Calculate Value Area of volume at price [Archive]

sbgtrading

12-09-2007, 09:38 PM

NinjaTrader_Ray

12-10-2007, 07:39 AM

Thanks for your contribution!

Trading618

12-13-2007, 01:00 PM

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

12-13-2007, 01:32 PM

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

12-13-2007, 06:13 PM

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

Trading618

12-13-2007, 06:31 PM

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

12-13-2007, 07:14 PM

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

12-14-2007, 01:16 PM

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

12-14-2007, 06:27 PM

Very impressive stuff, TXS!

Rollins

12-14-2007, 06:30 PM

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

marketmasher

12-14-2007, 06:42 PM

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

12-14-2007, 07:09 PM

I think the errors are related to 6.0 vs 6.5.

sbgtrading

12-15-2007, 05:49 AM

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

12-15-2007, 08:16 AM

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

yeneuro

12-15-2007, 09:23 AM

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

yeneuro

12-15-2007, 08:10 PM

OK Ben

Thank you ......

sbgtrading

12-16-2007, 05:09 PM

I've transfered the code down to V6.0 of Ninja Trader and it's attached below.

I'm working on fixing the Open time / Close Time bug...that will come shortly.

From now on, I will work to make the code V6.0 compatible. The big problem would be in the DrawTextFixed routine found only in V6.5. I'll probably replace it with Print (to the output window). This is what I'll do with the SquareOf9 indicator.

Ben

garciaal

12-18-2007, 03:27 PM

sbg trading,

I have installed indicator on v 6.0. Tryed it with close time 16:15 and open time 9:30 and also the default. I don't get anything. Error message in log "index was outside the bounds of the array", what ever that means?

Any suggestions?

Thanks,
Al

dgregor5

12-19-2007, 07:24 AM

Ben - avaiability for version 6.0 would be greatly appreciated. this is a great addition to NT. thanks for your efforts.
David

garciaal

12-19-2007, 10:06 AM

Ben,

I had it running on 3min ER on my V6 charts Hi was 760.10, Lo 738.80, default settings.

I'm ESTime, so maybe its my time settings for indicator. I'm charting only day session 9:30 to 16:15.

Merry Christmas,
Al

yeneuro

12-19-2007, 10:43 AM

Hi Ben

Thanks for the update. Currently using 6.5 so I do not need for 6.0.

However the update does not print any lines. I tried it for ER2

I tried OpenHour set to 7, OpenMinute set to 30 SessionLengthInHours set to 6.75. These settings should give open at 7:30 am and close at 2:15 pm MST.

I also tried OpenHour set to 22, OpenMinute set to 00 SessionLengthInHours set to 23.98. These settings should give open at 10:00 pm and close at around 9:59 pm MST.

Thank you for your efforts.

Best wishes for Christmas and the New Year

sbgtrading

12-20-2007, 06:42 PM

Just in time for Christmas!

The known bugs have been fixed and new ZIP have been uploaded to this thread! All ZIP files on this thread have been updated to the current version of the indicator, the V6.5 as well as the V6 indicator (both have the same functions)

I've corrected the "array index out of range" error and also corrected a bug with the "VWTPO" (my Volume Weighted Time Price Opportunity profile type) calculation...so if you use VWTPO, make sure you download and import this update.

Merry Christmas everyone! And have a blessed and prosperous New Year!

Enjoy,

Ben

bertg

12-20-2007, 10:01 PM

SBG,

First, thanks for the indy.

I a still having having problems getting the indicator to plot:
it works when I have the chart properties set to:

Session Begins: 12:00 AM
Session Ends: 12:00 AM
(I don't use evening sessions in my charts)

It doesn't plot when my chart properties are set to:

Session Begins: 8:30 AM
Session Ends: 3:15 PM
(which is the session I usually use)

In both examples above, the indicator has:
OpenHour: 8
OpenMinute: 30
SessionLengthInHours: 6.75

Any ideas?

Thank you,
Bert

sbgtrading

12-21-2007, 06:56 AM

Thanks for the info, Bert.

Firstly, to anyone who's running the NTv6.5 of this indicator, please go to message 1 of this thread and download the CalculateValueAreaAndPOC.ZIP and install. I discovered that I had posted an older version of the indicator, not the fully corrected one...so please download it again if you have trouble with the "array index" issue.

Now Bert, to your problem specifically. CalculateValueArea is looking for two bars on your chart. First bar it looks for is the one you have set at 8:30am. The second bar it's looking for is the one immediately AFTER the end of session bar (8:30am+6.75hours+1 bar = 3:15pm+1 bar)...the session times you set have to supply those bars. So if CalculateValueArea is set to start at 8:30am and finish 6.75 hours later, then you need to set your chart session time to 8:30am and 1 bar after 3:15pm. To be sure, I'd take your bar period (let's say 3-minute bars) and triple it (9 minutes) and set your chart session to 8:30am and 3:24pm. Or, if you want to shrink the session time on CalculateValueArea, you can do that to, but you probably won't need the 3 bar offset, you can probably get away with 1 or 2 bars. Set that to 8:30am and with a session length of 6.7 hours (6 hours and 42 minutes which sets the end time to 3:12pm)

SBG,

First, thanks for the indy.

I a still having having problems getting the indicator to plot:
it works when I have the chart properties set to:

Session Begins: 12:00 AM
Session Ends: 12:00 AM
(I don't use evening sessions in my charts)

It doesn't plot when my chart properties are set to:

Session Begins: 8:30 AM
Session Ends: 3:15 PM
(which is the session I usually use)

In both examples above, the indicator has:
OpenHour: 8
OpenMinute: 30
SessionLengthInHours: 6.75

Any ideas?

