Order Flow Volume Profile

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Order Flow Volume Profile

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Description
Order Flow Volume profile tools are available as both an Indicator and Drawing Tool and along with the suite of the 'Order Flow +' tools only available to NinjaTrader lifetime license holders. The indicator is used to plot singular static profiles containing a certain defined range of data or repeating profiles on a per bar or per session basis. The drawing tool allows you to easily define both the start and end point to create a custom profile for any bar range on a chart.

 

tog_minus        Order Flow Volume Profile Concepts

Profile Types

Order Flow Volume Profile has many settings which can be customized to achieve several types of profiles.  There are 3 modes for selecting what you want to use to generate the profile.

 

Volume Profile

 

Volume profiles display last traded volume data using your selected source data 'resolution' is used to build the profile.

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Price Profile

 

Price profiles displays a letter or block if underlying trades inside of a specific time window. These time windows are 30 minute in length. If a single tick occurs inside that time window at a price a letter or block will be plotted. In letter display mode the 'A' letter starts at 8:00 CST.

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Tick Profile

 
Tick profiles display the count of 'ticks' or trades that occur at a specific price. This produces a quantity agnostic profile which display pure trading activity irregardless of volume.

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Profile Components
 

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1.Profile: Overlaid behind the bars each bar represents the profile per price. Multiple price levels can be aggregated using 'Ticks per level'.
2.POC: The point of control (POC) is the single largest data point in the profile.
3.Value area:  The range where 68% (configurable) of the volume traded, can be referenced as 'VA' and has opacity settings to visually separate this area from the rest of the profile.
4.Range: The highest price and lowest price of the profile.
5.Profile Summary: The total volume and range of a volume profile. Range metric is configurable.

 

Profile Periods

There are 3 methods to select the 'period' you which to generate a profile for, each one renders slightly differently. It is not uncommon to use multiple profile types on the same chart as each profile gives you a different view on the underlying data.

 

Session

Bars

Composite

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This is a repeating profile created for each session defined. The profile by default is displayed below the bars and across all bars that make up the session. You can group multiple sessions by defining the property 'Sessions' greater then 1 (count is run from left to right, so forward).

When Bars is selected, one profile per bar is rendered. Space is added between the bars so that the profile is readable. This space is defined in the 'Visual' section below 'Profile width (px)' which is a defaulted to 100. You can group multiple bars by defining the property 'Bars' greater then 1.

A composite profile is a single profile drawn as an overlay on the entire chart that is composed of data defined by the 'Compose by' sub property that is exposed when this mode is selected.

 

 

Display Modes

Multiple display modes can be used. By default there are 5 render modes available which is changed with the 'Display mode' property on the indicator.

 

Standard

 

Single defined color profile rendering display volume by price information. The color can be selected by modifying the 'Color for profile' property. There are two properties to define the opacity. 'Profile opacity' sets the opacity above and below the value area and 'Value area opacity' sets the opacity used when drawing the area in the value area.

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Buy sell

 

The volume bar now split by buy volume and sell volume as classified per the Delta type property.

 

Note: This mode requires 'Tick' resolution data.

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Delta

 

Displays the standard volume profile and overlays buy/sell data delta as classified per the Delta type property. This display mode highlights imbalances in buy/sell volume.

 

Note: This mode requires 'Tick' resolution data

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Heat

 

Displays a gradient in the profile based on the highest volume and the lowest volume in the profile. High volume areas are emphasized in this mode.

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Outline

 

Displays the volume profile with only the outline of the profile being plotted.

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Time color

 

Every 30 minutes a new color is plotted and displayed in the profile. The profile color is defined in the properties 'Times' section. You can see what time of day the majority of the volume occurred in the mode.

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Initial Balance

The initial balance is an optional feature which will enable plots to show you what the current range, POC, and Value area a set number of minutes into the session. A typical use case is so that you can compare what the POC and VA was early on in the profile and make a comparison to where it ended up. The initial balance range needs to have the property 'Initial balance time (in minutes)' set to a non-zero value. Once 'Initial balance time' is defined the there are 3 lines which will be enabled and can be configured, you can enable only the lines you wish to see to display the 'Initial Range', 'Initial POC', and 'Initial Value Area'.

