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Daily/ Weekly Market Profile

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    Daily/ Weekly Market Profile

    Hi,

    Is there a way to chart daily and weekly market profile or is that an item for future development? I was also looking for plotting the Initial Balance range and Singles on the Daily TPO but was not able to find those. Would you be able to assist?

    Thanks a lot in advance.

    #2
    Hello vstoichk,

    Thanks for your post.

    Yes, you can chart daily, weekly and monthly profiles. In the selection "Profile Period" you can select Sessions, Bars, Composite, Weeks, Months. You can add multiple instances of the order flow volume profile indicator to show the variations. Please see the help guide section, " Order Flow Volume Profile 'Set up' Parameters" for further details: https://ninjatrader.com/support/help...me_profile.htm

    For the initial balance, you would need to do two selections, in the "set-up" section, specify the Initial balance time (in minutes) which by default is zero. Next, under the "Lines" section, expand the line "Initial balance range" and enable the line by checking the "Visible" checkbox.

    The order flow volume profile indicator contains many options and I would encourage you to review the entire help guide section here: https://ninjatrader.com/support/help...me_profile.htm
    Paul H.NinjaTrader Customer Service

    Comment


      #3
      Hi Paul,

      Thanks for this. Much appreciated.

      I've gone through the guide and it seems that for the Price Profile only intraday charts are available - "Note: Only intraday charts are supported, daily, weekly, or monthly charts are not supported at this time." Just to confirm, is this still the case and if so will that be developed in the future?

      Within the available lines to be plotted I didn't see Single Prints for the TPO available anywhere, so I assume those are not available at the moment as well?

      Thank you for you help.

      Comment


        #4
        Hello vstoichk,

        Thanks for your reply.

        You can create daily, weekly or monthly price profiles but it would need to use intraday data. (Not daily bars). You can specify the same initial balance area here as well.

        For the future development, we could not confirm if/when the feature will come out but I will create a feature request to strengthen the interest in daily, weekly and monthly price profiles based on daily bars. I will update this thread when I have that request ID.
        Paul H.NinjaTrader Customer Service

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          #5
          Thanks Paul.

          Just to be sure I'm doing it right - for daily and weekly I need to set minutes to 1440 and 10080 respectively and remove the break at EOD, correct?

          Also wanted to ask with the Price Profile POC and Value areas - are those the Volume POC and Volume Value areas?

          Cheers.

          Comment


            #6
            Hello vstoichk,

            Thanks for your reply.

            You should be able to do that although in my testing I used 240-minute bars.

            Correct, POC, Value area, and initial balance as Volume based as identified in the section, " Order Flow Volume Profile Concepts" , https://ninjatrader.com/support/help...me_profile.htm
            Paul H.NinjaTrader Customer Service

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              #7
              Hello Paul,

              I would like to set up my charts so I can view a volume profile for the overnight session separate from the day session for trading ES. When I use two separate volume profiles, one with trading hours of CME US Index Futures ETH and one with trading hours of
              CME US Index Futures RTH, I have two separate profiles, but the ETH profile contains data from RTH. Thus I have one big profile for the whole day and one small profile for the regular hours.

              Is there a way to set up the chart to have overnight hours and daytime hours separate?

              Comment


                #8
                Hello Jim Goodale,

                Thanks for your post and welcome to the NinjaTrader forums.

                You could create a custom trading hours template that like the ETH starts at the end of the RTH session but ends at the start of the RTH session. You could just make a copy of the CME US Index futures and rename it, then change the "end time" to be 8:30 AM and leave the start time as is. then apply the volume profile twice, once to the RTH hours and the other to your custom trading hours template to show the end of RTH to the beginning of RTH.

                Reference: https://ninjatrader.com/support/help...urs_window.htm

                I've attached an example of trading hours settings I used and two different Volume profiles, the blue is standard RTH using the CMEUS index futures RTH and the orange is a heat map type on the non RTH hours, just to help see the difference.

                Please note that the custom template is NOT applied to the chart bars, only to the indicator Order Flow Volume Profile.

                Click image for larger version

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                Paul H.NinjaTrader Customer Service

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                  #9
                  Thanks, Paul. That really helps.

                  Comment


                    #10
                    That worked perfectly. I copied the CME Index Futures ETH and named the copy ON for overnight. I then edited the EOD for each day to The opening hours and saved it.

                    Thanks so much!

                    Comment


                      #11
                      Hello vstoichk,

                      Just to follow-up, the feature request is assigned as SFT-3799, "OF+ Volume Profile Price Profile support for Daily data" and you vote has been added to it.

                      Thanks for your interest in Order Flow Volume Profile In NinjaTrader.
                      Paul H.NinjaTrader Customer Service

                      Comment


                        #12
                        Paul, I'd like to request a new feature to Order Flow Volume Profile: A Range Mid Point plot. This would plot a line halfway between the extremes of the range defined by the volume profile. It could update on each tick or close. Thanks!

                        Comment


                          #13
                          Hello Jim Goodale,

                          Thanks for your post.

                          You could accomplish this today with the fib drawing tool and using a fib template that has only the 50% line visible and then draw from high to low over the selected period.

                          I will create a feature request to add a midpoint of the range plot and I will update this thread when I have further information.

                          Paul H.NinjaTrader Customer Service

                          Comment


                            #14
                            Sure, but you would have to update the fib line every time the range changed. What many traders use is a continuously updated mid line, in conjunction with VWAP.

                            Comment


                              #15
                              Hello Jim Goodale,

                              The feature request to add a midpoint line to the volume profile is SFT-3824.

                              Thanks for your interest to improve the Order Flow Volume Profile indicator.
                              Paul H.NinjaTrader Customer Service

                              Comment

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