OrderFlow Volume Profile calculating value areas bar by bar?

[unpacify]

Edit: I have now fixed this. I looked at https://learning.oreilly.com/library...ml#b01anchor-1 and uses the sum of dual prices to find the value area, not standard deviation.

When I go to the help guides, the value area % says: "The default of 68 percent for Value Area will display a 1 standard deviation range from the point of control and is customizable by the user. Value area is shown using a different opacity in the profile and additionally has a 'line' and 'label' which is drawn at the Value area high and Value area low."

So im trying to understand if im doing my standard deviation calculations correctly. I have an example from a bar i am confused about:

ES, 7 range volumetric.

Price: 5206.75, Total Volume: 10
Price: 5206.5, Total Volume: 6
Price: 5206.25, Total Volume: 18
Price: 5206, Total Volume: 15
Price: 5205.75, Total Volume: 49
Price: 5205.5, Total Volume: 27
Price: 5205.25, Total Volume: 14
Price: 5205, Total Volume: 8

If we are starting from the point of control at 49, we are trying to get 68% of the total volume of the bar.

Using the data above:

Mean: 18.375
Standard Deviation: ~14.13

so the range using the Empirical Rule would be

Lower bound: (49 - 14.13 = 34.87)
Upper bound: (49 + 14.13 = 63.13)

The value area would be any number that falls inside that range in the bar, but the only value that falls into that range is 49 or the POC.

On my indicator chart, the OrderFlow Volume Profile has the value area as:

Price: 5206.25, Total Volume: 18
Price: 5206, Total Volume: 15
Price: 5205.75, Total Volume: 49
Price: 5205.5, Total Volume: 27
Price: 5205.25, Total Volume: 14

How did it come to that calculation?

Im coding this myself and I'm having a hard time understand how NT is calculating it. I wanna know the calculations for value area step by step since I have to manually calculate it.

But this goes back to another post someone made, why cant we just have Methods and Properties to the OrderFlow Volume Profile? Why is it not available for use in Ninjascript? If it was, i could just take the value areas NT is using and go on my way.


Thank you

[NinjaTrader_ChelseaB]

Hello unpacify,

Unfortunately, I will not be able to provide the source for the calculations used for the proprietary Order Flow+ indicators and bar types.
I can provide a link to an example that shows the basics of how the data is being used by the volumetric bars and getting similar values from calling volumetric bars which may or may not be helpful.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/1133359-get-the-bid-ask-volume-inside-the-bar-from-the-example#post1133429

https://forum.ninjatrader.com/forum/ninjatrader-8/indicator-development/1112672-get-price-of-poc-and-value-area-order-flow-volume-profile-indicator-in-ninjascript#post1112679

The open request for OF+ Volume Profile NinjaScript access is being tracked with ID # SFT-3402.
I will add your vote to this request.

Please note, we receive many requests and cannot reasonably implement all requested features or changes. Interest is tracked internally and if enough interest is tracked, it would be weighed against how feasible it would be to make those changes to consider implementing, so we cannot offer an ETA or promise of fulfillment.

When new features are implemented, they will be listed in the Release Notes page of the Help Guide. The ID number may be different than the internal feature request tracking ID, but the description of the feature will let you know if that feature has been implemented.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm