Calculate Value Area of volume at price

[cdesai13]

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]

CalculateValueArea - Please Clarify

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]

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

[sam777]

dvaluearea indicator

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.

1. 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?
2. SessionLengthHours: So for ES above what is exact parameter to put here for entire trading day?
3. 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?
   
4. 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.
5. 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?
6. I understand all the Evolving parameters and is for the current session. Don't know what Real Time POC means versus Evolving POC?
7. 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]

1. 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 .

1. 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]

dvaluearea - Please Clarify and Answer Specifics

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]

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]

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!)

[DeanV]

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]

Point of Control (POC)

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]

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]

Which are the NT7 compatible?

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]

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

[paulg]

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]

NT7.0.0.14 version added to Post #1

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!