Volume Profile -> Standard vs. BuySell

[artson]

Hi,

I've been checking the YM chart from 28th September and was wondering if the Volume Profile was correct.
The POC was placed at the upper part of the day session, in european time.
In USA time, the price fell down and was below the rest of the day, with much more volume, of course.

If I show the volume profile in "standard" display mode, the POC is at the upper part.
If I show the volume profile in "BuySell" display mode, the POC is at the lower part.
See pictures attached.

I find it a big an important difference.
I imagine the BuySell mode shos where really the most volume (orders) have been.
Is the "standard" mode where the price more time has been?
Could you please explain it better?

Thans in advance!

[NinjaTrader_Jim]

Hello artson,

Thanks for your post.

We moved it to the Platform Technical Support forum as the question pertains to using the Volume Profile indicator and does not pertain to programming indicators.

The property definitions used for Volume Profile can be found below.

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

Standard just shows typical Volume at Price, while Buy/Sell differentiates volume based on the Delta Type. The Delta Type then could explain the different POC that is observed, because the volume would be tallied differently.

From the Help Guide on DeltaType

Delta type (Only visible when Buy Sell or Delta Display mode is selected)

Sets how the delta is calculated for buy / sell aggressor classification. BidAsk Last trade at the ask or higher is considered buying volume, Last trade at the bid or lower selling volume. UpDownTick Last trade happens while Ask > Last Ask is considered buying, Last trade happens while Bid < Last Bid considered selling, all volume in between is added to the prior direction - this mode is an important proxy for markets / data providers where best bid / ask information is not available with last price tick data

If this does not resolve your inquiry, could you include screenshots of the indicator properties used, as well as screenshots of the chart's data series window? I may also want to know your timezone so I can be sure I am looking at the same chart/chart times.

[artson]

Thanks,

Maybe you can check.
Take the session from 28th September and put the volume profile.
Once with "standard" and once with "BuySell".
It is in the "display mode", but it is not only the "representation" of the same profile, if you check it, the profile is different.
In my 2 pictures, the only thing I changed was this display mode.

I would say, that in the standard, the representation of the volume is not adding the ask + bid....., but doing something els

I hope I could explain myself properly....

I add:
I thought, if you add the Bid + Ask in one bar for all the prices, you get the total volume....

[artson]

Sorry, I'm in Europe, Paris time!

[NinjaTrader_Jim]

Thanks artson,

I would have expected differences if Up/Down tick were being used, but I will need clarity from Development regarding how Bid/Ask Delta Type tallies a different total of volume for each price level and ultimately a different POC.

I have opened an internal ticket for their review and input, and I will report back here when I have more information to give.

[artson]

Thanks Jim!

I've checked it again, and I think it is:

Standard: indicates the number of times, a price has been visited (it counts the same if at a price X there were negociated 1 contract or 100)

BuySell: it takes into account the number of contracts (Ask+Bid) at a certain price.

Thanks!

[NinjaTrader_Jim]

Hello artson,

I should have caught this before, but if we want Display mode BuySell to match a Standard profile, the Standard profile must use single tick resolution.

[artson]

Perfect Jim!

Thanks a lot!