Evolving Value Area Indicator for Current Day

[AgriTrdr]

I'm looking for an evolving value area indicator for the current day that I could use in Strategy Builder. I've found indicators that show previous day VAH & VAH but not current, and NT's Order Flow suite doesn't allow the usage in Strategy Builder. Is there a free indicator available? If not, how about a paid version which will allow the usage in SB?

[NinjaTrader_BrandonH]

Hello AgriTrdr,

Thanks for your post.

That is correct. The Order Flow indicators are not able to be used in the Strategy Builder because the Strategy Builder cannot generate the necessary code to use these indicators properly.

That said, you could use some of the Order Flow indicators in an unlocked script. To unlock a script, you would click the 'Unlock code' button in the Strategy Builder window. See the forum thread linked below for more information about calculating the Value Area.

Get Price of POC and Value Area: https://ninjatrader.com/support/foru...pt#post1112679

I am not aware of any third-party indicators that calculate the Value Area for the current day and are available for use in the Strategy Builder.

This thread will be open for other community members to share their insight on the topic.

Let us know if we may assist further.

[AgriTrdr]

Hi Brandon - thanks for your response. I did review the attach link and was thinking about creating my own indicator based on GetMaximumVolume and use GetTotalVolumeForPrice and divide 70% of that volume equally over POC which would achieve the same result. Let's see if anyone else replies, but is there an OnBarUpdate() code somewhere that I could use?

[NinjaTrader_BrandonH]

Hello AgriTrdr,

Thanks for your note.

"is there an OnBarUpdate() code somewhere that I could use?"

If you are referring to a reference sample that demonstrates how these values are calculated, we do not have any reference samples demonstrating this.

You would need to manually program the script to calculate this logic within the OnBarUpdate() method.

Let us know if we may assist further.

[Trader17]

Hi Brandon - thanks for your response. I did review the attach link and was thinking about creating my own indicator based on GetMaximumVolume and use GetTotalVolumeForPrice and divide 70% of that volume equally over POC which would achieve the same result. Let's see if anyone else replies, but is there an OnBarUpdate() code somewhere that I could use?

I have not seen one either yet. Can NT8 include that in the Strategy Builder at some point? Otherwise you start with the POC and add one or two levels above and below it till you reach 70% of the total volume from what I read.

[Trader17]

Hello AgriTrdr,

Thanks for your note.

"is there an OnBarUpdate() code somewhere that I could use?"

If you are referring to a reference sample that demonstrates how these values are calculated, we do not have any reference samples demonstrating this.

You would need to manually program the script to calculate this logic within the OnBarUpdate() method.

Let us know if we may assist further.

Can NT8 at some point include this in the Strategy Builder? Like VAH and VAL for each bar?
Thanks.

[Trader17]

Hi Brandon - thanks for your response. I did review the attach link and was thinking about creating my own indicator based on GetMaximumVolume and use GetTotalVolumeForPrice and divide 70% of that volume equally over POC which would achieve the same result. Let's see if anyone else replies, but is there an OnBarUpdate() code somewhere that I could use?

Have you tried doing it your way?
Thanks.

[NinjaTrader_BrandonH]

Hello Trader17,

Unfortunately, the Order Flow indicators, such as Order Flow Volumetric Bars, cannot be used with the Strategy Builder because the Strategy Builder cannot generate the necessary code to use these indicators properly due to their complexity.

You would need to access available Order Flow indicators in an unlocked script using the NinjaScript Editor window.

Value Area would represent the price range that reflects 68% of the volume in a bar. So you can consider looping through each price level from Low[0] to High[0] and use GetTotalVolumeForPrice to get the volume for each price level. You could then use that information to calculate the range which would have 68% of the total bar volume.

This would require some additional logic to calculate the value area from these price levels, but you can then identify the Value Area High price level and the Value Area Low price level from there.

Volumetric Bars data access methods - https://ninjatrader.com/support/help...tric_bars2.htm

See this forum thread: https://ninjatrader.com/support/foru...pt#post1112679

You may also find this forum thread to be helpful: https://ninjatrader.com/support/foru...etric-bar-info


Let us know if we may assist further.

[AgriTrdr]

Hi Trader17 - I haven't tried doing it my way because the logic goes beyond my complexity level.

[Trader17]

Hi Trader17 - I haven't tried doing it my way because the logic goes beyond my complexity level.

Something does not look right.