Thank you,
Bert

marketguy2

12-21-2007, 11:58 PM

Dear SBG,
I love this indicator. Thanks so much. I have a request for an addition to this indicator. It would be so great if you could also code for the current day's developing Value and POC. This is an important and useful area to either fade or look for a breakout. This would make your indicator Purrfect.

Let me know if this is possible. Thanks again.

Bryan

Taters

12-22-2007, 12:04 PM

first a super-thanks to Ben. This has been a very profitable indicator for me.
I'm curious about the POC though. On some days it is drawn outside of the value area. Is this normal? It is not my understanding of the way it is supposed to work.Bug or feature? Or am I missing something?
Thanks in advance,
Taters

sbgtrading

12-22-2007, 09:45 PM

I'm glad you're using it to your advantage!

Perhaps someone with more day-to-day experience with the POC can answer this question for you. But it is entirely possible for the POC to be outside of the value are on any chart.

Ben

first a super-thanks to Ben. This has been a very profitable indicator for me.
I'm curious about the POC though. On some days it is drawn outside of the value area. Is this normal? It is not my understanding of the way it is supposed to work.Bug or feature? Or am I missing something?
Thanks in advance,
Taters

sbgtrading

12-23-2007, 08:13 AM

Take a look at this attachment (it's V6.0 compatible).

I've coded it so you can select either a rolling time period or a fixed start and end time period.

Any other suggestions? Keep them coming.

Enjoy!

Ben

Dear SBG,
I love this indicator. Thanks so much. I have a request for an addition to this indicator. It would be so great if you could also code for the current day's developing Value and POC. This is an important and useful area to either fade or look for a breakout. This would make your indicator Purrfect.

Let me know if this is possible. Thanks again.

Bryan

marketguy2

12-27-2007, 10:15 PM

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

12-27-2007, 11:53 PM

Here is an example of Value and Developing Value in TS. The lettered boxes are each 30 minute segment as formed in a MP chart but in a bar view.

1429.

sbgtrading

12-28-2007, 08:54 AM

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

12-28-2007, 05:20 PM

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

1431 1432

sbgtrading

12-29-2007, 07:47 AM

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

sbgtrading

12-29-2007, 07:53 AM

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

12-29-2007, 11:12 AM

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

1439

sbgtrading

12-29-2007, 01:25 PM

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

1439

sbgtrading

12-29-2007, 05:08 PM

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

12-29-2007, 07:19 PM

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

12-29-2007, 07:37 PM

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

12-29-2007, 11:49 PM

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

12-30-2007, 06:34 PM

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

12-30-2007, 11:31 PM

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

Bryan

marketguy2

01-02-2008, 11:29 AM

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

1457

sbgtrading

01-02-2008, 02:11 PM

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

1457

sbgtrading

01-02-2008, 02:34 PM

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

marketguy2

01-03-2008, 12:01 AM

I snagged the shot during the F period. It is a regular MP chart. It is formed on a 1 minute chart with A-M period 30 minutes each and N period 45 minutes. This is the way Fin-Alg's MP chart for NT must be done. The NT MP chart aligns very well with a TS based VAH, VAL and POC. Yours is way off.

Now here is the stranger part. By day's end, your Value and developing value are spot on.

Bryan

sbgtrading

01-05-2008, 09:39 AM

Thanks for the information. Your help is key since I don't have access to the Fin-Alg's or TS's MP charts.

After looking hard at the data and checking my NT code, I'm quickly arriving at the conclusion that Fin-Alg/TS and I are working with different methods of calculating MP's. Based on my method, I can confidently say the NT indicator is functioning correctly. So, sad to say, that until they fill us in on their method, our profiles will continue to be different in the areas you pointed out. Perhaps more research into MP's in general will lead to further refinements in my method.

Thanks for your continued help. Let me know if you discover more info.

Ben

I snagged the shot during the F period. It is a regular MP chart. It is formed on a 1 minute chart with A-M period 30 minutes each and N period 45 minutes. This is the way Fin-Alg's MP chart for NT must be done. The NT MP chart aligns very well with a TS based VAH, VAL and POC. Yours is way off.

Now here is the stranger part. By day's end, your Value and developing value are spot on.

Bryan

sbgtrading

01-08-2008, 08:23 AM

Here's a link to more info on MP. I'll look into it in the near future and work towards ironing out any any discrepancies.

http://www.traderslaboratory.com/forums/f6/mp-trading-with-market-profile-3135.html

Ben

ryker

02-04-2008, 02:38 PM

Hello sbgtrading,
I've modified the version of your indicator with the real calculation of the value area (source from Mind Over Markets), I've also changed a few things inside (I hope you don't mind those changes).
I'm still testing it to ensure everything is working, attached is the first version.
Thanks

rokafella

02-04-2008, 02:49 PM

ryker,
is this going to write over the previous indicator done by ben?
if so, any chance you can change the name?
rock on and txs!
rok
:D

ryker

02-04-2008, 03:06 PM

Hello,
Here is the version with a different name (and a few other changes aswell).

Gibby

03-02-2008, 05:28 PM

Is there a way to have this updating over a specified periodicity, perhaps ever 30 minutes, so we can see the mean and and VAL and VAH shifting over time (by leaving the past periods levels still printed on the chart)? This would be a nice visual for trend I would think.

rokafella

03-10-2008, 03:09 PM

Can VAL, VAH and POC be utilized in a strategy?
Txs,
Rok

NinjaTrader_Josh

03-10-2008, 10:48 PM

Yes rokafella. You just need to access their corresponding plots.

slableak

03-29-2008, 12:16 PM

ryker

03-29-2008, 12:28 PM

Yes it looks ok

slableak

03-29-2008, 12:36 PM

Yes it looks ok

Do you have an up-dated version or is it still the same?

thanks,
David

ryker

03-29-2008, 12:46 PM

Still the same.

kingfish88

03-30-2008, 01:28 AM

Great job! Any chance to add VAH, VAL? and allow fix start and end time? I know the POC is there. It's moving as the market moves. It's cool too. But somehow if you can have yesterday's VAH POC VAL fix in the chart, then it would be much better. ;-)

T2020

12-21-2008, 10:06 AM

T2020

12-21-2008, 11:01 AM

Yes , please explain the Open hours settings more . In Calif. the regular open
would be 6:30 , but this generates an error . Can only set it to 6 or 7 . With
out proper setting , how can anyone use this indicator ?
Never mind again . I just needed to think about it more . Would like to know
what the original setting was . VWTPO ? before the added options .

sbgtrading

12-21-2008, 04:58 PM

Would like to know what the original setting was . VWTPO ? before the added options .

