Value Areas - dValueArea

[DeanV]

Update 2.3

cclcys, Thanks for the feedback. Also give credit to Ben L. for the origonal CalculateValueArea code... this is a direvitive of his work, and I wouldn't have started tweeking without his code as a baseline.

I've uploaded a 2.3 version to the file share area. It adds the bar-by-bar Real Time POC you asked for. You can turn it on / off from the "Real Time POC" param down in the Plot area. It needs 2 bars to start ploting in each area / day.

Also add an alternative method of calculating the VA lines. "VACalcType" in the Parameters area will default to 1 (origonal calc method), and if set to 2 will use the added method. Origonal starts at the mid-point of the range and expands, where the new method starts at the POC and expands. I've seen it done both ways at various sources. The new uses slot levels, so that setting can influence the outcome, where the origonal was pure math and independent of the number of slots displayed.

I've thought about putting the 1 or 2 (per side) most recient "virgin" POC's up as floating lines, but want to wait till this gets testing with NTv7, since it uses "undocumented" code and may break. Someone who has it can test it for us sometime!! We probably still have a few months to wait for the offical release. The closer Vigin's are usually fairly easy to spot now.

Like you, I find myself paying more attention to this type stuff, and less attention to other things. I've learned a lot working on this, and also from feedback like yours.

Thanks!
Dean.

[cclsys]

Dean, thanks again. The more I use it the better I like it. Of course now I have said taht - and sincerely - I have a suggestion / request!

I would really like to see the POC plotted bar-by-bar like a normal dataseries in the following sense: often during the day the POC switches/flips as an old one is exceeded in volume/time by a new one. Now I fully understand why it plots the way it does now and that is good. But wouldn't it be nice to have one additional line/dataseries that plots it bar-by-bar, that way you can track it's movement during the day which would be especially handy during review/study of using it.

Secondly, it would be nice to keep track of these POC's in a fashion that is like Pivot Indicators, i.e. on a weekly basis to plot each day's POC with its date in text on today's chart, also to know (by color-code probably) if it's a 'Virgin' or 'already married' POC since the Virgins are far more attractive as potential swingers. (yes, I am punning deliberately!).

Btw, even though sometimes there are clear differences and especially when using a relatively slow chart like 5 min (for this sort of thing), I noticed today that a histogram utility (by Gomi) that tracks these things tick by tick ended up with EXACTLY the same POC as yours, to the tick. But unlike yours, his type has to be run live all the time to have accurate data whereas yours compiles it all by averaging things out and the results are very close to being accurate. Some times they are not, but never off by more than a few ticks. What's a few ticks amongst friends, eh?

In any case, apart from these suggestions, just wanted to thank you once again. This is an extremely helpful indicator, the most helpful blend of simplicity, ease of use/processing and valuable information that I have yet come across. I did several studies of it today and took pictures showing how valuable the POC information can be. On another blog at : http://forum.bigmiketrading.com/jour...atterns-5.html

All based on your work. Thxs again.

[bene111]

thanks for sharing this! great tool

[silvester17]

Chart prop: 24 hours chart 12 am to 12 am, exclude weekends
Indicator
Present method:0
Profile: vwtpo
Lenght: 5
Start: Monday
Slots: 100

thank you very much.

[meyer99]

dvalue weekly

Chart prop: 24 hours chart 12 am to 12 am, exclude weekends
Indicator
Present method:0
Profile: vwtpo
Lenght: 5
Start: Monday
Slots: 100

[silvester17]

Silvester<
I got 113, 1108.25 and 1097.5. Close enough. If you still have problems ask me and I will show you my chart and indicator setups.

meyer,

I got the same POC, but your VAt and VAb are closer than mine. I would like to see your chart and setups.

thanks a lot for your help.

[meyer99]

wdvalue

Silvester<
I got 113, 1108.25 and 1097.5. Close enough. If you still have problems ask me and I will show you my chart and indicator setups.

[silvester17]

Silvester, I believe your seeing the difference from the previous week (concluded) and the evolving numbers.

Assuming you've setup chart for openhours only and no weekends, the plot lines (concluded previous week) won't conclude this past weeks stuff, till we see a few completed bars after today's (monday) open. Then the program will know the previous week is done, calc., and plot last weeks stuff. You can see what the open will look like by looking at the evolving lines (perhaps still missing the last bar in the calc.).

I looked this AM on a 15 min. chart, and the numbers looked as expected to me.

hi dean,

yes you're right. working now. great stuff.
thank you.

[DeanV]

Silvester, I believe your seeing the difference from the previous week (concluded) and the evolving numbers.

Assuming you've setup chart for openhours only and no weekends, the plot lines (concluded previous week) won't conclude this past weeks stuff, till we see a few completed bars after today's (monday) open. Then the program will know the previous week is done, calc., and plot last weeks stuff. You can see what the open will look like by looking at the evolving lines (perhaps still missing the last bar in the calc.).

I looked this AM on a 15 min. chart, and the numbers looked as expected to me.

[silvester17]

hello,

value of POC is correct.
For VA_t and VA_b, depending on the method of calculation. Here, it is the volume, so if you compare it with TPO (price only) is certainly different.

I'm looking at TPO. POC is 1104.75 (I believe it should be 1108.25)
Vat is 1108.25 (I believe it should be 1113.25)
Vab is 1084.85 (I believe it should be 1098.00)

edit: I'm talking about the "weekly version"

[hegh2000]

hello,

value of POC is correct.
For VA_t and VA_b, depending on the method of calculation. Here, it is the volume, so if you compare it with TPO (price only) is certainly different.

[silvester17]

Here's a (quickly developed) Weekly version if dValueArea. I've only done basic function testing with it, so make sure you've saved your environment (incase if locks up and you have to crash out).

Calling this "dValueAreaWkly". Use it on intraday charts.

thank you very much for this great indicator.

maybe I'm doing something wrong, but it looks like poc,vat and vab are not plotting the right values. believe vat should be poc. and vab is kind of low.

thanks again

[kumar]

Dean,

Great contribution to NT users.
Is the volume distributed equally across the bars or does the indicator collect the actual tic data (at least for the current day)?

If you ever plan to make changes to the indicator, I would suggest that the VPOC for any day should be plotted over that days profile, not extended over to the next day and along the same lines, it would make a chart (when one is looking at profile over several days) if the VPOC lines were terminated at the session and not shown as step-lines.

In any event, thanks for providing the indicator.

[Double D]

Thanks

Thanks for the help.

[DeanV]

I've been trading futures only a couple of years and am interested in learning how to use market profile in trading. Can you direct a newbie to a link or two that teaches how to use MP? Thanks. The indicator looks interesting, can't wait to try it.

There are a lot of resources around about this method. Various ideas on how to use it. This is simular to but not exactly like "market profiles". One of the books I have is "Steidlmayer on Markets" by J. Peter Steidlmayer and Steven B. Hawkins. Do various searches on this site and internet on word combo's like: market, value, profile, map, area, etc. and you'll find a lot of info to filter through.

A few web sites that also have related info (if these links are still good) are:

http://www.enthios.com/price_histogram.htm

http://www.secretsoftraders.com/ValueAreaHelpGuide.htm

http://www.elitetrader.com/vb/showth...hreadid=127181

There are also various commercial versions of this type stuff. Some offer a lot more detail than this app. They also can have clues on how they use this type info. One if the key's is to find a method and version of this that helps you trade your personality style.