the live-updating equivalents but again, did not compare extensively.

Try CalculateVolumeArea by sbgtrading from which Dvalue was made. His examples on website and NT download area show daily histograms with daily PVP lines as you describe above.

Thx for the info.
I'm not following what you say however.

What are you saying by "Recommend 1 minutes" ?
and "30 mins work fine"?
Are you referring to one instance of the dValue on a 30 min chart?
Because regardless of the Chart time increment (ie 1 or 30 min chart)
the dValue only shows one histogram from it's start time and for as long as it's session length.

This doesn't do what I was trying to explain, and that the original post shows with Metatrader.

What I can see is that dValue indicator can be loaded multiple times on one chart to create and "intra-day" profile.

Each instance having a different start time.
ie: for a 24 hour chart we would have dValue loaded x 24, with each having a start time at each consecutive hour
(ie; start first dvalue at 00:00 and session length at 1 hour, then the 2nd dvalue start at 01:00 with session length at 1 hour etc..).
Perhaps I'm not understanding how to use the dValue indicator settings, but I don't see any other way.


However for this "intra-day" use I have a problem with the Real Time VAb and VAt and POC and RtPOC.
As per setting a 1 hour increment for the session length, the histogram ends each hour but VAt and POC and RtPOC do not end at each hour.
They carry on not just to the end of the day (ie midnight) but to the end of the entire chart.(select real time option to False only turns off the POC.)
ie: the chart will have VAB's and VAt's etc today, from hourly created dValue's from the past
(for every hour of each day for as many days laoded on the chart).
This is actually what I was hoping for but on a daily/weekly/monthly basis
for an Evolving POC.

The Evolving POC/VAB and VAt's also do not end each hour(session length chosen) but end at the end of each day ie: midnight on a 24 hour chart.)
Which is fine for "intra-day" but not for multiple days/weeks/month.

Such that it seems the Real Time VAB and VAt are doing what I looking for
the Evolving to do. All be it only for each Day rather than combined days/weeks.

So...
Is there an indicator (or settings) to have "intra-day" dValue
(I have the "CalculateValueHistogramv2" but this has differences in way it sets up and options etc)?

And...
Irrespective of intra-day, appreciate any help to understand how you see multiple day/week/month
POC's etc can be created on one chart.

Many thx

[dj22522]

VBB VAt POC Overshoot exmaple

A picture is clearer to explain the intra-day profiles.
I have applied 2 instances of the dValue indicator.
1st.(Green) Set to start at 3(am) session length of 1 hour.
2nd (Aqua) Set to start at 6(am) session length of 1 hour

So the histograms do only form across one hour, good.
But the VAB(green line) and VAt(pink Line) and POC (black line)
continue through the entire market session and across until the next instance of same equivalent start time.

The Evolving VAB/VAt/POC (not shown as they are not saved on historical chart) also do not end at selected "session length ie: 1 hour), continue until end of market session, but do not carry over to next same instance.

Hope that's clearer.

Thx.

[cclsys]

Sorry, I did misunderstand. I believe an open-source 'market profile' indicator plots the 30 min histograms but not everything else.

Gom Recorder indicators show it on any bars but must be live-monitored. i.e. you can have 30-minute ladders. But I don't believe he has 30-minute market profile histograms.

Definitely can be done and suspect someone somewhere is already selling it for Ninja.

By 1-minute I just meant to have tick or 1-minute to get the PVP calculations more accurate using CalcValueArea/Dvalue because they divide the volume (or time) of any given bar and distribute equally along its range after it closes. Gom tracks it live tick by tick so is more accurate but also very process-intensive.

[dj22522]

Sorry, I did misunderstand. I believe an open-source 'market profile' indicator plots the 30 min histograms but not everything else.

Gom Recorder indicators show it on any bars but must be live-monitored. i.e. you can have 30-minute ladders. But I don't believe he has 30-minute market profile histograms.

Definitely can be done and suspect someone somewhere is already selling it for Ninja.

By 1-minute I just meant to have tick or 1-minute to get the PVP calculations more accurate using CalcValueArea/Dvalue because they divide the volume (or time) of any given bar and distribute equally along its range after it closes. Gom tracks it live tick by tick so is more accurate but also very process-intensive.

Thx again for your feedback.
Attached chart using the iMarketProfile 1.65v indicator.
I'm not using it for the Market Profiles, hence I've selected the mode for them to not show on the chart.
I am trying to see how it can be used to plot volume levels from larger to shorter time periods, as previously described.