Glad you were able to figure out the OpenHour and OpenMinute settings...about the profile types, VWTPO, TPO or VOC, I'm not sure if I understand what you mean by "original setting". Maybe you're asking what is the most frequently used profile type? I think most people use TPO, some use VWTPO, and few (if any) use VOC. Since I'm not the one who created this analysis technique, and since I'm not a trading coach or mentor, I recommend doing due diligence to help understand the implementation of this indicator. I know that www.enthios.com is a site that uses market profile in almost all occasions. I believe they use the TPO profile type...but I may be wrong about that. Personally, I thought the VWTPO would be more valuable since it accounts for transacted volume as well as price.

T2020

12-21-2008, 06:42 PM

.about the profile types, VWTPO, TPO or VOC, I'm not sure if I understand what you mean by "original setting". Maybe you're asking what is the most frequently used profile type? .
Guess I thought the author originally created the indicator with only one profile option . Not always easy to fine these type of answers . So far ,just
looking at a bunch of charts , the VWTPO seems to be the most useful . IMHO. :) Thanks for posting back .

rsi77

01-22-2009, 03:45 PM

Great Job!
The numbers it's giving seem to be spot on. How hard would it be to get today's developing value area?
Thanks.

unitrade

02-06-2009, 12:15 AM

@sbgtrading

I´m not able to display this indicator for stocks > 99,99. Also GS (92,88) isn´t possible today. :confused:

Do I have to change the settings?

Thanks

T2020

02-06-2009, 07:31 AM

I'm not getting anything on the SPY . The D value area indicator plots though .??

sbgtrading

02-06-2009, 11:59 AM

If there are questions, please specify which indicator is causing the problem (use the name that appears on the chart). Also, a screenshot of the Control Center > Log tab would be helpful.

Thanks,
Ben

T2020

02-06-2009, 02:22 PM

Speaking for my self only . The Calculate Value Area does not plot when I
add it to a chart of the SPY . If I switch the same chart to ES 03-09 ,then
it shows up or plots fine . The fellow that made some slight changes to your
indicator ( Dvaluearea "his version") , his will plot on the SPY . ??? That's
all I was saying . hth's

sbgtrading

03-31-2009, 09:15 AM

There are two limitations with this indicator: (the indicator ZIP is found on post #1 of this thread)

1) It does not run on daily, weekly or monthly charts
2) It is limited to 2000 ticks of daily range. So, if you're running it on a stock that varies by more than $20.00 (2000 ticks) in a day, you'll get a warning message and the indicator won't plot. To fix this, you can customize the indicator and add more ticks to the array. Edit the indicator in the NinjaScript editor and hit "Ctrl-F" to find "2000". Change that occurrence of 2000 to 3000 or more, to accommodate whatever daily range your instrument has. Then hit F5 to recompile the indicator.

blaircampbell

05-01-2009, 09:14 AM

Hi,

Thanks and I love this indicator. But I do get different numbers depending if I run it on a 5 min ES or a 1 min ES. Both charts are identical in every way since I use templates. Same open close and settings on dValueArea. Sometimes the numbers are the same and sometimes different. The one value that varies the most is the POC?

Any insight would be appreciated.

Blair

rokafella

05-01-2009, 09:42 AM

While the values may be different for different timeframes, I see the values as approximations. Different programs calculate these values differently so there are always differences between other programs anyway. Whether the value area is 75 or 74.50 or 73, really makes little difference in the overall picture and is of little consequence. If you are looking for something more precise, fin alg has a tpo indicator but is not free.

blaircampbell

05-11-2009, 09:48 AM

I have concern that the POC point of control is accurate some days. I'll give out two days and maybe someone can check the results with there's.

POC May 8th 923.5 seems high
POC May 7th 903 seems low

regards,

Blair

blaircampbell

05-12-2009, 09:18 PM

is there another way to confirm these POC's via a website or something. Some days they seem really off

NinjaTrader_Bertrand

05-13-2009, 05:42 AM

I believe there are various sites around that publish this info, a google search may be of help.

iwannatoscript

06-02-2009, 03:18 AM

What is the difference between poc of market profile and poc of volume areas?

NinjaTrader_Bertrand

06-02-2009, 06:50 AM

I believe one uses only volume information, where as the true Market Profile one would be build upon the TPO counts. Best would be to check out sites covering those topics using google.

iwannatoscript

06-03-2009, 05:36 PM

I believe one uses only volume information, where as the true Market Profile one would be build upon the TPO counts. Best would be to check out sites covering those topics using google.

I understand that there are difference between poc and Vpoc, but which?

Ralph

06-04-2009, 01:45 AM

TPO based POC is build on price and time. Volume based POC is build on volume and price. The resulting POCs may differ because the price value with the highest accumulated volume is not necessarlily the same as the price value where the market traded the longest time.

Regards
Ralph

iwannatoscript

06-04-2009, 01:51 PM

THK Ralph,

what is most important in a statistic way between them?

Are they traded by the same way?

What is a resorces to study them?

