Volume Profile

[Trader17]

Is the Volume Profile Indicator only a real time indicator or will work on historical data too? Also can it plot the Value Area High and Value Area Low?
Thank you.

[NinjaTrader_ShawnB]

Hello Trader17,

Thank you for your post.

You can enable tick replay so that the indicator can also plot values based on historical data.

Tick replay is a property that can be optionally enabled on NinjaScript indicators and strategies which will ensure that the market data (bid/ask/last) that went into building a bar is loaded in the exact sequence of market data events.
When Tick Replay is disabled, the indicator will function only on real-time data, and therefore do not plot any values on historical data. If you change any property, interval, or instrument on a chart with Tick Replay disabled, these indicators will be reloaded and any accumulated real-time data plots will be lost.

With Tick Replay enabled, it will plot using historical data, although due to the way that Tick Replay processes data, the historical plots may not display precisely the same values as they would have if they had been running in real time.

For more information on how to set up tick replay, you can refer to our help guide here:
http://ninjatrader.com/support/helpG...ick_replay.htm

For more information on the volume profile indicator, you can refer to this section of our help guide here:
http://ninjatrader.com/support/helpG...#VolumeProfile

This indicator does not feature an option to plot the Value Area High and Value Area Low.

Please let me know if I may be of any further assistance.

[Trader17]

Thanks. Does NT8 have one that plots the Value Area High and Low?

[NinjaTrader_AlanS]

Hello Trader17,

Thanks for your reply.

The Dvaluearea indicator does this and it is available for free in the file sharing section of our forum.

Here is a link to the Dvaluearea indicator for NinjaTrader 8:
https://ninjatrader.com/support/foru...d=7&linkid=837

Please let me know if I may be of any further assistance.

[PN720]

Hi Alan,

Is there an indicator to plot value area high/low as historical (i.e. similar to how the Current Day OHL indicator works)?

[Trader17]

If I am not mistaken the values from prior days stay on the chart.
Cheers.

[PN720]

I think value area changes throughout the day so it retains only the last one of the day. I'm looking for one that tracks the changes throughout the day.

[NinjaTrader_PaulH]

Hello PN720,

Thanks for your posts.

I am not aware of a free add-on indicator that would meet your needs.

Using the Order_Flow Volume Profile you can set the profile to be per bar. In the attached example I have 30-minute bars showing the Value area high and low as well as the POC per bar. On the right side, I have an outline of the session volume profile and it shows the current Value area high low and POC. In this way, you can see the changes throughout the day.

[PN720]

Hello Trader17,

Thanks for your reply.

The Dvaluearea indicator does this and it is available for free in the file sharing section of our forum.

Here is a link to the Dvaluearea indicator for NinjaTrader 8:
https://ninjatrader.com/support/foru...d=7&linkid=837

Please let me know if I may be of any further assistance.

Hi Alan,
As a follow-up to this and since I noticed this was written by NJT, I wanted to ask how can I return the prior day's Value Area Top/Bottom in my strategy? I can see that it's plotting them historically so I can visually see it but I'm not sure of the Ninjascript syntax.

[NinjaTrader_PaulH]

Hello PN720,

Thanks for your post.

For clarification, NinjaTrader converted the NT7 indicator to NT8. The NT7 dValueAre indicator was originally coded and posted by forum member DeanV.

As you have probably observed there are a great many parameters to configure the indicator for use. When you type the name DValueArea and then type the first "(" the ninjascript editor intelliprompt will show you the sequence, syntax and type of parameters to add. I've attached a screenshot that shows this. the white area shows the syntax:



To further assist,

At the top of the strategy create a private instance with private DValueArea dv1; // dv1 is a much shorter name to use

In state.DataLoaded, we initialize the new private instance with all of the required parameters:

dv1 = DValueArea(Close, 40, 2,0,2,false,new TimeSpan(08,30,00), 0.7, 2, 2,_dValueEnums.dValueAreaTypes.VWTPO, 0, 100, 1, 6.75, true, 2, false, 0, 60, 300, true, 2, false);

Then in the OnBarUpdate(), you can access the various plots like:

double VAT = dv1.VAt[0]; // current Value area Top (the light green dots that show the value area top from yesterday)
double VAB = dv1.VAb[0]; // current Value area Bottom (the light pink dots that show the value area bottom from yesterday)

[PN720]

Hi Paul,
Thanks for sending this as it clarified a few things.
However, I probably should have been more specific. I think the Value Area Top/Bottom change throughout the day so if you're running this on a minute chart, getting the current VAT/VAB will only apply for that bar. What I wanted to do is get the prior day's VAT/VAB since that day has already elapsed and those values are fixed. Is that possible?

[NinjaTrader_PaulH]

Hello PN720,

Thanks for your reply.

With the indicator on the chart, note the pink and green dots. These are VAt and VAb that are generated based on the prior day and do not change during the current day. Those will be the values returned by the example dv1.VAt[0] and dv1.VAb[0].

[PN720]

Hi again Paul,

Perhaps I'm doing something wrong but I wrote a simple strategy to load the indicator and print out the VAt and VAb for a week.
The values that I'm seeing in the Output Window don't match what I'm seeing in my chart. If you run the included strategy for NQ 06-19 for 03/11/2019 - 03/15/2019 on the 1 minute chart, notice the values in the Output Window compared to the same point in the chart. For example:

Output Window:
3/12/2019 3:01:00 PM - DValueTop: 7245.5. DValueBottom: 7212.5

Chart:
DValueTop: 7172.25
DValueBottom: 7194.50

Ideally, as soon as the session opens and the first bar closes at 3:01PM, I want to get the VAb and VAt of the prior session.

[NinjaTrader_PaulH]

Hello PN720,

Thanks for your reply.

Your code, which is the same as what I showed, is producing the VAt and VAb from the previous day on the current day, these match the plotted green and pink dots shown on the chart.

I think there is a misunderstanding of what the Dvaluearea indicator is showing so I have made a short video that I hope will clarify: https://Paul-ninjaTrader.tinytake.co...NV8xMDE4NzU1OQ

[PN720]

Hi Paul,

Thank you for putting that together. It is clearer to me now.

If I may bug you for one last problem with this indicator, I see something going on when I use the AddChartIndicator statement with this indicator. I'm attaching the same strategy except with the AddChartIndicator statement added.

Run it for a week (Example NQ 06-19 1 Minute, 03/11/2019 - 03/15/2019). On the last day of the closing session (03/15/2019), the Indicator throws an error that can be seen in the Output Window:

Indicator 'DValueArea': Error on calling 'OnRender' method on bar 6820: Attempted to read or write protected memory. This is often an indication that other memory is corrupt.