This 60m 6B chart from 1st Dec 09 to 26th Jan 10 (scrunched up to show the full period) and has 3 x instances of the indicator.
One on a monthly setting and shows the POC (Orange) for the month.
Second on a Weekly setting and shows the POC (Aqua) for each week.
Third is daily, with POC in Yellow.
(Lime and Magenta are the Evolving POC,VAB,VAH for the day).

I'm not that clever with how these indicators collect data so not sure this is giving me what I want ( accumulated volume levels for different time periods) but it may be a start.

This is to show the larger time periods and will try work on the shorter time periods all the way down to the tick hopefully.

My thanks to the originator of the iMarketProfile indicator and for the feedback.

[cclsys]

dj. looks reasonable. Remember that with the longer the timeframe of the bars, the less accurate the PVP/POC calculation since it averages out the distribution. Still, over many days I am sure it comes out more or less correct. On a one-day chart, though, the 60 minute bar calculation could be off by quite a large amount.

Could you please attach the imarketprofile indy? I couldn't find it in the downloads section nor with a general search.

[dj22522]

dj. looks reasonable. Remember that with the longer the timeframe of the bars, the less accurate the PVP/POC calculation since it averages out the distribution. Still, over many days I am sure it comes out more or less correct. On a one-day chart, though, the 60 minute bar calculation could be off by quite a large amount.

Could you please attach the imarketprofile indy? I couldn't find it in the downloads section nor with a general search.

Hi cc.
I posted the 60min just to get the monthly (orange) showing on the chart.
For sure I agree about the lack of accuracy.
Yes I believe we can get more accurate POC and volume levels intra- day.
It's the actual volume from the CME as per the eVolution stuff I want (sorry to repeat).
Here's the link for the iMarketProfil indi.

http://www.bigmiketrading.com/free_downloads/ninjatrader/indicators/287-download.html?view

thx

[dj22522]

MP link

http://www.ninjatrader-support2.com/vb/showthread.php?t=24539

iMarketProfile1_65 link on Ninja.

[cclsys]

Dj, here is the skew indicator such as it is.

I have used the hvwap in this one (available on this forum) because I was trying to call the times. Didn't work. If you don't have hvwap just change the code to the Vwap indy instead.

Right now the problem is that you cannot call the start and end times of the vwap. But apart from that the indy works fine as a starting point.

Skew: difference between dynamic PVP and the vwap.

Lines in indy: 2(?) ATR's above/below the PVP and 9 ATR's above/below, the idea being that when the market is close to the PVP that is consolidation-type action and then when it goes beyond them it is trend type action.

There is something to this indicator but also I think that the information from the vwap differs markedly depending upon when it starts being calculated.

For markets where most of the action is in the day session (like Crude for example, and probably also most indexes and grains), it's a no-brainer: start the vwap at the day-session open, give it some time to develop, then it provides good statistical info. However, with other markets (like metals) which have significant developments overnight it's tricky: if you include the overnight action in the vwap then the first hour of the day-session is lessened in importance, but if you don't you lose reference to overnight action which might well be informing current early morning day-session action in the US pits. And so it goes.

But those niggles notwithstanding, it is an interesting (and unique) indicator. So enjoy!

Attached: code; pic showing indy on Crude tick chart. My color scheme is that blues are bearish, gold/yellows bullish. The central histo plots the current skew as difference between price and PVP, color-coded as to whether above below the PVP, i.e. vwap above PVP = bullish = gold color histogram. The ATR-bands just provide context.

Note: this is an example from the chart I had up right now. You can find other examples where the skew flip provides 'leading-indicator' types heads-up to imminent trend change after a good move. In this case, it wasn't so helpful today.

Drew ellipses showing
a) steep sell-off but but
b) did not attract sufficient volume lower down to 'flip' the PVP down there, so a return to the mean (vwap) is likely.

[cclsys]

re: "But the VAB(green line) and VAt(pink Line) and POC (black line)
continue through the entire market session and across until the next instance of same equivalent start time. "

I believe the evolving VAB's change as their values change over time, but each time they are drawn across the entire day-session at the current value. The ones from the previous session have a different plot and remain in place during the current session to show the previous Value Area.

[cclsys]

Big Mike at BMT forum helped me get the hvwap to have a callable time by moving the section in Properties from Settings to Parameters.

So here is the latest version of the DValueAreaSkew Indicator now with the vwap being able to be synchonised start-time-wise with the DValueArea price calcs.