Ralph

06-04-2009, 02:19 PM

Hi iwannatoscript,

the POCs establish areas of support and resistance. The volume based POC may be a little more accurate, the TPO based profile & POC is easier to assemble. I don't trade the POCs itself, I use them as markers of potential reversals. The fundamentals of market profiles are described, for example, in James Dalton's "Mind over Markets".

Regards
Ralph

laredo

07-11-2009, 03:16 PM

what add on do you use on nt to run your mprofile?

Ralph

07-11-2009, 03:30 PM

No add on, laredo, it is own code.

laredo

07-11-2009, 04:50 PM

You wrote the program in other words?

This probably isnt available?

Does it give you numbers like the IOAMT dot com website version which I beielve you purchase or lease.

rsi77

07-11-2009, 05:02 PM

Laredo,

You can use the indicator entitled "MPValues" which is free and located in this thread to give you the Value Area High, Value Area Low and Point of Control which are the numbers typically used for trading Market Profile strategies.

If you want the real thing you can buy the TPO add-on from FinAlg. Here's the website.

http://www.fin-alg.com/tpoandvolumechart.html

It works very nicely and gives you pretty much all the Market Profile information you need to trade the method nicely.

As mentioned Dalton's book is a must read if you're going to try to learn to trade according to Market Profile. After that there are a lot of websites offering to train in strategies associated with MP.

Ron

laredo

07-21-2009, 01:03 PM

what are the Vat and Vab on the "dValue area" script please?

blaircampbell

07-24-2009, 10:28 AM

Replying to SBG trading...

"2) It is limited to 2000 ticks of daily range. So, if you're running it on a stock that varies by more than $20.00 (2000 ticks) in a day, you'll get a warning message and the indicator won't plot. To fix this, you can customize the indicator and add more ticks to the array. Edit the indicator in the NinjaScript editor and hit "Ctrl-F" to find "2000". Change that occurrence of 2000 to 3000 or more, to accommodate whatever daily range your instrument has. Then hit F5 to recompile the indicator."

I have searched the indicator an cannot find any ref to '2000'

Yesterday in the YM it moved more than 2000 ticks so I wanted to adjust this but do not see it anywhere.... can you give me another key word that is connected with this 2000 that I can search for?

regards,

Blair

MoreYummy

08-02-2009, 04:39 AM

What does POC use for, and how does it calculated?

Also there are 3 profiles to choose from, I cant find what they are for in the documents.

Is there other sources for this?

Thanks.

calibri

08-03-2009, 02:50 AM

What does POC use for, and how does it calculated?

Also there are 3 profiles to choose from, I cant find what they are for in the documents.

Is there other sources for this?

Thanks.

may this helps:
http://www.cmegroup.com/education/interactive/webinars-archived/five-reasons-to-use-market-profile.html
http://www.cmegroup.com/education/interactive/webinars-archived/market-profile-interactive.html

I searched for the original CBOT educational materials but couldn´t find them any more. They had tremendous material covering all the stuff.

POC: simply counts the TPO (time price opportunities)
originally the price with the most letters (time spent in 30 minute brackets), there is a small deviation where you measure the price with the most volume as POC.

Yours
Cal.

foner68

08-19-2009, 10:25 AM

Hi there,

Somebody using the VA indicator with forex ? Is this posible ?

Thanks for your help.

sju10544

09-25-2009, 06:48 AM

Hello together,

I like this indicator but unfortunately I've got some trouble with it. First issue is the right setting. I need the german timezone (15:30 or 22:10 etc.)

My ES chart properties are:

session beginns (local time): 00:00
session ends (local time): 00:00

It's an 6 range bar chart. What settings do i need for:
1. Open hour
2. Open minute
3. SessionLenghtInHhours

The second problem I have is, when I add this indicator to a 10 range bar chart of the Mini Russel (TF).

The settings for the properties are the same as I use for the ES chart. After I try to add this indicator, nothing happens (no feedback) ==> Ninja crashed. Only a restart helps to come back to Ninja.

Any ideas will appreciated.

Thanks and kind regards

deanz

09-27-2009, 03:57 AM

As far as I can figure you can not have a start time and finish time that crosses over the 24th hour (midnight). The only work around I found was to reset your PC clock and timezone, easiest to set it to the time zone of the market you watch, then reboot, and reload all chart history.

Ninja can crashes for many reasons, plenty of them are unknown. Maybe NT7 will be better.

sbgtrading

09-27-2009, 08:11 AM

If anyone needs assistance with the indicator, or has a bug report...feel free to post it here. But, you will also need to identify which indicator it is. You can do that by referencing the Post# in this thread.

That way the author/editor will have the information needed to address the issue.

Thanks again!

Ben

sju10544

09-28-2009, 05:54 AM

Hi deanz, hi sbgtrading,

thank you for the reply. Sorry for the confusion, I thought it was clear which indicator I mean. It's the "CalculateValueArea" indicator.

Is there no other way to solve the issue, except to shift the PC time?

sbgtrading

09-28-2009, 11:30 AM

I've posted the enhanced version to Post #1 of this thread.

Please read that post for details on the new version.

Enjoy!

Ben

sju10544

09-28-2009, 12:38 PM

Thanks Ben,

but hmmm... unfortunately the new version never plots anything on the chart (have tried several settings of "market hours"). Of course this depends obviously on me, but what I'm doing wrong?

The next things is, that you cannot chose the "Profile Type" with a pull down menue...

sbgtrading

09-28-2009, 02:12 PM

unfortunately the new version never plots anything on the chart (have tried several settings of "market hours"). Of course this depends obviously on me, but what I'm doing wrong?

The next things is, that you cannot chose the "Profile Type" with a pull down menu...

Please send along a screenshot of your Indicator parameter settings. The "Market Hours" settings should have no bearing on the output except if your start time occurs outside of your market hours that may be a problem. Make sure your start time is within the market hours you have chosen.

