Calculate Value Area - histogram

[sbgtrading]

I revamped the VolumeZones code to display a rolling MarketProfile. This indicator calculates the VOC, TPO or VWTPO MarketProfile and currently calculates it based on the bars displayed in the chart frame.

I'll work on enhancing this indicator to permit user-defined start/stop periods. But for now, check it out and get your feedback in. Most of all, I'd like to hear how people trade this profitably.

NOTE: The indicator is programmed on V6.5, but I will look into transferring it down to V6.0.

Enjoy!
Ben

[NinjaTrader_JoshP]

Thanks a lot for this one sbgtrading. It looks pretty neat.

[sbgtrading]

Enhancement posted

I had a request to color the Value Area histo bars, and that was a great thing to do on a Saturday afternoon!

Also, this is only for V6.5 or higher.

Feedback is appreciated!


Ben

[Rollins]

Terrific! Thanks

[ryker]

Works perfectly, this indicator will be awesome with start/ends periods.
Thanks a lot!

[MiniDowTrader]

I'm using V6.0 but get an error when trying to import the script. Any thoughts on this problem short of downloading V6.5? Thanks.

Edit: I just went ahead and downloaded V6.5. Nice indicator! Thanks!

I had a request to color the Value Area histo bars, and that was a great thing to do on a Saturday afternoon!

Also, this is V6.0 safe.

Feedback is appreciated!


Ben

[sbgtrading]

Error on import? Hmmm...are you good at manually importing a file? Copy and paste the zipped .CS file into your Indicators directory. I would try that first.

I'm using V6.0 but get an error when trying to import the script. Any thoughts on this problem short of downloading V6.5? Thanks.

[Angel]

Price Histogram

Hello Sbgtrading,

Congratulation for all the very good stuff you do, it's very kind of you !!

My question is : could you build a Price Histogram* indicator running on prices and not volume ?

Thanks for your attention

Take care and happy trading

Cheers

Angel


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

http://www.enthios.com/universal.htm#support

------------------------------------------------------------------------

The histogram on the left side of the chart is drawn during the day in five-minutes or 30 minutes increments. The length of each horizontal line in the histogram represents the amount of time that the market spent at that corresponding price. Thus if the market spends a great amount of time at a particular price, the histogram line for that price will be longer. The longest line in the histogram is the one price where the market spent the most amount of time. It is called the Point of Control or, alternatively, the Control Point. Most traders refer to it as the 'POC'.

[sbgtrading]

Thank you Angel, for the kind words...I'm glad to help.

About your request...hmmm...I'm thinking the Value Area Histogram indicator I wrote does give you a "price histogram" since it merely totals up the number of times each price bar "touched/transversed" each price. But i it currently does not do any sort of "time" summation.

It's not an unreasonable request to total up the ages of each transacted price instead of the number of touches/transverses...I could simply weight each price by age instead of volume...let me think on that one.

But, to tweak my MP to display multiple histograms on a chart (you know, showing six 5-min histograms on a 30-min chart, etc) would be a big revision to my indicator requiring a bit of coding and developing time. Let me know if that's something you'd want me to pursue on a contract basis.

If you haven't visited my site yet, feel free to stop by at www.affordableindicators.com.


Ben

The histogram on the left side of the chart is drawn during the day in five-minutes or 30 minutes increments. The length of each horizontal line in the histogram represents the amount of time that the market spent at that corresponding price. Thus if the market spends a great amount of time at a particular price, the histogram line for that price will be longer. The longest line in the histogram is the one price where the market spent the most amount of time. It is called the Point of Control or, alternatively, the Control Point. Most traders refer to it as the 'POC'.

[Angel]

Price Histogram.............

Hello SbgTrading,

Thanks for your very quick reply.

Concerning Price Histogram, it doesn't require to show a 5 Min Price Histo on a 30 Min chart because of requiring a bit of coding and developing time.

It would be best to add some more features as for example :
- To permit user-defined start/stop periods
- To draw horizontal lines for Inner* and outer* Range defining the range as a support and resistance of the previous day

Please, ask me if you need more infos.....

