Wrong TPO in market profile

[MarianApalaghiei]

The attached screenshots show my settings for the Data Series and the Order Flow Volume Profile used as a Market Profile with TPOs (Price).

I have created a single market profile for the RTH session of ES 12-19, on October 14, 2019.
My local PC time is set to CST (UTC-06:00), with "Adjust for daylight saving time automatically", the time-zone for my NinjaTrader platform is also set to CST.

The issue can be seen in the third screenshot, generated with Resolution "Tick", where the B TPO should not appear at all at that price level, since it has been replaced by O (the opening TPO).
The fourth screenshot shows how the profile should look (without the wrong additional B), although the opening and closing prices are wrong.

Anyway, I intend to use mostly Tick resolution, so the additional B TPO shifts the entire line of TPOs one period to the right and it deforms the profile.
It is very important to me not to do that. It creates false anomalies and it is confusing.

Am I missing something? Is there a problem with my settings or is this a bug in the Order Flow Volume Profile indicator?
Thanks in advance!

[NinjaTrader_PatrickG]

I do not observe this same chart when I plot the same chart using Kinetick data:

• https://www.screencast.com/t/qMobPSaesx4

So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
• Who are you connected to? This is displayed in green on lower left corner of the Control Center window.
• Do you receive an error on screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?
• What is the difference between the third and forth screenshots? In other words, how did you produce two different behaviors in the data? For example, was 'reload all historical data' used between taking the two screenshots?

[MarianApalaghiei]

Thanks for the reply!

• 8.0.19.0 64-bit
• NinjaTrader Continuum
• No errors either on the screen, nor in the Log tab of the Control Center.
• No reloading of data is needed. The different behavior between the third and fourth screenshots (2 different market profiles) was obtained by simply changing the Resolution setting for the Order Flow Volume Profile indicator from Tick (third screenshot) to Minute (fourth screenshot).

[NinjaTrader_PatrickG]

The tick resolution should provide the most accurate data and would be recommended over minute resolution to solve price profile misalignment.

I can't reproduce the same chart that you have when using tick resolution. Here is my tick-resolution chart using NinjaTrader Continuum data:

https://www.screencast.com/t/BPA6OTL396

Does the issue on your end persist if you right-click on the chart and select 'reload all historical data' while using tick resolution?

[MarianApalaghiei]

Thanks!

• To answer your question, the problem is NOT solved by reloading all the historical data, like you suggested.

But...

• Did you, by any chance, create the profile in your last reply using the Ctrl+3 shortcut or by right-clicking the chart, selecting Drawing Tools->Order Flow Volume Profile and then applying it dynamically on the 30-minute bars?
  
  I am asking this because this is the only way I was able to obtain a profile exactly like yours.
  
  The profiles created in my initial post have been generated by adding the indicator using Ctrl+I, so from within the Indicators window, NOT using the Drawing Tools and dragging over the bars.
• The opening price of your profile (the O TPO) is on the wrong price level, compared to the actual open of the first green bar, it should be one tick higher. So this profile is not 100% correct either, it seems.
• Just to confirm, is your local PC time-zone set to CST (UTC-06:00)? What about the time-zone set in your NinjaTrader platform?
  
  The reason I am asking this is because your first period ends at 08:00, not 09:00, as it should, meaning it actually started at 07:30 MST. So I'm guessing at least one of the previously mentioned time-zone settings is not set to CST.
  
  BTW, when I tried to reproduce my problem on another PC, I had problems displaying the ES 30-minute chart after setting both those time-zone settings from EST (set a long time ago) to CST. It continued to display the data based on the EST hours. I could not find an explanation, so I re-installed NinjaTrader. I guess this could be the reason you have been unable to reproduce my problem. I'm not saying you actually have to re-install the platform. I'm saying this is what I did, since I did not quickly find a cause for the platform still displaying data using EST RTH, instead of CST RTH.

[NinjaTrader_PatrickG]

After further testing, I was able to reproduce this symptom. I am noticing that there appear to be A's appearing when I would expect A to be excluded due to the selected RTH trading hours template. I have reported this the Development Team and I'll follow up when I have more information.

You need to reload all historical data when changing the time zone.This is noted in the message within the platform when you change the time zone:

https://www.screencast.com/t/vvAvZWiuV3p