Order Flow Volume Profile Value Area Question

[ErikY]

I have been trying to understand the Value Area in the OFVP indicator in Ninja. Its pretty clear to me where POC is as well as VAH and VAL. My question is what methodology is Ninja using to define VAH and VAL? I have been reading up on this and their appears to be some different ways to do this. I have seen some suggest starting at VWAP and taking 34% of the volume above VWAP and 34% below VWAP to identify VAH and VAL respectively. And I have seen some suggest doing the same with POC instead of VWAP, and others suggest just taking the exact midpoint f all volume traded in a session and going 34% above and below.

Can anyone give me insight to the methodology in the NinjaTrader OFVP value area?

[NinjaTrader_Zachary]

Hello ErikY,

Thank you for your inquiry.

With the Order Flow Volume Profile, the Value Area is 68% of the total volume traded for the session (or which profile period you are using) and the VAL and VAH are the upper and lower bounds of that Value Area. You may view more information about the Order Flow Volume Profile concepts at the link below;

https://ninjatrader.com/support/helpGuides/nt8/index.html?order_flow_volume_profile.htm#OrderFlowVolumeProfileConcepts

Please let us know if we may assist you any further.

[ErikY]

Thanks Zachary. Do you know if OFVP from Ninja is using TPO or VWTPO or another methodology? That is not stated in the documentation.

[NinjaTrader_Zachary]

Hello ErikY,

Thank you for your reply.

This would depend on the 'Profile type' setting. The 'Price' profile type would use TPO and the 'Volume' profile type would use WVTPO.

Please let us know if we may assist you any further.

[ErikY]

Got it, thank you!