[Trader17]

Hello Trader17,

Unfortunately, the Order Flow indicators, such as Order Flow Volumetric Bars, cannot be used with the Strategy Builder because the Strategy Builder cannot generate the necessary code to use these indicators properly due to their complexity.

You would need to access available Order Flow indicators in an unlocked script using the NinjaScript Editor window.

Value Area would represent the price range that reflects 68% of the volume in a bar. So you can consider looping through each price level from Low[0] to High[0] and use GetTotalVolumeForPrice to get the volume for each price level. You could then use that information to calculate the range which would have 68% of the total bar volume.

This would require some additional logic to calculate the value area from these price levels, but you can then identify the Value Area High price level and the Value Area Low price level from there.

Volumetric Bars data access methods - https://ninjatrader.com/support/help...tric_bars2.htm

See this forum thread: https://ninjatrader.com/support/foru...pt#post1112679

You may also find this forum thread to be helpful: https://ninjatrader.com/support/foru...etric-bar-info


Let us know if we may assist further.

Thanks Brandon. I tried running a loop through the levels. It seems my loop and the NT8 loop match up in VAH and VAL levels plotted. They are identical. The lines across the volumetric bar levels are my plots and the 2 numbers to the right are calculated by NT8. Seems they both run the loop the same way. But the volume below is 49. 70% of it is approximately 35. And we fall short in both the calculations. 2+14+3+6+7=32 which is shy of 35 or 34.3 to be exact. I know we can sometimes overshoot the 70% as that is the minimum threshold required.

[Trader17]

Another example NinjaTrader_BrandonH that does not meet the 70& threshold yet my loop and NT8 loop are at the same identical levels. Both are set to 70% to keep it simple. Seems like a NT8 issue? I am using the formula for the calculation I found on this site which is the default formula and used by NT8 too. Am attaching a copy of it too.
Thanks.

[NinjaTrader_BrandonH]

Hello Trader17,

Thanks for your note.

As previously stated, the Value Area is not exposed for NinjaScript access. We do not have access to how this value is calculated and do not have an example script that could be shared.

This would require you to use custom calculations that we are not able to assist with. If you are having trouble calculating this value on your own, you could consider using a third-party script to calculate the value.

If you would like to more easily fetch these values from an indicator, you could consider a different Volume Profile indicator that exposes these values as plots.

A free indicator that you may wish to consider can be found below. (Note: there is no guarantee that these values will match our in house Order Flow Volume Profile indicator.)

DValueArea - https://ninjatraderecosystem.com/use...ad/dvaluearea/

Let us know if we may assist further.

[Trader17]

Hello Trader17,

Thanks for your note.

As previously stated, the Value Area is not exposed for NinjaScript access. We do not have access to how this value is calculated and do not have an example script that could be shared.

This would require you to use custom calculations that we are not able to assist with. If you are having trouble calculating this value on your own, you could consider using a third-party script to calculate the value.

If you would like to more easily fetch these values from an indicator, you could consider a different Volume Profile indicator that exposes these values as plots.

A free indicator that you may wish to consider can be found below. (Note: there is no guarantee that these values will match our in house Order Flow Volume Profile indicator.)

DValueArea - https://ninjatraderecosystem.com/use...ad/dvaluearea/

Let us know if we may assist further.

Thanks NinjaTrader_BrandonH for the reply. The DValue Area is for the entire session and not what I was looking for. As you will see from my examples above it is clear that the NT8 Order Flow Volume Profile Indicator Indicator does plot the VAH and VAL levels on a bar and also plots a histogram/profile for it on each volumetric bar and I believe regular bars too. I have made a loop to calculate the Value Area but as you will clearly see even NT8 has it calculated wrong. I draw 2 lines the price levels in my indicator while NT8 plots the profile and/or the price values at VAH and VAL.
Please pull up an ES chart and see for yourself. I will try to find more examples for you. Clearly it is plotting even before the 70% threshold has been met.
Cheers!!

[Trader17]

NinjaTrader_BrandonH this literally just happened a few minutes ago. I am using 70% threshold for the VA calculation in my loop and you will see that it plotted at the exact same levels as NT8 did. Only problem is that area total volume comes out to 97 and 70% of 140 is 98 to be exact. And the VA always will exceed that number, never equal or less than it. I can show you many such examples. It seems an issue with how NT8 looks at the loop probably? Does NT8 use one level or 2 levels in it's calculations?
Cheers.