Also, the "Profile Type" is a text input, you need to spell out the selection "VOC", "TPO", or "VWTPO"

Ben (sbgtrading@yahoo.com)

sju10544

09-28-2009, 02:35 PM

O.K. Here's a chart only with the CalculateValueArea indicator. The properties settings Start and End time are from 12:00 AM to 12:00 AM.

Thank you for the excellent support.

tradercrm

09-29-2009, 04:48 PM

sbgtrading

09-29-2009, 05:21 PM

I commented on this indicator, this may be the best resource for assistance. When ProfileType is set to VOC the histograms contain gaps on my 3min ES charts, any suggestions? TPO and VWTPO have a smooth 'normal' profile while VOC just seems incorrectly drawn. Just want a volume-based histogram to track POC, VAH, VAL. Thanks again!

Edit: Any ideas on how I can color the VPOC from the current/previous days so it stands out?

Edit2: Added attachments so you can see volume profile vs volume profile from another package.
The VOC profile does create a choppier appearance because it assigns all the volume to the close price. So, if you have a gap where the close prices are far apart, you will have gaps in the profile. VOC means Volume On Close (price). The other profile types distribute the volume across the entire range of the bar (on a bar with 5 ticks range, 1/5 of the volume is assigned to each of the 5 ticks)...thereby filling in the gaps.

tradercrm

09-29-2009, 06:45 PM

Ah, next question you can probably guess: anyway to assign volume to price, beyond just the volume on it's close? Looking for something that will give me an accurate profile w/ VPOC. Thx!

sbgtrading

09-29-2009, 07:20 PM

Ah, next question you can probably guess: anyway to assign volume to price, beyond just the volume on it's close? Looking for something that will give me an accurate profile w/ VPOC. Thx!
That's why the TPO and VWTPO were added...so you can distribute the volume over the entire span of the bar. Perhaps other users can tell you which method (TPO or VWTPO) are more "popular" or accurate.

tradercrm

09-29-2009, 08:27 PM

The most popular would be the chart I attached in the original post, calculating volume only at price, and not just the closing price. Hmm might be at a dead end here then...

sbgtrading

09-29-2009, 09:18 PM

The most popular would be the chart I attached in the original post, calculating volume only at price, and not just the closing price. Hmm might be at a dead end here then...
In looking at the chart you posted...at the top of the chart, I see "TPO" mentioned...am I reading that correctly? If so, perhaps you should run the indicator under the "TPO" setting.

tradercrm

09-29-2009, 10:25 PM

Yes, but the histogram is volume-based, I've confirmed it with another program (X-study) which offers something similar. The reason I'm concerned is when the VPOC shifted down today, naturally, the TPO or VWTPO didn't reflect it, and while the VOC did (on some charts) it only includes volume at the closing price of the candle as I understand it? Just wanting to include every trade, not interesting in time. Thx again for your help..

sju10544

11-05-2009, 06:24 AM

Hi together,

I have attached two screenshots of the 30 min TF chart. All of them are 24 hour charts (session begin 12:00 AM and ends 12:00 AM).

In one chart there is a calculation with the so called TTZMPLines (http://thetradingzone.com/). The other chart shows the value area with the dValueArea indicator (yellow line is the POC the two other dotted lines in chocolate are the VAb and VAt) . As you can see, the calculations are very different. I have tried many other setups, but unfortunately I can't find a setup that calculates the area similar to the TTZMPLines indicator.

Any ideas?

Thanks a lot.

cdesai13

11-05-2009, 09:11 AM

Have you looked at Taylor Trading Technique or Murray Math Lines? I could be combination of Market Profile and one other pivot/price-based indicator? The don't tell you what it is exactly but they do say that its based on more than just Market Profile.

Hi together,

I have attached two screenshots of the 30 min TF chart. All of them are 24 hour charts (session begin 12:00 AM and ends 12:00 AM).

In one chart there is a calculation with the so called TTZMPLines (http://thetradingzone.com/). The other chart shows the value area with the dValueArea indicator (yellow line is the POC the two other dotted lines in chocolate are the VAb and VAt) . As you can see, the calculations are very different. I have tried many other setups, but unfortunately I can't find a setup that calculates the area similar to the TTZMPLines indicator.

Any ideas?

Thanks a lot.

sam777

12-25-2009, 01:14 PM

What is the latest version of this value area indicator? (is it the one in post #1?). I read thru' all the posts and looks like it evolved as it was being developed.

I downloaded the version from Post #1 (assuming it to be the latest), I looked in the parameters. To make it simple say use ES instrument. Its open/close 4:30 pm / 4:15 pm est.

I was not able to set Open Hour (requires 24 Hr format) as 16:30:00 (says error). It will take 16 as the parameter but not fractional hour.

SessionLengthHours: So for ES above what is the parameter here - 24 for entire trading day? If I want to see the profile just for US day session market hours 9:30 pm - 4:15 pm, then Open hour is 9 and SessionLengthHours = 8? Please clarify the exact parameters.

ProfileType: only VWTPO and no other options such as TPO only?. I understand reading thru' the posts VWTPO and was a good option logically speaking and no other third party software has that option.

What is VAb and VAt?

I undestand this Value Area is for the previous day. What about for the current day/session in progress ie Developing POC, Developing VA, developing VAH/VAL ....?

I have also seen the VWAP idicator and was wondering what was it trying to mimick - this value area indicator?

Thanks, Sam

T2020

12-25-2009, 08:30 PM

The " dvaluearea " indicator is what you want ,located in the indicator
sharing section . 24hr sessions , developing poc's , value area's .

sam777

12-27-2009, 03:23 PM

T2020 - Thanks for the reply. I loaded the dvaluearea indicator and still have some questions unanswered as in my post #107

To make it simple say use ES instrument. Its open/close 4:30 pm / 4:15 pm est.