Thanks for your attention

Have a nice week end

Angel



* clink on this link below for Inner/Outer range examples

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

[marketmasher]

Hello Sbgtrading,

Congratulation for all the very good stuff you do, it's very kind of you !!

My question is : could you build a Price Histogram* indicator running on prices and not volume ?

Thanks for your attention

Take care and happy trading

Cheers

Angel


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

http://www.enthios.com/universal.htm#support

------------------------------------------------------------------------

The histogram on the left side of the chart is drawn during the day in five-minutes or 30 minutes increments. The length of each horizontal line in the histogram represents the amount of time that the market spent at that corresponding price. Thus if the market spends a great amount of time at a particular price, the histogram line for that price will be longer. The longest line in the histogram is the one price where the market spent the most amount of time. It is called the Point of Control or, alternatively, the Control Point. Most traders refer to it as the 'POC'.

I was wondering if the Ensign chart is a TPO chart - it looks like a volume histo (don't have Ensign so not sure...)

The TPO is built from a pre-defined period (usually in 30min intervals from 9:30am to 4:15pm EST for ES futures - though it would be helpful to be able to adjust the periods and start/end times.)

So if, i.e., from 9:30 to 10:00 a 1400 price is traversed (one or multiple times) a single TPO is recorded. If price traverses 1400 again from 10:00 to 10:30, the counter at 1400 is incremented to 2, etc.

By looking at the 70% distribution of each successive day's TPO layout, you can draw your own conclusions about S/R. So having historical distributions to review as well as seeing the current day's TPO distrib develop is what MP is supposed to be showing.

[sbgtrading]

So if, i.e., from 9:30 to 10:00 a 1400 price is traversed (one or multiple times) a single TPO is recorded. If price traverses 1400 again from 10:00 to 10:30, the counter at 1400 is incremented to 2, etc.

Hmmm...I don't think that is calculation method is correct. I believe the TPO is calculated when a price bar covers that price. Let's say you have a 1-minute bar chart. In a 30-minute period, each of the 30 bars could have touched Price X. Therefore, Price X would have a TPO of 30. If only 29 bars touched Price X in that 30-minute period, then Price X would have a TPO of 29. You get this effect when you see the time period letters (A, B, C, D ...) layering one on top of the other on the MP histogram.

Ben

[marketmasher]

Hmmm...I don't think that is calculation method is correct. I believe the TPO is calculated when a price bar covers that price. Let's say you have a 1-minute bar chart. In a 30-minute period, each of the 30 bars could have touched Price X. Therefore, Price X would have a TPO of 30. If only 29 bars touched Price X in that 30-minute period, then Price X would have a TPO of 29. You get this effect when you see the time period letters (A, B, C, D ...) layering one on top of the other on the MP histogram.

Ben

The TPO Count is the summation of the number of letters across for a given price level (see Mind Over Markets, bottom of page 43). Each letter (A, B, C... in your example) is displayed at a given price level only once in each half-hour period. As the half hours pass, different letters representing different 1/2 hr blocks of time appear next to previous letters at the same price level and it is this horizontal summing of number of letters at a given price that makes the TPO Count for that price level. But each letter represents 1/2 an hour, so regardless of how many times a price is reached in that same 1/2 hr, there will only be one print of that letter at that price level, so the letter adds only 1 to the horizontal count.

So a MP TPO chart could look like this from 9:30 - 11:00EST

B
BC
BC
ABC
ABC
ABC
ABC
ABC
ABCD
ACD
AD
D
D

ABCD has a TPO Count of 4 and is the Point of Control. The same letter never appears next to itself and so only contributes 1 to the total TPO count at it's price level no matter how many times price hit that level for that letter's half hour. (excluding merging multiple days together of course)

[FXSurfer]

Awesome job on the indicator!
Thanks!

[rokafella]

Can anyone plot the indi on equities?
I have not been able to.
Please share settings if you are succcessful.
Txs
Rok