 

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1.Initial Range: This is the range of the profile used in the initial profile calculation that was traded during the 'initial balance time (in minutes)'
2.Initial POC: The value of where the point of control (POC) is located during the 'initial balance time (in minutes)'
3.Initial Value Area: The value area during the 'initial balance time (in minutes)'

 

Developing POC and Value Area

The developing POC and Value Area is an optional feature which when enabled will show you bar by bar how these value change overtime for the profile.

 

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1.Developing POC: For each bar in the chart the value of the POC is plotted so you can see the change over time.
2.Developing Value Area: For each bar in the chart the value of the value area high and value area low so you can see the change over time.

 

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

 

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1.Naked POC
2.Naked Value Area

tog_minus        Understanding Price Profiles

Price Profiles

Price profiles displays a letter or block if underlying trades inside of a specific time window. These time windows are 30 minute in length and if a single trade occurs in the time range a single block or letter is plotted. NinjaTrader supports price charts on intraday charts only. Its recommended to use a minute base chart such as 60 minute, 240 minute, 480 minute base chart types. Typically the 'Hide Bars' property is enabled for price profiles. This allows you to focus on the price profile on its own, the candles are no longer needed once you become proficient reading the price profile since both time and price is displayed once you memorize the time/color chart below.

 

To easily see where the session has it's Open / (developing) Close NinjaTrader displays separate O / C markers. These letters are then excluded in the time/color letter progression for the session.

 

Scaling the Price Profile

Profile scaling may be required to get your price profile to render as you expect. When rendering in letter mode if there is not enough space to render a letter which would be large enough to read on the screen the profile will fall back to block rendering mode. In this case we need to adjust chart scaling and ticks per level depending on the instrument you wish to plot the price profile on.

 

1.To adjust the distance between profiles, use the time scale drag in the time axis to compress and decompress the underling bars. If you've reached the maximum your able to adjust using the time axis, try adjusting the underling bars up or down as needed, start with a 60 minute chart and increase the minute range by double each time to compress the chart in the time axis.
2.To adjust the price scale use left click and drag in the price label area to adjust price scaling and put the chart into 'fixed' scaling mode. You can hold down left mouse and drag and CTRL on the keyboard to move the range being displayed to focus in on the area you wish to focus on. See the section 'Navigating a Chart' for more information on working with price scales.

 

Price profile times

It is important to look into the 'Order Flow + Volume Profile' properties, specifically the 'Times' section to understand the time slices reported by the tool and what color and letter is associated. The time displayed in converted to your local time zone and is a fixed frame of referenced from starting at 8:00 CST. This time is arbitrarily picked and provides all instruments to share the same time slice, therefore the letter 'A' and associated color will always be the same calendar day and not effected by the individual instrument, this allows comparison between charts based on a fixed time scale. The color for each time slice is customizable, once you have it defined

 

Note: Only intraday charts are supported, daily, weekly, or monthly charts are not supported at this time.

 

