Volumetric Bar info

[Trader17]

Thanks NinjaTrader_Jim for the reply and inquiry to Development. So instead of using the OFVP Indicator on a volumetric chart would it be better to hard code the OFVP Indicator within a strategy run on volumetric bars to avoid those issues?
Thanks a lot.

[NinjaTrader_Jim]

Yes, if you use the volumetric bar information inside your script instead of using a single tick data series for analysis (this is what the OFVP indicator does,) you will not see the mentioned discrepancy

[Trader17]

Yes, if you use the volumetric bar information inside your script instead of using a single tick data series for analysis (this is what the OFVP indicator does,) you will not see the mentioned discrepancy

Thanks NinjaTrader_Jim Appreciate all your help on this issue. Let us see what QA comes back with on the other query you sent.

[Trader17]

The discrepancy is relevant to indicators that process a single tick data series for analysis (calculations using Volumetric Bar methods would not show the discrepancy, but using a single tick data series for volume analysis would show the discrepancy.)

The discrepancy specifically affects: 1. indicators that use a single tick data series to study volume, 2. on tick based bars, 3. when processing historical data. It is more noticeable with tick bars with a small size, and it is less noticeable as the size of the tick based bar increases.

I understand with Volume Profile that since it is using the single tick data series, the profile would already include the developing values.

Development may have been determined that having the Value Area also calculated was not taxing enough to consider only calculating Value Area when a bar closes. I'm not sure, but I am asking Quality Assurance and Development if there was any explicit reasoning to for the behavior we currently see.

I should hear back sometime next week.

Any news from Development NinjaTrader_Jim yet?

[NinjaTrader_Jim]

Not yet. The ticket is still open with me and I'll be replying once we hear back.

EDIT: We have gotten word back from Development.

When the indicator is set to use a Resolution of Tick, the profile is [already] calculated on a per tick basis.

When Resolution is set to Minute, then Calculate would effect how this indicator is calculated. If you apply OFVP to a 5 minute chart and set Resolution to 1 minute, you may see this update following OnBarClose.

[Trader17]

Not yet. The ticket is still open with me and I'll be replying once we hear back.

EDIT: We have gotten word back from Development.

When the indicator is set to use a Resolution of Tick, the profile is [already] calculated on a per tick basis.

When Resolution is set to Minute, then Calculate would effect how this indicator is calculated. If you apply OFVP to a 5 minute chart and set Resolution to 1 minute, you may see this update following OnBarClose.

Any updates NinjaTrader_Jim on this yet?
Thanks.

[NinjaTrader_Jim]

Hello Trader17,

I had edited my post with the additional detail from Development. The behavior is expected for how OFVP is programmed:

When the indicator is set to use a Resolution of Tick, the profile is [already] calculated on a per tick basis. (Calculate wont change this)

When Resolution is set to Minute, then Calculate would effect how this indicator is calculated. If you apply OFVP to a 5 minute chart and set Resolution to 1 minute, you may see this update following OnBarClose.