Volume level support and resistance (EasyLanguage) (Page 4) - EasyLanguage Programming | futures.io
futures.io futures trading
 

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Platforms and Indicators > TradeStation > EasyLanguage Programming


Volume level support and resistance (EasyLanguage)
Started:March 19th, 2010 (03:25 PM) by Big Mike Views / Replies:14,032 / 41
Last Reply:October 18th, 2016 (03:50 PM) Attachments:7

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike
     

Reply
 7  
 
Thread Tools Search this Thread

Volume level support and resistance (EasyLanguage)

Old May 10th, 2011, 05:47 PM   #31 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,531 since Mar 2010
Thanks: 4,215 given, 24,855 received


zt379 View Post
Thx for the detailed reply.
As you say, it's not showing actual traded volume at price. A true POC, in other words.

Do you know of an NT indicator that does this, especially on a cumulative basis?
ie;
Last trading day volume (POC)
Current week volume (POC)
Last week volume (POC)
Total contract levels" (POC)
(see attached charts)
All those I've come across relate to a TPO or VTPO or VWTPO or VOC .

I would, if possible, like to have a "true" POC indicator for NT.

If of interest, I touched on this in a previous futures.io (formerly BMT) thread (post#8 below) regarding an MT4 indicator,
that does plot POC based on actual volume traded at price.
https://futures.io/traders-hideout/5202-cme-settlement-price-calculation.html

Post#8


His Excel link in post#1 of the above Ninja Forum thread, I believe he created to get CME data into the MT4 charting software.
It may help explain how to create an NT indicator if anyone is able or interested ?

Post # 196 from his FF thread :
Volume Trading - Page 14 @ Forex Factory
explains those volume levels that I would be interesting in having on NT.

Post# 402 refers to Options also being displayed:
Volume Trading - Page 27 @ Forex Factory

Attached 2 old screen shots showing the MT4 "eVOLution" indicator.
(Showing levels as a line and histograms for last day POC, this weeks POC, last weeks POC and POC
for total contract).

These FF threads may be of interest in using such techniques:
Principles of market movements @ Forex Factory
New opportunities on EUR/USD market @ Forex Factory

Hope I've explained the multiple info/links clearly enough in one post,
and that it's of some interest.

Many thx

If you want to reinvent everything, please go ahead. This indicator was primarily about identifying key volume levels.

The classical POC calculates the mode of the 30 min TPO distribution for each session. This is pretty simple to code with NinjaTrader. You just need to load a 30 min bar series via indicator and figure it out. You can do this for n days, and then display the POCs for n days

It is also possible to code weekly or monthly POCs and display them as lines.

The dValue indicator already does this for yesterday.

Reply With Quote
     

Old May 10th, 2011, 06:57 PM   #32 (permalink)
Elite Member
UK London
 
Futures Experience: None
Platform: NT and XTrader
Favorite Futures: Piano
 
Posts: 1,209 since Sep 2009
Thanks: 1,296 given, 1,452 received


Fat Tails View Post
If you want to reinvent everything, please go ahead.

Perhaps you misunderstood. I was merely extrapolating on the idea of key volume levels.
But thanks for your permission to do so.

Quoting 
This indicator was primarily about identifying key volume levels.

I'm unclear as to how you can view my previous post as not being about key volume levels.
But no mind.


Quoting 
The classical POC calculates the mode of the 30 min TPO distribution for each session.
This is pretty simple to code with NinjaTrader. You just need to load a 30 min bar series via indicator and figure it out. You can do this for n days, and then display the POCs for n days

Perhaps we are talking about different things here.
No mind.
Someone else can correct me if I'm wrong, but I believe TPO relates to Time at price, where as my post was about volume at price, or what's referred to as POC.
As for coding this, it's not something I can do. I guess not everyone sees what others see as "simple" in the same way.
But again, no mind.


Quoting 
It is also possible to code weekly or monthly POCs and display them as lines.
The dValue indicator already does this for yesterday.

As grateful as I, and many have been for deans dValue indicator, it does not do what I was posting about.

Non the less, as the topic was about "key volume levels" and that you asked how those levels may be useful, I only posted to add to that discussion but it would appear that the information and threads were of little value to you.

No mind, perhaps some of the other several thousand members may find them useful.

Regards

Every moment I wake up I realize I know nothing, and then I smile...
Reply With Quote
     

Old May 10th, 2011, 07:06 PM   #33 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,531 since Mar 2010
Thanks: 4,215 given, 24,855 received



zt379 View Post
Someone else can correct me if I'm wrong, but I believe TPO relates to Time at price, where as my post was about volume at price, or what's referred to as POC.
As for coding this, well it not something I can do. I guess not everyone sees what others see as "simple" in the same way.

TPOs are time price opportunities. The market in profile as described by Jim Dalton uses 30 min TPOs to establish a distribution. The point of control is the mode of the distribution of the TPOs over the price range of the session.