Reference Table

A

8:00 - 8:30 AM CST

B

8:30 - 9:00 AM CST

D

9:00 - 9:30  AM CST

E

9:30 - 10:00 AM  CST

F

10:00 - 10:30 AM CST

G

10:30 - 11:00 AM CST

H

11:00 - 11:30 AM CST

I

11:30 - 12:00 PM CST

J

12:00 - 12:30 PM CST

K

12:30 - 1:00 PM CST

L

1:00 - 1:30 PM CST

M

1:30 - 2:00 PM CST

N

2:00 - 2:30 PM CST

P

2:30 - 3:00 PM CST

Q

3:00 - 3:30 PM CST

R

3:30 - 4:00 PM CST

S

4:00 - 4:30 PM CST

T

4:30 - 5:00 PM CST

U

5:00 - 5:30 PM CST

V

5:30 - 6:00 PM CST

W

6:00 - 6:30 PM CST

X

6:30 - 7:00 PM CST

Y

7:00 - 7:30 PM CST

Z

7:30 - 8:00 PM CST

a

8:00 - 8:30 PM CST

b

8:30 - 9:00 PM CST

d

9:00 - 9:30  PM CST

e

9:30 - 10:00 PM  CST

f

10:00 - 10:30 PM CST

g

10:30 - 11:00 PM CST

h

11:00 - 11:30 PM CST

i

11:30 - 12:00 PM CST

j

12:00 - 12:30 AM CST

k

12:30 - 1:00 AM CST

l

1:00 - 1:30 AM CST

m

1:30 - 2:00 AM CST

n

2:00 - 2:30 AM CST

p

2:30 - 3:00 AM CST

q

3:00 - 3:30 AM CST

r

3:30 - 4:00 AM CST

s

4:00 - 4:30 AM CST

t

4:30 - 5:00 AM CST

u

5:00 - 5:30 AM CST

v

5:30 - 6:00 AM CST

w

6:00 - 6:30 AM CST

x

6:30 - 7:00 AM CST

y

7:00 - 7:30 AM CST

z

7:30 - 8:00 AM CST

tog_minus        Understanding Composite Profiles

Composite Profiles
A composite profile is a singular large profile rendered on either the left or right side of the chart containing data as defined by the composite properties which become visible once selected. Order Flow Volume Profile has many settings which can be customized to achieve several types of profiles. Its not uncommon to apply a composite profile and at the same time adjust the chart margin to allow for spacing on the right side of the chart. To do this right click on the chart and select 'Properties', adjust the 'Right side margin' property to a higher value. Depending on the 'Profile width (%)' selection of the chart will determine the number of pixels you will need to enter, work in 100 px increments until you find the right size for the configured chart.

 

You have several options to determine what data to be included in the composite profile:

 

Weeks Back

The number of weeks back to be factored in this profile.

Days Back

The number of days back from the current day to include in the profile.

Start Date

Manually specify a start date for the profile.

Chart

All the data available in the charts 'Start date' and 'End Date' are displayed in the profile.

Visible Screen Range

The profile will dynamically update based on the data determined from the first bar in view in the chart and the last bar in view on the chart. Moving the chart from left to right will change what data is displayed in the profile.

 

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Note: Composite profiles using 'minute' data being placed on a chart which has bar ranges less then 1 minute is not compatible. In this scenario tick resolution must be used.

 

Note: You want to make sure that the data you wish to compose a profile of actually exists on your chart to have a complete profile. You may need to right click on the chart > Data Series > and increase the days to load for the chart.

tog_minus        Understanding the Order Flow Volume Profile Drawing Tool

Order Flow Volume Profile Drawing Tool
The Order Flow + Volume Profile Drawing Tool allows you to configure a profile using all the similar settings and configurations which are applicable from the indicator and manually draw out and specify a start and end time for the profile right on the chart. Settings which do not apply are not available on the drawing tool.

 

Drawing a Profile

To draw a profile bounds, in the Drawing tool menu select 'Order Flow Volume Profile' from the menu and single click to define the start point of the profile. An outline box will begin to be displayed where you drag your mouse to the ending point for the profile bounds and left click again to complete the draw operation. The bounds box will stay centered and overlaid of the data which will be display the profile. Once the bounds have been selected NinjaTrader will attempt to load the requested data ('Calculating...' text will appear inside the outline box), by default minute resolution data is used however you can change the properties to use 'Tick' resolution data depending on the type of charts you will be drawing on. Minute works well for daily or any larger time frame chart whereas on more granular intraday charts you will want to change the default to 'Tick' resolution. The section below will detail how to change the default so that future drawing do not require changing the property each time.

 

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Configuring the Drawing Tool

Double clicking the drawing tool or single left click + right click and 'Properties' will allow you to customize the drawing tools various properties. As there are several properties you will want to set a preset for this drawing tool as you have it setup as you prefer. To do this in the 'Drawing Objects' select 'template' and then save, if you save a template with the name 'Default' this will be the template used moving forward on any newly created volume profile. More detailed info on NinjaTrader's drawing tools and operating them, could be reviewed here.

 

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tog_minus        Order Flow Volume Profile 'Set up' Parameters

Profile type

This is the top level parameter for selecting the type of profile you would like to generate. Each one of these profiles can be completely different since its constructed with different source data. Volume and tick share rendering options however price is unique in that its rendered using blocks or letters.

 

Volume

Volume profiles display last traded volume data using your selected source data 'resolution' is used to build the profile.

