Calculate Value Area of volume at price

[tony99]

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]

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]

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]

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

[sbgtrading]

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]

Settings for Euro

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]

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
[email protected]

[sbgtrading]

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
[email protected]

Hello sjogia,

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

[sjogia]

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]

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]

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]

...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]

Pdf

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]

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]

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.