Deriving VPOC on an indicator to create a filter

[percy3687]

I am trying to create a scanner which can find me the instruments / stocks that meet following criteria

1. Todays open is above yesterday's VPOC &
2. Current price is within 0.1% of yesterday's VPOC

I dont see yesterday's VPOC as a variable that i can select from? Is there a sample code / syntax which can i used to derive the VPOC from yesterday?

[NinjaTrader_ChrisL]

Hi Percy, thanks for writing in. It will depend on the exact indicator or bar type you are using. If you are using our OrderFlow+ Volumetric bars, you can add a daily Volumetric series. I have an example on how to add a secondary Volumentric series here:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/106297-can-volumetric-bars-be-added-as-a-second-data-series?p=823328#post823328

Kind regards,
-ChrisL

[percy3687]

Thanks Chris. Is there a way to fetch the value area high and value area low as well?

[NinjaTrader_ChrisL]

Hi percy, thanks for the follow up. All the values that are possible the get by default are documented here:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?order_flow_volumetric_bars2.htm

The volume area is not provided, but we do have this script that can be studied:

https://ninjatraderecosystem.com/user-app-share-download/dvaluearea/

Kind regards.

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[percy3687]

Can we plz add this as a feature request? Free softwares like think or swim have this data easily available by click of few buttons and allows us to scan across multiple instruments. Will be great to have this functionality within our favorite NinjaTrader8.

We hopefully can Volume Profile data points in creating strategies by using the ninja trader UI. Eg. go long if current bars close crosses above VAH or VAL or VPOC etc.

[NinjaTrader_ChrisL]

Hi percy3687, thanks for your reply. There is an existing feature request that I will add a vote to for you. The tracking ID is:
SFT-4265

This is a request to make all Volume Profile data through a NinjaScript object.

Kind regards,
-ChrisL