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Volume Profile

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  • Trader17
    started a topic Volume Profile

    Volume Profile

    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_PaulH
    replied
    Hello PN720,

    Thanks for your post.

    In looking at the parameters at the top of the chart for the dValue indicator it appears you are not using the charts session template where I am in mine, this would certainly be an area where the data could be different. Try adding the indicator to the chart by itself and then review the information with the default settings of the indicator, then change the indicator setting " Use Session Template" which means the indicator will use the charts trading hours instead of the open time and session length time. This will show you the basic differences between our values. You can decide for yourself which values you really want to use in your strategy (RTH verses ETH data). You may want to add two occurrences of the indicator to the same chart at the same time with the different settings to better visualize what is being used.

    You may then need to adjust the dValueArea settings in your strategy to match what you need.

    Leave a comment:


  • PN720
    replied
    Originally posted by NinjaTrader_PaulH View Post
    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
    Hi again Paul,
    Sorry to bring this up again but I'm seeing something strange and different than your screenshot. The last day, 3/22/2019, is fine. The prior day, 3/21/2019, has a different DValue Top on the chart than what is printed in the Output Window. On yours, they are the same. On mine, they are different.
    My Output Window reports 7409. My Chart reports 7429 (you can see in the Data Window). I tried reloading Historical Data and I see the same thing.
    Any ideas?
    Attached Files

    Leave a comment:


  • NinjaTrader_PaulH
    replied
    Hello PN720,

    Thanks for your reply and clarification that you are testing in the strategy analyzer.

    I was able to hit the error with the strategy analyzer. I will look into this however it will likely take some time and I will update this thread when I have further information on that.

    In the meantime, if you do not add it as addchartindicator in the analyzer I do not see it generating the error.

    Leave a comment:


  • PN720
    replied
    Originally posted by NinjaTrader_PaulH View Post
    Hello,

    Thanks for your reply.

    I created a chart several times using NQ 06-19, 1 minute, using 5 days, 10days, 15 days and 30 days and have not hit any errors with the Dvalue indicator added as AddChartindicator().

    Please send your log and trace files into PlatformSupport[at]Ninjatrader[dot]Com. Mark the e-mail atten: Paul and please include a link to this thread.
    Sorry if that wasn't clear but I was running that latest attached CS from the Strategy Analyzer, not loading up Charts. I have the Output Window open as well.
    Let me know if you still can't duplicate.

    Leave a comment:


  • NinjaTrader_PaulH
    replied
    Hello,

    Thanks for your reply.

    I created a chart several times using NQ 06-19, 1 minute, using 5 days, 10days, 15 days and 30 days and have not hit any errors with the Dvalue indicator added as AddChartindicator().

    Please send your log and trace files into PlatformSupport[at]Ninjatrader[dot]Com. Mark the e-mail atten: Paul and please include a link to this thread.

    Leave a comment:


  • PN720
    replied
    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.
    Attached Files

    Leave a comment:


  • NinjaTrader_PaulH
    replied
    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

    Leave a comment:


  • PN720
    replied
    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.
    Attached Files

    Leave a comment:


  • NinjaTrader_PaulH
    replied
    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].

    Leave a comment:


  • PN720
    replied
    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?

    Leave a comment:


  • NinjaTrader_PaulH
    replied
    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:

    Click image for larger version

Name:	PN720-4.PNG
Views:	1
Size:	21.0 KB
ID:	1052128

    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)

    Leave a comment:


  • PN720
    replied
    Originally posted by NinjaTrader_AlanS View Post
    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.

    Leave a comment:


  • NinjaTrader_PaulH
    replied
    Click image for larger version

Name:	PN720-2.PNG
Views:	1
Size:	84.4 KB
ID:	1045340 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.




    Leave a comment:


  • PN720
    replied
    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.

    Leave a comment:

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