Value Areas - dValueArea

[DeanV]

MDay's Features Merge

UpLoaded v7.0.3 - Adds combo mapping choices. Can chose to show maps for on screen bars, or add previous days together. Basicly merged dValueA_MDays into dValueArea.

Dean.

[PandaTrader]

Dean do you have this also for NT version 6?
Then I wanted to ask what are the total maximum slot settings for?

Thanks.

[Jack99]

equations for POC calculations?

Dean,

I'm a brand new NT7 user and really like the dValueArea indicator you created--very nice work.

I would prefer to use it as my source of VAH,VAL, and POC but I've noticed that the data does not agree with that from other sources. For example, ES 06-10 (RTH) will give different values than what I get from Market Delta (both platforms use same data feed: DTN-IQ).

It is not a small difference. For dValueArea the price-based POC is usually 0.75pts too low; and volume-based POC usually too high (1.5 -3.0 pts too high). The variance depends on the daily range and volume distribution, but I only compare TPOs on days with a minimum of 10pt range. You can also find TPOs in the public domain for comparison (http://www.trade2win.com/boards/us-i...-emini-58.html)

I've manipulated all of the settings that I can within MarketDelta and your indicator to try to discover the source of the difference but can't get the platforms to agree with one another. I would prefer to use NT7 because MarketDelta is a serious resource hog and I sometimes run 3 trading platforms at once.

I would be happy to work with you find the discrepency. Unfortunately I don't know any C#, but I am more than happy to work on the math for you, and benchmark the results from other platforms.

Let me know if you're interested. I think its a great indicator.

[DeanV]

Panda, v6.5 is out there in the share area. Just do a search for dvaluearea in the Ninjascript file and you'll probably find it quick enough. Can also sort by alpha and get to it. The slots have been discused a few times earlier in this thread. It baslicy determins how many ticks get grouped into a price, as the (daily) tick range becomes larger than # of slots. Try a low setting (like 5) and compare to a higher setting to get the idea.

Jack, probably (just a guess since I don't have DTN, but is one issue when compaired to other charters) one of the differences is if they are using a tick based calc, where NT is bar based. You could put this application on a 1-tick chart and see how it compairs for a lower range day (higher slot setting to avoid that slot grouping thing) (I've not tried it!). Might be a way to hide this with NT-7, but it still would be very resource heavy (too much for me!). Focus on the POC... neither of the VA choices strictly follows what's in the Dalton book (dosn't expand outward in groups of 2), but option 2 does follow the methodoligy (don't know what others actually do either).

Hope that helps.

[DeanV]

v7.0.5

Uploaded v7.0.5 which allows a couple of new input settings to "Slot Min. Height". Now can goto zero and -1:

0 = Auto - Will combine slots to fill in gaps vertically and eliminate overprints. Makes a much less cluttered map display.

-1 = Auto Separated - Like the Zero setting but adds a separation between slots.

Also centered mapping display with either of these Auto settings when more than 1 tick is combined into a slot (i.e. lower TotalSlots setting) (origonal stuff would (and still does) use the low of the day as a start point and tended to overshoot the high of the day). Adjusted the calcs also to reflect centering.

[farshadro]

Hi Dean:

Couple of suggestions for future releases if you have time.

1) Ability to display profiles from a specific date as oppose to what is on the screen or how many days back. This gives us the ability to anchor the composite profile from a specific pivot point on the chart to current date.

2) Ability to authomatically draw LVN/HVN (low volume node/High volume node) Lines in the composite. You can check GomMP indicator for the logic used in his code. In his code he also uses hot keys to increase/decrease sensitivity on the data.

Thanks for all your hard work.

[DeanV]

farshadro, Thanks for the feedback. I'll add to the list of enhancements to consider.

[tinkerz]

Thanks for the program, its alot of work.

I am trying and failing to update the developing value area to print as it happens rather than the line from the last Vat Vab etc

So I am asking for an enhancement, its nice to see it just to confirm what happens at these areas visually for days in the past.

Also if you can do some kind of time composite as mentioned earlier would be fantastic

Thanks

tinkerz

[highasakite]

Sorry if this already been asked, but the light red and light green coloured fields in the chart, I assume this represents the volume distribution, why are there 2-3 different "colour islands" per session? How can I use them? Is it ok to use 30 min bars for this indicator?

I´m a total newbie to this, and have only used CalculateValueAreaPOC for 6.5 before.

[DeanV]

tinkerz, sounds like your asking for a "realtimeVA's" plot, simular to the realtime POC plot option in there now. I can add it to the list. Probably be a while before I do any additional stuff with this app, so won't see any quick resolve on it. That particular one whouldn't take much since the numbers are already there... just need to add the plots (or change existing ones). Just follow how the realtime POC is done.

highasakite, red is pre-market (outside market hours as defined in program) green is open hours. It's volume and or price depending on options picked. Lots of info out on net and in a few books on how to use them. Read through this thread and many others for some references. Also a few links in top part of code. I'm not an expert, and probably know less than 1/2 of ways it could be useful. I work on stuff like this because it helps my understanding of it (just the way my brain works).

Dean.

[highasakite]

Thanks Dean. Ok, so you mean pre-market hours is 15.30-08.30 for an instrument like the ES.

Is slot = the red and green colour islands?

About the links in top part of code, I don´t understand where to find them? Can´t see any links at the indicator in ninja, in the script zip or at the script download.

(As a side note, I find it very hard to browse through a thread like this with 9 pages when the starting point is confusion about what I see. Most people ask quite initiated questions and use abbreviations which adds more new stuff I know nothing about. It´s like snowball effect for mental overload.)

[DeanV]

yes, premarket (in this context) is time after the close, till market opens next day. This program conciders the start of next day on first bar it see's after the close of open hours.

yes, green and red maps are built using horizonal rectangles for each price point.... I just call them slots. In a small range day for ES, they are probably 1 tick each for default settings.

Your right... I must have taken most out those links on vers. 7, just do an internet search for related key words and you'll find a bunch of stuff. Here's a couple if they still work...
www.secretsoftraders.com/ValueAreaHelpGuide.htm
www.enthios.com/universal.htm

Hope that helps.

[danieljsalas]

Hi Dean, so is it possible to use a 1 tick Data instead of minute data for the indicator so that better accuracy can be found?...that would be pretty interesting but it is unclear to me if it can be done

thanks

daniel

[DeanV]

I've used it on small tick count charts, but not as low as 1 tick. Don't think it's practical for this code. Program will try to use whatever chart it's placed on, but I've not had luck with 1 tick.

[danieljsalas]

Ho dean,thanks for your answer but what i mean here is...how is the volume calculated for each price level...not that i use a 1 tick chart BUT how is the total volume of a price level calculated for example taking the ES at 1100.25 a volume of 60 000 contract how was that volume calculated by the indicator for that price level...thats why i ask about the tick.what i need to know is what the indicator uses to total the volume at each price and if it possible to calculated as accurate as possible usong your indicator and ninja

thanks a lot for your kind help