Value Areas - dValueArea

[DeanV]

betaride, try the "InclWeekendVol" setting both ways. I tried to take that out at one point, but found it helps for week-ends and holiday senerios sometimes. Still may not always catch all of them, and might have to adjust as you mentioned.

paulg, I like the full 24 hrs. better, but find the one that works for you and use that. Depending on what your doing with it, it may not mater too much.

Dean.

[betaride]

DeanV:

Thanks for clarification, it's clear now and it works.

I've wrongly assumed that the 24-hr session is turned on by selecting PresentMethod = 2 (mapping for both pre-session and main session) and that the "sessionlength" property (set to 6.75) just carves the main session length out of the 24-hr window. With these settings, the common value area of the main session extends backwards to the old pre-session (and not forward to the current afternoon session) and that caused the confusion.

That being said, there is one issue remaining with the "sessionlength = 24" setting. The Sunday afternoon pre-session is now treated as a main session and thus the value area for the following Monday session is calculated incorrectly. The way around it is to set "sessionlength = 6.75" just for Monday and switch it back to "24" afterwards, but it would for sure be nice to get this exception resolved.

Neverthless, thank you again for the excellent work you did on this tool!

[paulg]

[...]
p.s. when setting a 24 hr. session, you sometimes have to add 1 min. to the start time to get it to work right (8:01 in above example), usually on larger timeframed charts.

According to European hours,the CME Globex sessions for some instruments (such as fixed in come or fx) are 23 hours long within the same day. For example from 00:00 to 23:00 CET.

Should be a use a 23 hour session (with Starting time at 00:00 an 00 minute and Ending time at 23:00) or a 24 hours session but with your "01" as minute 'tag' according to your suggestion?

[DeanV]

betaride, Thanks for the feedback.

I'm not sure what your asking for, so here's some comments...

The POC and VA's are only calculated from the session data as defined by the open time of day + session length within the program (the green slot/histogram area). It never includes the pink area. If you want a 24 hr. result on the POC lines, you should not see an pink, as the program wouldn't identify any presession.

To run a 24 hr session that would include start of 1 session till start of next, just set length of session to 24. (i.e. set start to 8 am, and length to 24), and you would see results for that 24 hr. period. You can set the start time to any time you want.

Hope that helps.

p.s. when setting a 24 hr. session, you sometimes have to add 1 min. to the start time to get it to work right (8:01 in above example), usually on larger timeframed charts.

[betaride]

Hi DeanV,

Thanks for your great work on this, it's invaluable. The price-volume histogram has been one of the most important tools in my trading.

I have a suggestion/comment though on the combined 24-hr session logic.

Currently, the 24-hr session (PresentMethod = 2 in dValueArea properties) is treated as a combination of the old main session and the old pre-session. This way, the volume histogram, POC, VAH, VAL values for the new main session are calculated using combined data from the old main session and the old pre-session, and I am not convinced that’s the right approach.

I can hardly see any significance of the old pre-session’s data to the new main session. I believe a much better approach is to use the current pre-session data combined with previous (old) main session data to arrive at the 24-hr POC, VAH, VAL values for the new main session.

Would you kindly consider adding the above to your code as an alternative selection/option? I think it would please many traders on this forum...

[paulg]

Thank you for your new updated contribution, Dean!

[DeanV]

2.4 update

Posted a 2.4 update in the file area. Adds some display choices for the slots (histogram) and evolving text. No calculations were changed. It does add more incompatability with NT7, so not recomended for that.

[pavve]

In the "Initialize()" section add the second Param to IntSeries:
SesNum = new IntSeries(this, MaximumBarsLookBack.Infinite);

At the first glance:
It compiles fine and i don't get any errors in the Trace file after the changes.
regards,

[DeanV]

cclsys, looking at a few charts with a lot of ticks, I was able to see small movement of the rtPOC. I was able to eliminate them by increasing the number of Slots. Noticed that they occur when that day's range expands. Think what's happening is that as the range expands, the slot width (# of ticks included per slot) also expands, and that can both move the slot up/down a little, or cause the POC to move to an adjoining slot if they were close enough.

Try increasing the number of slots and see if that improves or eliminates the issue.

[DeanV]

Pavve, Thanks for taking the time to look at this, and the feedback.

Their probably is more than 1 issue (think I see 2). Your error message points to one related to dataseries defines (might explain your error message). If you want to try changing code a little, this might matter (or not!)..

In the "Initialize()" section add the second Param to IntSeries:
SesNum = new IntSeries(this, MaximumBarsLookBack.Infinite);

Looks like this application will also need a little tweeking to work on non-equidistant chart types, but that may get more involved.