I was not able to set Open Hour (requires 24 Hr format) as 16:30:00 (says error). What is the exact parameter value to put?
SessionLengthHours: So for ES above what is exact parameter to put here for entire trading day?
Likewise, if I want to see the profile just for US day session market hours 9:30 pm - 4:15 pm, then what should I put in Open hour and SessionLengthHours?

Present Method: It says 2 = Both Pre-sess. and Sess. Not sure what is meant by Pre-Sess. In our example of ES, if you want to see the profile for US day session as in #3 above, then pre-session would be from ES open at 4:30 pm est until the Open hour in the day session at 9:30 am est? May be the idea is to split the 24 hour session into overnight 4:30 pm (ES open) to 9:30 am est and US day session from 9:30 am open - 4:15 pm close. Please clarify to understand and interpret correctly.
I guess Vab (pink dots) and Vat (light green dots) are the Va low and Va high of previous and past sessions (historic)? So is the POC?
I understand all the Evolving parameters and is for the current session. Don't know what Real Time POC means versus Evolving POC?
The Slot Session color (lime horizontal lines) and Slot Pre-Session Color (red horizontal lines) - If profile type selected is TPO, then these lines are representing price histogram and not representing volume histogram - is that correct? Can the volume histogram be displayed as an overlay or adjacent to the price histogarm? It is a nice feature as you can see both POC based on TPO and also volume histogram concurrently (as in fin-alg version).

That's all I need - the basic set up getting used to with specific questions.

Thanks Sam

T2020

12-28-2009, 07:56 AM

I was not able to set Open Hour (requires 24 Hr format) as 16:30:00 (says error). What is the exact parameter value to put?

As in the screen shot , I have no trouble setting the opening hour to 16 and minute to 30 .

SessionLengthHours: So for ES above what is exact parameter to put here for entire trading day?

The entire trading day ..... It trades pretty much 24 hours .That's what I put.

Likewise, if I want to see the profile just for US day session market hours 9:30 pm - 4:15 pm, then what should I put in Open hour and SessionLengthHours?
What's your local time Zone ? 9:30 open ? 6.75 hours . make sense ?
Maybe someone else can chime in on the rest of your questions .

sam777

01-11-2010, 08:36 PM

Using ES open/close 4:30 pm / 4:15 pm est

I have played with the indicator parameters and have questions as I am unsure what is being displayed and as follows:

Present Method = 2 (as it says both Pre-Sess. and Session).

Open Hour = 9, Open Minute = 30, Session Length in Hours = 6.75 (this allows for US Market day session (ie 9:30 open to 4:15 pm close est).

VACalcType = 2 (New POC/Slot based VA)

With the above 3 selections - I see both the overnite and day session for ES which trades almost 24 hours displayed.

Now the questions:

Under plots: Have selected to display Evolving (POC, Vat and Vab) and POC, Vab and Vat

I can understand the Evolving POC, Vat and Vab being displayed fo the current session (overnite from 4:30 pm open) as I write at 9:10 pm. However, it also displays POC, Vat and Vab in the current session in addition and don't know what that is - please explain?

POC, Vat and Vab are displayed for the US day session as expected. However, they are drawn as a continuation from the day session into the overnite session now as I write that I stated i the paragraph above.

I am not sure how to read this and confused. I expected that these two are disjoint ie (Evolving POC, Vat, Vab) are for the current session only and POC, Vab, Vat are for all previous sessions (history) and would end without being carried forward in to the current session. This will allow to see exactly which POC's of the past are valid (that have not bee covered ie trading range not reached this level - also called Virgin POC's. You can also refer to Fin-alg.com software.

The pice histogram for overnite and day session look fine. However, the display of POC, Vat, Vab is not clear. Morever, for overnite session I see no POC, Vat, Vab.

See finalg software. dvaluearea is close and I guess adding letters to each hour duration should be easy in the price histogram (show lines currently), the POC, Vat, Vab can be corrected to show for overnite and day sessions and end at individual sessions instead of carrying forward in a continuous fashion and you have a great dvaluarea indicator for Market Profile similar to fin-alg software.

thx sam

DeanV

01-12-2010, 06:37 AM

Sam,

The 3 plot lines allways show history (results from pervious completed session). They only show session results, not pre-session results.

The Evolving stuff shows just that... Evolving, as in real time. They change for each new incoming bar. They are for the current day only, and disapear as a new day session starts. When the open session completes the 3 plot lines will show how the session ended, and mostly match what the evolving had evolved into.

If you want history on the pre-session, just put up a second run of the indicator, and specify the pre-session hours for the open session (start time 4:15 pm, etc.). Use a different chart or change the color's of the plots or whatever and you should have that. Turn off anything you don't care about.

Hope that helps.

cclsys

02-04-2010, 09:30 AM

DeanV,

thanks again for your dynamic PVP.

Have noticed an error with it a few times and today snapped a pic (attached).

Also, any chance of a dynamic VaT and VaB? (!).

I have also been tracking Gomi's Volume Profile which updates tick by tick. It often has different, or at least far more precise, PVP's because of course it doesn't average the volume distribution over the range of the bar after the close. But yours does an excellent job with far less computer demand.

Anyway, here is the error: sometimes, even though price is trading nowhere near the dynamic PVP (which in this example today was way above current action), the PVP will flip from down around where price action is and back up to an old PVP whose value cannot possibly have changed since no trades have occurred up there. Clearer on the picture than in this description.

So something is definitely wrong somewhere with the PVP calc, although when it happens it is quite obvious and only seems to be in this situation where it flips back to an old PVP for some reason to a price which is currently clearly out of the question and therefore more irritating than confusing.