It is possible to replace the original POC calculated from TPOs with a POC calculated from volume as traded per price. The difference should not be very important. However, for calculating a volume POC you need higher resolution data.

You can have a look at the dValue indicator, as it has an option to switch between TPO POC and volume POC. You will see how much they are off each other. The dValue indicator as I have seen it is not a multi time frame indicator, so it needs 1 minute data for exact values.

I actually prefer the volume weighted median to the POC, as a median is more robust than a mode and does not jump around from one peak to another if some volume is added to one of the smaller peaks.

All these statitstical levels, volume weighted median, volume weighted average price, TPO mode or volume based mode are typically close together,

Reply With Quote
     

Old May 10th, 2011, 07:35 PM   #34 (permalink)
Elite Member
UK London
 
Futures Experience: None
Platform: NT and XTrader
Favorite Futures: Piano
 
Posts: 1,209 since Sep 2009
Thanks: 1,296 given, 1,452 received


Fat Tails View Post
TPOs are time price opportunities. The market in profile as described by Jim Dalton uses 30 min TPOs to establish a distribution. The point of control is the mode of the distribution of the TPOs over the price range of the session.

It is possible to replace the original POC calculated from TPOs with a POC calculated from volume as traded per price. The difference should not be very important. However, for calculating a volume POC you need higher resolution data.

You can have a look at the dValue indicator, as it has an option to switch between TPO POC and volume POC. You will see how much they are off each other. The dValue indicator as I have seen it is not a multi time frame indicator, so it needs 1 minute data for exact values.

I actually prefer the volume weighted median to the POC, as a median is more robust than a mode and does not jump around from one peak to another if some volume is added to one of the smaller peaks.

All these statitstical levels, volume weighted median, volume weighted average price, TPO mode or volume based mode are typically close together,

Thanks for the reply.
I'm always at risk (forgive the pun in a trading site) of quickly being out of my depth when things get too technical
when referring to scripting etc..

You re-itererated my understanding of TPO.
Again, without getting too technical, what we all seem to think of as POC is not, as you say, the total amount of volume at price.

If I may, I want to leave aside any further clarification of all these TPO, VWTPO etc...terms.
I'm not interested in smoothed or weighted distributions etc..I agree they are often close

What I am interested in is that POC I refer to, the actual price at which the highest volume has been traded (over whatever time period).

The "evolution" indicator by Volume Trader gives this POC.
Further more it gives it for the entire duration of a 3 month contract cumulatively, as a single line.
It does it for the previous month, for the previous week, this week and previous day all as single lines.

It does this, I believe via his Excel link, by taking data DIRECTLY from the CME every night.
It has just celebrated it's 2nd year and with almost one million downloads it seems popular.

It was the ability to have those levels, of that CME data, on an NT chart that made me post.
Not withstanding that the other links may have been useful for members to see or learn how price reacts to volume etc...

You have skills I do not Fat Tails.
It can be an unfortunate position to be in sometimes, but hopefully you may, at the very least, benefit from members ideas from which you have created that indicator.

I think this would be helpful for many Ninja users if possible.
Apologies if I've intruded on this thread.
Many thx

Every moment I wake up I realize I know nothing, and then I smile...
Reply With Quote
     
The following user says Thank You to zt379 for this post:
     

Old May 11th, 2011, 03:51 AM   #35 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,531 since Mar 2010
Thanks: 4,215 given, 24,855 received

Futures Edge on FIO
Had a look at that tool of volumetrader. It is nothing special, just takes the volume data from the CME website and then determines the price level for each day, where the maximum volume was traded.

This can be done in NinjaTrader and is not too difficult. You need to define a sessions for each instrument allowing you to switch between RTH and ETH volume analysis. The POC will be calculated from a high resolution data series (best would be tick data, 1-minute data is also possible) by taking the volume-weighted TPOs

-> Output is one POC per day
-> The POCs can be displayed for the last n days (for example 5 days)

Now for weekly and monthly POCs there are two different approaches:

VolumeTrader simply takes the highest of the daily POCs and declares it weekly or monthly POC. Another approach would be to add up the volume traded at all price levels during a month and then show the mode of the merged distribution.

Will think about it. It is basically the same as the dValue indicator without the graphical display of the volume, but using session templates and collecting the POC and value areas for several days.

Reply With Quote
     
The following user says Thank You to Fat Tails for this post:
     

Old May 11th, 2011, 06:42 AM   #36 (permalink)
Elite Member
italy
 
Futures Experience: Intermediate
Platform: tradestation
Broker/Data: tradestation
Favorite Futures: fesx, es
 
Posts: 14 since Dec 2009
Thanks: 1 given, 7 received

For Volume Levels my opinion is like that of Fat Tails
It is nothing special.
(And all those things can also be tested with tools like Marketdelta or Investor-rt )

There is only one thing I do not know and I do not know if it can be useful for real trading,
is:
Trading with option levels

I found another link where mention it but I do not know ...
Forex Forum - Indo Investasi
pag. 3 e pag 9

Is there someone who uses this technique real trading?
Is the market sensitive to these levels ?

