Calculate Value Area of volume at price

[sbgtrading]

Just recently I read a free article on the "Value Area" and decided to write an indicator for it.

Basically, the Value Area is the price range where 70% of yesterday's volume traded. The theory being, if you know where this bulk of volume occurred yesterday, you can see if the market is in balance or out of balance today, and trade accordingly.

I've attached the indicator (V6.5 compatible and NT7.0.0.14 compatible), and I'm also attaching the ValueAreaHelpGuide.zip (it's a PDF) that describes its use. The article was written by Larry Levin, but the theory is widely known by professional traders.

It does not work on daily, weekly or monthly bars.

Enjoy!
Ben

NOTE: Enhanced version posted 9/28/09, changes are:
1) Memory allocation limitation removed (will run on any instrument and any daily High to Low price span)
2) Start/stop time can now straddle midnight

[NinjaTrader_Ray]

Thanks for your contribution!

[Trading618]

Great job! This was the one thing missing when I switched from Ensign to ninja.
Any chance you can add in the POC (point of control) into your indicator?

Thanks,
Jonathan

[Rollins]

Thank you very much sbg, this indicator is really awesome! Interestingly it even displays something useful although I am using FX data with no volume.

[sbgtrading]

FX data...does that use Tick volume?

I don't use spot FX...perhaps it's using tick volume?

[Trading618]

On thick markets like FX and even ES (YM is a little thin) TPO count is often very similar to volume in regards to the value areas and POC.
Tick volume is what is typically used for spot FX, from my understanding.
However I dont trade spot FX.

[Rollins]

Right, it's tick volume, it surprises me that it gives such a satisfying approximation.

I had an exception with this indicator once, but sadly didn't step through the code to find the culprit. I'll try to make a patch once it occurs again.

[sbgtrading]

New version is posted

Hello all you Value Area enthusiasts out there!

Glad to get so many good responses from many of you who have found "value" in this indicator.

I've posted a new version! I've replaced the old ZIP file from Message#1 of this thread with the new indicator...so please go to Message #1 and download the new one ASAP for three reasons:

1) Bug fix: - yes, there was a small miscalculation in the Value Area levels. All good now.

2) Enhancement #1: POC (Point of Control) line has been added

3) Enhancement #2: You can now create three different types of profile.

Let me explain #3:
You now have the option of calculating the profile or value area with either VOC (Volume On Close) or TPO (Time Price Opportunity) or VWTPO (Volume Weighted TPO)! Yes, that's right, I've created a NEW way to calculate the value area. Maybe I'm wrong, but it seemed logical to me to combine the VOC with the TPO method. You let me know if it makes sense to you.

The full description (with an example) is contained the in code itself. There's a series of comments at the beginning of the CS file that describe what each type means (VOC, TPO and VWTPO).

Feedback is greatly appreciated!

Enjoy!
Ben

[rokafella]

Very impressive stuff, TXS!

[Rollins]

Fantastic!, thank you sbg, looks as if you put a lot of work into this one!

[marketmasher]

This sounds great but I cannot import the .zip because NT says it has errors. I manually unzipped the file, then tried to cut/paste it into a "shell" I created in the wizard (deleted everything in the blank and pasted all the text of the .cs file in, saved it as CalulateValueArea and tried to compile - no go.)

Can you Export it as a NT .zip using File/Utilities/Export to create an importable file?

[KBJ]

I think the errors are related to 6.0 vs 6.5.

[sbgtrading]

Hmmm...it may be related to V6.0 versus V6.5....but I don't think there's anything V6.5ish about the code.

Try an import some other indicator (any other indicator) and see if you have errors with that file.

Also, if you have an error with some other CS file that you haven't resolved, the compiler might be choking on that file instead of the CalculateValueArea file.

Finally, the ZIP file I posted was from Utilities>Export.

Finally finally, you may need to bring in the NinjaTrader Support staff. Perhaps your copy of Ninja is corrupt, or your install of .NET 2.0 is corrupt?

Ben

This sounds great but I cannot import the .zip because NT says it has errors. I manually unzipped the file, then tried to cut/paste it into a "shell" I created in the wizard (deleted everything in the blank and pasted all the text of the .cs file in, saved it as CalulateValueArea and tried to compile - no go.)

Can you Export it as a NT .zip using File/Utilities/Export to create an importable file?

[marketmasher]

Thank you - I was able to get it running. - Great job!

[yeneuro]

Thank you for sharing.

I seem to have an issue relating to session/time zones.

I am located in MST zone. My NT charts have session times starting 10.00 pm and ending 9:59 pm for 24 hour charts and starting 7:30 am ending 2:15 pm for cash market charts.

When I set the indicator with OpenHour/OpenMinute as 22:00 and CloseHour/CloseMinute as 21:59 the indicator reports "ERROR - Make sure OpenHour and OpenMinute are before the CloseHour and CloseMinute".

When I set the indicator with OpenHour/OpenMinute as 7:30 and CloseHour/CloseMinute as 14:15 the indicator begins new day lines at 00.00

Is there a change required within your code to make it work correctly for my time zone??

Thank you