And again: any chance of embedding vwap code in your dvalue area that can start and end at same time as dValue? (then I can build a good skew indy!)

http://www.ninjatrader-support2.com/vb/attachment.php?attachmentid=9281&stc=1&d=1265297402

DeanV

02-04-2010, 10:06 AM

cclsys, Try changing the number of slots, probably UP would add more consistancy. Think it defaults to 100 or 200 now. Think max is coded at 500, but you can change the code limit in the properties to however bigger you want... max was just an arbortray limit I put in to keep the resource use under control.

Fairly sure it's related to the way the slots combine more ticks as the day range become bigger... each range expantion can skew the day's entire slot range. The program looks at the entire day range and force's it to fit into the number of slots specified, so their are inherient skew points or division factors that will appear as the range expands (i.e. with setting at 200, if ticks per day less than that slots will be 1 per tick. At 201 ticks/day slots will be 2 ticks per slot, etc.. can change the POC if they are close befor vs. after).

Hope that helps.

Joseph Connors

02-11-2010, 11:31 AM

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

What exactly is the POC? I haven't heard Larry Levin discuss it. Thanks!:)

cclsys

02-11-2010, 04:07 PM

The Point of Control, sometimes also referred to as Peak Volume Price, is the price at which there has been the most volume since the indy started tracking (usually at the beginning of a session). Deanv's indy has a 'dynamic' PVP plot which changes as the PVP changes. Most indies like this just draw a horizontal line across the whole chart so although at any given time the PVP/POC is accurately represented, you can't see where the previous ones were (although often by looking at the histogram you can see it more or less).

paulg

02-20-2010, 10:43 AM

Ben's original release is not declared as NT 7 compatible, however it can be imported.

Anyone tested it or any other 'Calculate Value Area' releases by the different authors?

Paul

rsi77

02-21-2010, 11:18 AM

This one works in NT7. I'm not sure about any other ones.

paulg

02-22-2010, 05:13 AM

This one works in NT7. I'm not sure about any other ones.

rsi77,
thanks for attachment but it seems quite limited to TPO and VPO with no support for VWPO and volume profile or flexible historical data support.

Any other NT7 version of CalculateValueArea, CalculateValueAreHisto, CalculateValueAreaHisto_V2, etc? :(

sbgtrading

05-09-2010, 07:59 AM

I've created the NT 7.0.0.14 version of CalculateValueArea...it has been added to Post #1 of this thread.

Let me know your test results!

unitrade

05-13-2010, 01:52 AM

hello.

i am still using nt 6.5. can someone tell me what to if i want to use us time zone. my time zone is berlin. new session for valuearea should beginn at 16:30 ny time. thats 22:30 for me. but i am unable to set this time.

thanks

sbgtrading

05-13-2010, 10:04 AM

Hello,

I've attached a ZIP file that contains a Chart Template for NT 6.5. It contains the settings you'd need to have the session start at 22:30 and last for 6.75 hours.

Take the XML file (which is currently in the ZIP file), and put that XML into your My Documents\NinjaTrader 6.5\templates\Chart directory.

Ben

unitrade

05-14-2010, 12:06 PM

thanks for your reply. but it doesnt work. because its the same indicator that i use.

i need this indicator for the es, 24h (globex), beginning at 22:30 berlin time. thats 16:30 ny time.

sbgtrading

05-14-2010, 12:41 PM

thanks for your reply. but it doesnt work. because its the same indicator that i use.

i need this indicator for the es, 24h (globex), beginning at 22:30 berlin time. thats 16:30 ny time.

What's not working? Are you getting an error message (in the Log tab of your Control Center)?

If there's an error on the chart, please send along a screenshot of it with notes added for clarification.

I tested the indicator on my chart with your timezone information and I believed it worked without a problem. Let me know!

unitrade

05-15-2010, 02:17 AM

here are some screenshots and the logfile.

unitrade

05-15-2010, 02:19 AM

es, 24h, beginning midnight berlin time.

unitrade

05-15-2010, 02:20 AM

the next one

unitrade

05-15-2010, 02:21 AM

the next one.

unitrade

05-15-2010, 02:23 AM

the log file.

sbgtrading

05-15-2010, 07:02 AM

the log file.

Your log files show you may be using an older version of the indicator. To make sure the newest one is available, I've attached it to the first post of this thread. So please download and install the "CalculateValueAreaAndPOC.zip" that's attached to Post #1 of this thread, and then test the indicator.

Let me know if that resolves your problem.

Thanks,

unitrade

05-15-2010, 11:49 PM

i updated the indicator and it works. i thought i have installed the newest but....

works fine, also ym.

many thanks for your work and help.

greetz

robertmcclure

08-02-2010, 11:08 PM

I found you on the forum and you seem to know what you are doing.

I have some basic programming skills from college. I can write some basic strategies. But I need to look at two different charts. ie I want to check the trend above a band on my chart using 500 contract volume bars (not time bars) and my other chart using bars for 2000 contract volume on SP Sept futures and the custom indicators I have from my friends "method".

any guidance other than check ninjas list of programmers as I don't want to 1) spend that much money and 2) I want to understand enough to them fiddle around myself - just don't know how to make conditions from 2 different charts.

thanks very much
Robert

paulg

08-03-2010, 03:07 AM

sbgtrading

08-03-2010, 07:12 AM

Hello Robert McClure...welcome to NinjaTrader!

There are two free Strategy file that ships with every version of NinjaTrader that will give you the initial boost you need...it is called "SampleMultiTimeframe" and "SampleMultiInstrument". Take a look at those strategy files and see if they give you some direction.

NOTE: Strategy development in NT is more difficult than indicator development...and Multi-timeframe or Multi-instrument development can be even trickier. You may need to post this request in a thread that deals explicitly with these topics.