Tick

Tick profiles display the count of 'ticks' or trades that occur at a specific price. This produces a quantity agnostic profile which display pure trading activity irregardless of volume.

Price

Price profiles displays a letter or block if underlying trades inside of a specific time window. These time windows are 30 minute in length. If a single tick occurs inside that time window at a price a letter or block will be plotted. In letter display mode the 'A' letter starts at 8:00 CST.

Display mode

Defines how the profile will be rendered and what data is impressed.

 

Volume & Tick Display Modes:

 

Standard

Single defined color profile rendering display volume by price information.

Buy sell

The volume bar now split by buy volume and sell volume as classified per the Delta type property.

 

Note: This mode requires 'Tick' resolution data.

Delta

Displays the standard volume profile and overlays buy/sell data delta as classified per the Delta type property. This display mode highlights imbalances in buy/sell volume.

 

Note: This mode requires 'Tick' resolution data.

Heat

Displays a gradient in the profile based on the highest volume and the lowest volume in the profile. High volume areas are emphasized in this mode.

Outline

Displays the volume profile with only the outline of the profile being plotted.

Time color

Every 30 minutes a new color is plotted and displayed in the profile. The profile color is defined in the properties 'Times' section.

 

Price Display Modes:

 

Letters

A letter is displayed if the last price traded anywhere in the price range in a 30 minute window. The letter definitions can be found in the 'Times' category in the indicator properties. Capital 'A' letter starts at 8:00 AM CST. When not enough space is available for a 'letter' to be rendered, the profile we default to 'Boxes' display mode below.

Boxes

Instead of displaying a letter as per 'letter' mode above, only the corresponding color to the letter is displayed. This modes is used when you want to display more data on the screen.

 

Delta type (Only visible when Buy Sell or Delta Display mode is selected)

Sets how the delta is calculated for buy / sell aggressor classification.

 

BidAsk

Last trade at the ask or higher is considered buying volume, Last trade at the bid or lower selling volume.

UpDownTick

Last trade happens while Ask > Last Ask is considered buying, Last trade happens while Bid < Last Bid considered selling, all volume in between is added to the prior direction - this mode is an important proxy for markets / data providers where best bid / ask information is not available with last price tick data

Profile period

Sessions

Each session as defined by the Charts Data Series or the manual Trading hours selected gets a rendered Volume Profile. The profile by default is displayed below the bars and across all bars that make up the session. You can group multiple sessions by defining the property 'Sessions' greater then 1 (count is run from left to right, so forward).

Bars

When Bars is selected, one profile per bar is rendered. Space is added between the bars so that the profile is readable. This space is defined in the 'Visual' section below 'Profile width (px)' which is a defaulted to 100. You can group multiple bars by defining the property 'Bars' greater then 1.

Composite

A composite profile is a single profile drawn as an overlay on the entire chart that is composed of data defined by the 'Compose by' sub property that is exposed when this mode is selected.

 

Compose by:

 

Weeks Back

The number of weeks back to be factored in this profile.

Days Back

The number of days back from the current day to include in the profile.

Start Date

Manually specify a start date for the profile.

Chart

All the data available in the charts 'Start date' and 'End Date' are displayed in the profile.

Visible Screen Range

The profile will dynamically update based on the data determined from the first bar in view in the chart and the last bar in view on the chart. Moving the chart from left to right will change what data is displayed in the profile.

 

Note: You want to make sure that the data you wish to compose a profile of actually exists on your chart to have a complete profile. You may need to right click on the chart > Data Series > and increase the days to load for the chart.

Trading hours

Only data defined in the trading hour template will be used to calculate the volume profile. The default will use all the data as displayed in the chart.

 

Note: This setting can only be used a filter, meaning that all the base data must exist in the chart. E.G. A chart set using an ETH template and using a RTH template volume profile will work correctly, the opposite would not as the indicator will not load the additional data needed for outside RTH hours in our example.

Resolution

Minute

The profile is generated from 1 minute data for the profile period selected. This data is much faster to load and works as a sensible default to generate and approximate profile. Volume data is evenly divided amongst each price between the high and the low of the 1 minute bar.

Tick

The profile is generated using 1 tick data. This will be the most accurate and most resource intensive. Only select tick when you know the range of tick data you will be processing is limited.

