Calculate Value Area of volume at price

[sbgtrading]

Thanks for looking into this, Bryan. I need to know if the profile type you're using on the Ninja charts is the same as the profile type being used by Tradestation. In my review of the data, it appears that whenever volume is taken into account, the chances of having a POC outside of the Value Area increase primarily due to volume spikes.

To check this out, I've looked through the data from the ER2 market, using 1-minute bars between 8:30 and 15:15, on Dec 27th and verified two valid instances where the POC was below the lower end of the Value Area:

1) Using the VOC (Volume on close) method, the POC is always going to be the close of the bar that had the highest volume. That bar occurred at 15:01pm on Dec27 at a price of 779.2. But the statistical deviation of the volume at close prices did put the Volume Area Low price at only 780.6. In this instance, a volume spike in 1 bar, outside of the statistical averages, was not enough to sway the average price and the standard deviation. That will happen from time to time.

2) Using the VWTPO, a similar result occurred on Dec 27...a spike of TPO and volume happened around the low of the day, but the statistical average was still high and the standard deviation not large enough to encompass the POC level.

Perhaps the Tradestation charts are using the TPO method which ignores volume completely. That profile type seems to ensure the POC will be inside the value area. Let me know if Tradestation calculates their profile this way.

Ben

Thanks for all your work on these indicators. I have 2 different MP charts open, so I am tracking yesterday's value and the developing value. Never do you see POC above or below (outside of) the value area as you see in these indicators. (Although sometimes you see POC at or near the VAH or VAL)

These can be very valuable indicators but something is off here.

Bryan

[marketguy2]

I am using Fin-Alg's TPO chart for NT. Using both the TPO or VOC calculation I never see the POC outside of the value range. The TS chart I enclosed in the prior post does not state what method of calculation they are using or offer a choice. I am assuming they are using TPOs.

I do know, that Market Delta uses a VOC-based POC (for developing value) when applied on their Volume Footprint charts, which they say is a more accurate presentation.

Included is a screen shot of Fin-Alg's MP. The violet bars are Value and the orange horizontal lines are the POC. This was using the TPO Method on the left shot and the VOC method on the right.

Bryan

[sbgtrading]

Bryan, can you send me an output of a VOC profile of the ER2 for Dec 26 and 27?

[sbgtrading]

Bryan, also I notice the MP charts you posted are based on 30-minute bars (A-N time periods, 14 periods at 1/2 hr each equating to 7 hours). I'll apply my NT indicator to 30minute bars and see how the distributions look for the VOC profile.

[marketguy2]

Thanks for looking into this. The way I have Market Profile setup is the traditional way used by Dalton.

The VOC data you requested:
12/26: VA High 1507.50 VA Low 1501.25 POC 1502.50
12/27 VA High 1501.25 VA Low 1490.00 POC 1493.75

A screen shot of those dates is shown in earlier post, but those are the numbers.

It appears, from all the MP charts I have looked at (Market Delta, Ensign. NT) that there is almost always a discrepancy between them.

Bryan

[sbgtrading]

Do you have the ER2 market for the 26 and 27??? That's the one I'd like to look at.

Also, are you able to generate it on 1-minute bars??? Using my NT indicator, a VOC profile on 1 minute bars on the Russell should shows a POC below the Value Area on the 27th. This is when the volume spike hit near the low of the day, at the end of the day (15:01).

Thanks for looking into this. The way I have Market Profile setup is the traditional way used by Dalton.

The VOC data you requested:
12/26: VA High 1507.50 VA Low 1501.25 POC 1502.50
12/27 VA High 1501.25 VA Low 1490.00 POC 1493.75

A screen shot of those dates is shown in earlier post, but those are the numbers.

It appears, from all the MP charts I have looked at (Market Delta, Ensign. NT) that there is almost always a discrepancy between them.

Bryan

[ATTACH]1439[/ATTACH]

[sbgtrading]

This is strange...I thought traditional MP's were based on VOC (as I understand VOC to mean)...but these numbers are extremely close (identical in some cases) to my VWTPO 30-minute chart for this contract. Take a look for yourself.

Could it be that our definition of "VOC" is what's different? I've taken a simple approach where, if you look at a chart with Volume displayed, find the bar with the largest volume and, the closing price of that bar is the POC for the following day. Looks to me like my definition of what a VOC profile is different than theirs...they use more of a VWTPO technique.

Take a look at my results for the ES compared to your posted chart and see what I mean.

Ben

Thanks for looking into this. The way I have Market Profile setup is the traditional way used by Dalton.

The VOC data you requested:
12/26: VA High 1507.50 VA Low 1501.25 POC 1502.50
12/27 VA High 1501.25 VA Low 1490.00 POC 1493.75

[marketguy2]

I believe that traditionally, a Regular Trading Hours (9:30 - 16:15) chart is used. The Market Profile chart from fin-alg uses a 1 minute chart and uses the traditional 30 minute alphabetical segments.

[marketguy2]

Here are the ER2 numbers as calculated in Fin-Alg's MP chart for 12/28 (one being Volume and the other TPO.

Volume based VAH: 781.5 VAL: 774.5 POC: 776.5
TPO based VAH: 781.5 VAL: 774.5 POC: 777.5

[marketguy2]

Ben,
Using your Calculate Value Area indicator, when I switch from a 24 hour chart of the ER2 to a Regular Trading Hours chart, the indicator disappears completely.

Bryan

[sbgtrading]

Enhancement posted

I've updated the indicator attached to Post#1 of this thread. It allows you to select what percentage of Volume or TPO's you want the Value Area to encompass.


Also, Bryan, please download the indicator and try it. Let me know if it resolves your "disappearance" problem. I streamlined the code to provide a more rigorous check for session start/stop data issues.

Ben

[marketguy2]

Thanks Ben,
Disappearance handled. Let you know if I see anything else.

Bryan

[marketguy2]

Problems still occurring. See the included charts. They are both based on TPO calculations. The numbers are way off. Notice the VAH and the POC.

Thanks,

Bryan

[sbgtrading]

Thanks for the headsup...do you have the two profiles on the same timeframe? What is the timeframe for the NT indicator? I'll need to know that info so I can walk-thru each bar for verification.

Ben

Problems still occurring. See the included charts. They are both based on TPO calculations. The numbers are way off. Notice the VAH and the POC.

Thanks,

Bryan

[ATTACH]1457[/ATTACH]

[sbgtrading]

Oh, I see the problem...looks like the timeframes are VERY different. Correct me if I'm wrong, but the NT charts have 35 bars and the other MP chart has only 7 bars (A-F). So my guess is NT is a 5-minute chart and the other MP is 30min chart. That fact alone will cause VERY different results.

If you switch the NT chart to 30-minutes, let me know if it comes closer to the other MP you have posted.


Ben

Problems still occurring. See the included charts. They are both based on TPO calculations. The numbers are way off. Notice the VAH and the POC.

Thanks,

Bryan