Showa50

08-04-2010, 10:29 AM

Great indicator!
Would love to see an option for text labels on the lines. Thanx.

tony99

09-16-2010, 09:44 AM

I just found your messaga and am new to Ninjatrader. I have the free version. Do these volume charts come standard with NT? And where do i go to find them in NT?

sbgtrading

09-16-2010, 01:05 PM

I just found your messaga and am new to Ninjatrader. I have the free version. Do these volume charts come standard with NT? And where do i go to find them in NT?
The indicators associated with this thread are located on the 1st post of the thread...so use the "Page" selector at the bottom of this forum listing.

Other indicators can be found by using the "Search" feature...check out the "Search" menu listing above this post.

pboyles

09-23-2010, 05:06 AM

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 PDF file 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

What are the proper settings for this indicator for the e mini S&P? I have tried to set it for the globex session but it is quite a bit off published figures for VAH and VAL. For instance today it shows 1134.75 for VAH compared to 1133.25 that I have obtained from another source. Likewise VAL is 1128.75 compared to 1128.25.

I'm wondering which is right and which is wrong. I have changed open hour and minute to 21.35 which is when the ES reopens after the short 20 minute break. This brought it a bit closer to published figures but still not quite there.

pboyles

09-23-2010, 05:23 AM

I was wondering if this could be due to different values being used for the standard deviation.

sbgtrading

09-23-2010, 05:45 AM

I was wondering if this could be due to different values being used for the standard deviation.
This indicator (in its current form) is an approximation of the Value Area since both the NT6.5 version and the NT7.0.0.14 version work within the single timeframe limit of NT6.5. So as you know, an accurate volume profile can only be created when the volume transacted at each tick is known and accounted for. So the only way to get an accurate volume profile in v6.5 is to run the indicator on a 1-tick chart. If you run this indicator on anything else (2-tick, 1-minute, 30-minute, etc), the volume profile will be an approximation of the actual one. Therefore, this approximation leads to the differences you're finding.

I've developed a multi-timeframe version of this indicator in NT7...I expect to release it once the platform gets out of beta testing. This multi-timeframe version brings in a 1-tick datafeed in the background, regardless of what your chart timeframe is...therefore the volume profile will always be accurate and the levels should match the "published" values.

JOHNF1

09-25-2010, 04:33 PM

Confused on settings including what time to start for euro (2-3am Eastern -London/Europe open?) and what chart timeframes it works on>>>

I use 220T, 5m, 15m charts.

THANKS

sjogia

09-28-2010, 02:30 PM

sbgtrading

09-28-2010, 04:15 PM

I am new to ninja, and have decided to start with NT7. I'd love to use these indicator on NT7 and seeing that you have already developed them, is it possible that you can send these to me?
many thanks
sureshjogia@tiscali.co.uk
Hello sjogia,

The NT7 version is available...you can download it from the #1 post on this forum thread.

sjogia

09-29-2010, 06:50 AM

Hi
Have you developed MP line for developing market profile, that's dynamic and updates during the entire day on the intra day time frames?
many thnks for the NT7 version.
sjogia

rsi77

09-29-2010, 03:28 PM

What are the proper settings for this indicator for the e mini S&P? I have tried to set it for the globex session but it is quite a bit off published figures for VAH and VAL. For instance today it shows 1134.75 for VAH compared to 1133.25 that I have obtained from another source. Likewise VAL is 1128.75 compared to 1128.25.

I'm wondering which is right and which is wrong. I have changed open hour and minute to 21.35 which is when the ES reopens after the short 20 minute break. This brought it a bit closer to published figures but still not quite there.

Published values for Market Profile are often based on the classic interpretation which, although technically less accurate, is what many people look at. The technical interpretation uses 30 minutes bars for the calculation--tick charts will be more accurate but may yield numbers which are not as useful for trading. If you create a 30-minute chart and use the older version (not for NT7) of the indicator you may find that your indicator yields values which are closer to those published on various trading sites.
ron

djkiwi

09-30-2010, 10:26 AM

Thanks for posting this sbtgrading. Very useful. I am having problems downloading the pdf document. It's not showing as a pdf when unzipped only .html. Anyone else having this issue?

Thanks
DJ

sbgtrading

09-30-2010, 11:06 AM

...check your computers file associations perhaps? PDF's need to be associated with Adobe or some other PDF reader. Does the file have a .PDF extension?

djkiwi

09-30-2010, 12:07 PM

Hi SBG, when I download and unzip it shows up as a HTM file for some reason. I even tried it on another computer and no such luck on that either. Is there a pure pdf copy somehwere without zip. It doesn't look a long file. I can see it in HTM but doesn't show the diagrams.

Thanks again
DJ

sbgtrading

09-30-2010, 03:58 PM

My mistake...the ValueAreaHelpGuide.zip contains the HTML file and the folder is the pictures. So put the HTM and the folder onto your desktop...then double-click the HTM file and you'll be able to view it in your browser.

sbgtrading

10-04-2010, 04:38 PM

NOTE: I've changed the ValueAreaHelpGuide.ZIP...it now contains a PDF. So if you want the PDF form of the help guide, you can download it now. Download it from the first post of this thread.

wagross

12-16-2010, 04:45 PM

I could sure use it

sam777

12-16-2010, 04:53 PM

I do not use the indicator.

paulg

12-17-2010, 09:35 AM

I could sure use it

http://www.ninjatrader.com/support/forum/showpost.php?p=195337&postcount=143

billwu

12-29-2010, 12:00 PM

sbgtrading

12-29-2010, 01:05 PM

Hi sbgtrading, thank you so much for this indicator, it is great! On the chart, this indicator is behind the price bar, is anyway we can move the indicator to the front of price bar? Thank you.
(http://www.ninjatrader.com/support/forum/member.php?u=2300)
Hi Billwu...

In NT7, you can change the "ZOrder" of the bars by:
1) Click on the chart, selecting the price bars (the dataseries you want to rearrange)
2) Hold down the Shift key and spin your mouse scroll wheel

You'll be able to move the price bars behind the indicator.

Let me know if that helps!