If these are the only issues, I'd concider it lucky.

cclsys, Havn't chased down that rtPOC jump yet but will. I need to find a repeatable example to test with.

Thanks.
Dean.

[pavve]

Unfortunately this indicator seems not to work with new beta.
Price Volume Histogram - (which i like as well) cannot even be imported perhaps due to the conflict with built in indicators.

pavve

from the trace file:
" ERROR: Error on calling 'OnBarUpdate' method for indicator 'dValueArea' on bar 390: barsAgo needed to be between 0 and 255 but was 256"


regards,

[pavve]

but want to wait till this gets testing with NTv7, since it uses "undocumented" code and may break. Someone who has it can test it for us sometime!! We probably still have a few months to wait for the offical release. The closer Vigin's are usually fairly easy to spot now.


Dean.

Unfortunately this indicator seems not to work with new beta.
Price Volume Histogram - (which i like as well) cannot even be imported perhaps due to the conflict with built in indicators.

pavve

[cclsys]

DeanV: I have noticed a little error which occurs sometimes with the rtPOC: the rtPOC is set at a certain price that later on turns out to be way above the current price for many bars. But suddenly the POC jigs down a few ticks even though there was no price action near the POC. Now I am not talking about a real flip to a new level, this one happens in the same zone, far above the market where no bar has been for a long time. Not worried about it or anything, but there you are: something a little wrong somewhere somehow.

[cclsys]

DeanV, attach pic of a skew indy I made thanks to your latest edition. Am not uploading here because a) it is very new and might be buggy knowing me and b) it's really 90% yours and sbg's work so you should get first look.

I can send code via email if you like. If not, thanks anyway!

About indy: it shows
a) dotted bars show simple skew = vwap - rtPOC
b) green line shows diff between close and POC
c) bands are based on ATR; narrow bands help indicate congestion around POC (with backcolor); then a bit like Bollingers if green lines strays outside the bands, trending action is more likely and especially when in direction of skew.

Note how today in Gold skew was positive (gold dotted bars) throughout the down move only changing to bear (turquoise dot bars barely visible because skew so narrow then) at far right of chart on pullback to 24 hr vwap (darker magenta dashdot line). I can only reference 24 hr vwaps in dValue because the time parameters are not callable.

Suggestion/greedyselfish request: I would love to have previous days and weeks day-session closing POC's plotted like pivot indicators with little text saying from what day they are plotted. Cannot do such things myself unfortunately. But think they would be very helpful. Perhaps easier as separate/parallel indy that has start/end times, nr. of days back and only plots the POC (and or the 30-70 Value area for those that want those as well. Yes, you can throw up other charts to get this. But I prefer to have SR lines on the trading chart and not flip around too much.

I am also hoping that one day we can get 1 day, 2 day, 1 week VWAPS updating live on the chart as horizontal lines. I think the combo of vwap and POCs on many levels is very revealing of underlying mkt dynamic/structure.

PS the printout data on bottom right is old version of skew etc. in another indicator and is not the same as the lower panel indy so don't let that confuse you.

Anyway, thanks again.

[cclsys]

cclcys, Thanks for the feedback. Also give credit to Ben L. for the origonal CalculateValueArea code... this is a direvitive of his work, and I wouldn't have started tweeking without his code as a baseline.

I've uploaded a 2.3 version to the file share area. It adds the bar-by-bar Real Time POC you asked for. You can turn it on / off from the "Real Time POC" param down in the Plot area. It needs 2 bars to start ploting in each area / day.

Also add an alternative method of calculating the VA lines. "VACalcType" in the Parameters area will default to 1 (origonal calc method), and if set to 2 will use the added method. Origonal starts at the mid-point of the range and expands, where the new method starts at the POC and expands. I've seen it done both ways at various sources. The new uses slot levels, so that setting can influence the outcome, where the origonal was pure math and independent of the number of slots displayed.

I've thought about putting the 1 or 2 (per side) most recient "virgin" POC's up as floating lines, but want to wait till this gets testing with NTv7, since it uses "undocumented" code and may break. Someone who has it can test it for us sometime!! We probably still have a few months to wait for the offical release. The closer Vigin's are usually fairly easy to spot now.

Like you, I find myself paying more attention to this type stuff, and less attention to other things. I've learned a lot working on this, and also from feedback like yours.

Thanks!
Dean.

Dean, that's great the addition. Will go over to get it immediately!

And thxs for reminding me that this comes from Ben L's work at sbgtrading. I confess I had forgotten that. So my warm thanks to him as well.