Ticks per level

 

Sets the level of aggregation for individual price levels, i.e. if price levels should be merged together, default 1 – so each price level is seen and accounted for individually in the profiles

 

Value area (%)

The default of 68 percent for Value Area will display a 1 standard deviation range from the point of control and is customizable by the user. Value area is shown using a different opacity in the profile and additionally has a 'line' and 'label' which is drawn at the Value area high and Value area low.

 

tog_minus        Order Flow Volume Profile 'Visual' Parameters

 

Profile alignment

Left

The profile is drawn using the left edge.

Right

The profile is drawn using the right edge.

Profile width (%) or (px)

This will be in pixels or in percentage depending on the profile period selection that the largest.

Profile opacity

This is the base opacity used in to render the profile.

Show POC

This will shade the POC (Point of Control) the color you have selected in the 'Color for POC' property.

Show Value area

Enables the display of the value area.

Value area opacity

Volume bars which are within the value area are plotted with less opacity then the profile, allowing them to standout. To disable this, set the opacity to the same value as the 'Profile opacity'

Color for POC

The color which is used to define the highest volume (Point of Control) seen for the profile.

Color for profile

In 'Standard' draw mode, this property defines the color for the profile.

Color for buy

In 'BuySell' and 'Delta' draw mode, this property defines the color for buy classified orders.

Color for sell

In 'BuySell' and 'Delta' draw mode, this property defines the color for the sell classified orders.

Color for high heat

In 'Heat' draw mode, this property defines the top gradient for the highest volume seen in the profile.

Color for low heat

In 'Heat' draw mode, this property defines the bottom gradient for the lowest volume seen in the profile.

Hide bars

Convenience method to hide the underlying bars enhancing focus on the profiles. This can be done using this option via the indicator or by manually setting the DataSeries bar color to 'Transparent'.

tog_minus        Order Flow Volume Profile 'Lines' Parameters

The 'Lines' section defined all available and configurable line plots. Each line property once extended can have its Color, Dash style, Width, Visible, and Label property defined.

 

 

POC

Enable and customize display of the Point of Control line. Please see 'Profile Components' section in the Order Flow Concepts section for more information.

Value area (%)

Enable and customize display of the Value area lines. Please see 'Profile Components' section in the Order Flow Concepts section for more information.

Range

Enable and customize display of the Range lines. Please see 'Profile Components' section in the Order Flow Concepts section for more information.

Initial POC

Enable and customize display of the Initial Point of Control line. Please see 'Initial Balance' section in the Order Flow Concepts section for more information.

Initial Value Area

Enable and customize display of the Initial Value Area lines. Please see 'Initial Balance' section in the Order Flow Concepts section for more information.

Initial Balance Range

Enable and customize display of the Initial Balance range lines. Please see 'Initial Balance' section in the Order Flow Concepts section for more information.

Developing POC

Enable and customize display of the Developing POC lines. Please see 'Developing POC and Value Area'  section in the Order Flow Concepts section for more information.

Developing Value Area

Enable and customize display of the Developing Value Area lines. Please see 'Developing POC and Value Area'  section in the Order Flow Concepts section for more information.

Extended naked POC

Enable and customize display of the Extended POC line. Please see 'Extended 'Naked' POC and Value Area'  section in the Order Flow Concepts section for more information.

Extended naked Value Area

Enable and customize display of the Extended Value Area lines. Please see 'Extended 'Naked' POC and Value Area'  section in the Order Flow Concepts section for more information.

tog_minus        Order Flow Volume Profile 'Label' Parameters

The 'Lines' section defined all available and configurable line plots. Each line property once extended can have its Color, Dash style, Width, Visible, and Label property defined.

 

 

Font

Font settings used for labels and summary data.

Show volume labels

Optionally display the underlying data that makes up the volume profile. To visually see text data you may be required to increase 'Ticks per level' to allow more space for the text to render depending on the scale of the chart.

Show profile summary

This shows total volume, and range information as summary statistics in the bottom left of the profile range.

Summary display unit

Configure the range display unit for summary data (Price, Percent, Ticks, Currency, Pips)

Color for volume labels

Sets the text color used when 'Show volume labels' is enabled.

Color for profile summary

Sets the text color used when 'Show profile summary' is enabled.