OF+ Volume Profile and data series question

[weav74]

Hi

I am trying to use OF+ VP with US treasury futures. I have split the trading hours into 2 sessions. The overnight session, and the day session. Overnight runs from 5pm Central time to 7:20am central time , and day session runs from 7:20am to 2pm Central time.

When i add the VP indicator i would expect it to draw two profiles per day , i.e. overnight trading hours and day trading hours. However it doesn't, it draws one profile for the entire trading day, i.e. 5pm central to 2pm central.

How do i get the VP to observe the dual session data series and draw the split profile?

thanks
Aaron

[NinjaTrader_RyanS]

Hello,

To plot two volume profiles using each data series, be sure you have the 'trading hours' setting of one volume profile set to the RTH session, and one set to the overnight session. This setting can be found in the 'properties' section of each volume profile.

Please let me know if you have any further questions.

[weav74]

thanks Ryan

[weav74]

Hi

I have set my volume profile settings to use two data series as suggested, one VP for the overnight session and one VP for the RTH session. This works , however i have noticed an issue with the plotting of naked VAL/VAH and POC lines.

If the overnight session POC or VAH/VAL naked lines are crossed by a RTH session profile they should cease to extend to the right of the chart as they have now been traded-out. At least, that's what i believe. But it seems the naked lines are only respected if they are crossed by a profile belonging to the same data series.

I only want to see true naked lines extend to the right of the chart that have not been previously touched by any VP on that chart (regardless of which data series they belong to). Has this particular issue been discussed previously? and is it possible to do?

thanks
Aaron.

[NinjaTrader_RyanS]

Hello,

On my chart I have two VP's plotting, with the POC ending at the end of the defined session of the data series each VP is set to. I've attached a picture displaying this.

Can you provide a screenshot of how you have this setup, and what is displaying on your charts?

[weav74]

Hi Ryan
I'm talking about extended naked POC and extended naked Value Area. Not the POC and Value Area.

Here is my example. Sorry for the crude annotation



Chart is ZB 03-20.
One custom data series with trading hours "CBOT Interest Rate Dual Session"


Two volume profile indicators added to the chart.
One with trading hours "CBOT Interest Rate Overnight" . Again , custom trading hours template created by me. 17:00 Central to 7:20 Central .



The other with trading hours "CBOT Interest Rate RTH". Ninjatrader pre-existing template.



Referring back to the first picture with annotations.

1) Value Area Low and POC of Dec 19 "CBOT Interest Rate Overnight" profile set at 155'14 and 155'17 respectively. Those extended naked levels are not touched again, until....
2) Price trades through those extended naked levels on the Dec 30 "CBOT Interest Rate RTH" profile. The naked levels should stop here.
3) Dec 19 extended naked levels continue to extend to the right of the chart.

If the Dec 19 naked levels had been crossed first during a future "CBOT Interest Rate Overnight" profile, then the naked levels would have stopped extending.

The two different Volume Profiles , "CBOT Interest Rate Overnight" and "CBOT Interest Rate RTH" don't seem to interact with each other's naked extended levels. But they should. Naked levels continue to extend until they are traded through, it shouldn't matter during which trading hours ("CBOT Interest Rate Overnight" or "CBOT Interest Rate RTH") that this happens.

Ninja documentation:

Extended "Naked" Point of Control and Value Area
The extended "Naked" Point of Control and Value Area will take any POC of Value Area of a profile and plot it forward from the end time of the profile until such time as the price is traded again in the future. Uncovered or 'naked' are expected to be 'filled' sometime in the future and may be an area of support or resistance. There visibility and plot properties are set in the 'Lines' section


Sorry for the lengthy explanation , but i hope this is clear.

Aaron.

[NinjaTrader_RyanS]

Hello,
Thanks for the note.

Since it is required to run two different volume profiles for two different defined session, it is currently not possible for the two VP instances to reference each other's data.

I will add a feature request for this to our development team for consideration. I will report back with a tracking number once I hear back.

Thanks for your input on this matter.

[NinjaTrader_RyanS]

Hello,

I've added a vote to an ongoing feature request on your behalf. The tracking number for this request is 4071.

Please let us know if you have any further questions.

[weav74]

Thanks Ryan

[weav74]

Hi,
I've given this a lot of thought and played around some more with the OF+ Volume Profile tool. And I now think i was wrong in asking for this to change.

The volume profiles of two data series should probably not interact with the naked levels of the other. If that is desired, you can have a single data series but two profiles on that data series separated by Trading Hours. Then you get the desired result.

So, I am asking for this feature request to be cancelled, if it hasn't been already.

Thanks
Aaron

[GARZONJ]

After reading several posts around how to display a volume profile for Globex and normal US trading hours, if I want to display two separate volume profiles on the ES, do I have to create a new trading hours template which incorporates the Globex hours?

I understand that I have use one data series with two volume profiles, each one using a different trading hour template.

For normal US trading hours for ES I can use the one template that comes included in the application; CME US Index Futures RTH.

Is there a trading hour template that only includes globex hours? Like 5pm to 9:30am EST
If not, I guess the solution is for me to create this template and then use it in the volume profile.

I am making the assumption that NT8 is heavily used for trading futures such as ES and it would have a straight forward solution to accomplish this. Want to know/verify, what is the way to display both volume profiles for each session on the ES.

Please clarify.

[NinjaTrader_RyanS]

Hello,

Please email platformsupport[at]ninjatrader[dot]com ATTN Ryan and link this forum post so I may send you a template you can use. . You can drop this file under Documents/NinjaTrader/Templates/Trading Hours

I look forward to hearing from you.