• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Missing daily volume profile after holidays

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Missing daily volume profile after holidays

    Good morning,

    I would like to report a bug: the plotting of the volume profile on daily bars after every market holiday is wrong as it's merged with the previous day's profile and it's missing on the actual relative bar.

    You can see an example attached on the 6B future, although the issue manifests itself on every instrument I tested (several other futures).

    The issue disappears only choosing the volume profiles based on "Bars" instead of "Session". The problem with setting the volume profile on "Bars" is that the time axis becomes "incompressible" after a certain degree, making it impossible to sufficiently "zoom out" the loaded bars, so I keep the setting on "Session" but then the missing profile after holidays issue occours.

    I kindly ask the Assistance Team to address the bug.

    Thanks in advance

    Best regards
    Attached Files

    #2
    If your data provider chooses to build daily data built on the exchanges holiday sessions, which are typically three calendar days (e.g. session opens on Sunday and closes on Tuesday), this would be expected. Or, if the session template you're using for the profile includes holiday hours for the day of the bar you've highlighted in your screenshot, I would also expect it to appear as you've shown.

    So I may accurately assist you, please answer all of the following questions:
    • What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
    • Who are you connected to? This is displayed in green on lower left corner of the Control Center window.
    • What trading hours template is selected in your chart's Data series settings?
    • What trading hours template is selected in the Order Flow Volume Profile indicator settings?
    • Can you clarify what period of time you're viewing in your screenshot?
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Sure Patrick,

      - It's 8.0.19.0 64-bit
      - IQ Feed
      - Default ("Use instrument settings": in this case 6B future)
      - Default ("Use data series settings")
      - May 2019 to now

      Comment


        #4
        IQFeed seems to be providing the data in a unique way which is causing the profile to fail to load on the day after a holiday. In my tests, I focused on September 4th.

        Here is what a chart from IQFeed looks like:Here is what a chart from NinjaTrader Continuum looks like:I will be discussing this with the Development Team to see what additional information about this symptom with IQFeed only can be learned. The internal tracking ID is QA-4688. I'll follow up when I have more information.

        Thanks in advance for your patience.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          We've discovered that this is expected due to how different data providers supply daily data with different sessions and holidays. The workaround for this is one you've already discovered - use a profile based on bars instead of sessions.

          We're tracking interest in changing the default behavior of the Order Flow Volume Profile (like making 'sessions' unavailable when loaded on daily intervals) in a feature request. I've added your vote. Here is the tracking number:
          • SFT-4261

          When a feature request is implemented, you'll find it in the release notes:

          http://ninjatrader.com/support/helpG...ease_notes.htm
          Patrick G.NinjaTrader Customer Service

          Comment


            #6
            Thanks Patrick,

            now, the problem with setting the volume profile on "Bars" is that the time axis becomes "incompressible" after a certain degree, making it impossible to sufficiently "zoom out" the loaded bars. So I have to ask for a solution to this problem too. I guess it can be achieved by adopting the same way objects on screen effectively "compresses" when zoomed out on the current "Session" mode.

            I look forward to your kind response.

            Comment


              #7
              The difference between profile period = session and profile period = bar would be that session is percentage-based while bars is pixel-based. To reduce the width of the bar profile, adjust the 'Profile width (px)' property to a lower number.
              Patrick G.NinjaTrader Customer Service

              Comment


                #8
                If technically possible, what I'm asking for is to change the profile period = bar to percentage-based too.

                This way, we would got rid of the disaligned profiles issue and, at the same time, we would have the possibility to zoom-out to an acceptable degree.

                Manually changing the profile width property every time I want to temporarely zoom-out the chart (to have a glance, let's say, at the last 60 daily candles all together) isn't feasible.

                Comment


                  #9

                  Thank you for the suggestion.

                  I have submitted this as a feature request to the Development Team. The internal tracking number for your feature request is SFT-3709. Please reference this internal tracking number if you ever have questions regarding this feature request.

                  When a feature request is implemented, you'll find it in the release notes:

                  http://ninjatrader.com/support/helpG...ease_notes.htm
                  Last edited by NinjaTrader_PatrickG; 10-11-2019, 12:27 PM.
                  Patrick G.NinjaTrader Customer Service

                  Comment

                  Latest Posts

                  Collapse

                  Topics Statistics Last Post
                  Started by ralett, Today, 07:29 PM
                  1 response
                  5 views
                  0 likes
                  Last Post NinjaTrader_Marco  
                  Started by bboyle1234, Today, 10:46 PM
                  0 responses
                  1 view
                  0 likes
                  Last Post bboyle1234  
                  Started by swcooke, Today, 04:29 PM
                  0 responses
                  4 views
                  0 likes
                  Last Post swcooke
                  by swcooke
                   
                  Started by bboyle1234, Today, 04:27 PM
                  0 responses
                  2 views
                  0 likes
                  Last Post bboyle1234  
                  Started by swcooke, Today, 03:31 PM
                  2 responses
                  11 views
                  0 likes
                  Last Post swcooke
                  by swcooke
                   
                  Working...
                  X