Reply With Quote
     

Old May 11th, 2011, 05:12 PM   #37 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/Rithmic
Favorite Futures: ES, NQ
 
trendisyourfriend's Avatar
 
Posts: 3,615 since Oct 2009
Thanks: 2,937 given, 4,352 received

One function i like to use with MarketDelta which is also available on I/RT is the 'split profile at letter'. You just need to place your cursor on any given key bracket (30min period) and voila! you get a new profile. I find that you can better evaluate the various balance areas that develop during the day and compare them to the previous days. It's quite usefull and more accurate if it's the human that identifies where to split the profile. Here is an example for today's price action on the RUSSELL (TF)...

Attached Thumbnails
Volume level support and resistance (EasyLanguage)-splitatletterfunction.jpg  

Last edited by trendisyourfriend; May 11th, 2011 at 05:37 PM.
Reply With Quote
     
The following user says Thank You to trendisyourfriend for this post:
     

Old June 21st, 2011, 04:37 PM   #38 (permalink)
Elite Member
UK London
 
Futures Experience: None
Platform: NT and XTrader
Favorite Futures: Piano
 
Posts: 1,209 since Sep 2009
Thanks: 1,296 given, 1,452 received


Fat Tails View Post
Had a look at that tool of volumetrader. It is nothing special, just takes the volume data from the CME website and then determines the price level for each day, where the maximum volume was traded.

This can be done in NinjaTrader and is not too difficult. You need to define a sessions for each instrument allowing you to switch between RTH and ETH volume analysis. The POC will be calculated from a high resolution data series (best would be tick data, 1-minute data is also possible) by taking the volume-weighted TPOs

-> Output is one POC per day
-> The POCs can be displayed for the last n days (for example 5 days)

Now for weekly and monthly POCs there are two different approaches:

VolumeTrader simply takes the highest of the daily POCs and declares it weekly or monthly POC. Another approach would be to add up the volume traded at all price levels during a month and then show the mode of the merged distribution.

Will think about it. It is basically the same as the dValue indicator without the graphical display of the volume, but using session templates and collecting the POC and value areas for several days.

Bumping this thread in the hope you may have both the inclination and time Fat Tails.

It's the actual highest volume traded at price (POC) rather than "weighted" or "time" etc, based POC's,
over user selectable number of days. ie 1 day, 5 days, 20 days etc..
I was also thinking of a similar POC for an intra-day user selectable period.
ie a POC every 10 minutes or 15 minutes etc..

Thx
.

Every moment I wake up I realize I know nothing, and then I smile...
Reply With Quote
     

Old June 21st, 2011, 05:29 PM   #39 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,531 since Mar 2010
Thanks: 4,215 given, 24,855 received


zt379 View Post
Bumping this thread in the hope you may have both the inclination and time Fat Tails.

It's the actual highest volume traded at price (POC) rather than "weighted" or "time" etc, based POC's,
over user selectable number of days. ie 1 day, 5 days, 20 days etc..
I was also thinking of a similar POC for an intra-day user selectable period.
ie a POC every 10 minutes or 15 minutes etc..

Thx
.

I do have the inclination, but I currently don't have the time, as I am quite behind with a lot of other projects.

Somebody else to the front please!

You can try to ask @ThatManFromTexas. He still has plenty of time to supply us with excellent jokes, so he might have some time left to supply you with your indicator. Also I am sure that he particularly values my confidence in his capabilities.

Reply With Quote
     
The following user says Thank You to Fat Tails for this post:
     

Old June 21st, 2011, 07:09 PM   #40 (permalink)
Elite Member
Houston,Tx
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: TF
 
ThatManFromTexas's Avatar
 
Posts: 2,302 since Feb 2010
Thanks: 1,208 given, 4,281 received



Fat Tails View Post
I do have the inclination, but I currently don't have the time, as I am quite behind with a lot of other projects.

Somebody else to the front please!

You can try to ask @ThatManFromTexas. He still has plenty of time to supply us with excellent jokes, so he might have some time left to supply you with your indicator. Also I am sure that he particularly values my confidence in his capabilities.

I do have the time, but I currently don't have the inclination, as I am quite limited in my abilities.

@Fat Tails

Don't mislead folks like that... you know I am a glorified cut & paste script kiddie...

Somebody else to the front please!

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
Reply With Quote
     
The following user says Thank You to ThatManFromTexas for this post:
     

Reply



futures.io > Futures Trading, News, Charts and Platforms > Platforms and Indicators > TradeStation > EasyLanguage Programming > Volume level support and resistance (EasyLanguage)

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Al Brooks: Stop Losing when a Good Trade goes Bad, Correcting Mistakes

Elite only
 

Trading Technologies: ADL hands-on

Dec 13

Normal webinar schedule resumes after the holidays

January

Ernie Chan: Risk Management

Elite only

Dedicated Trading Servers: Advantages/Disadvantages w/sam028

Elite only

An Afternoon with FIO member Massive I

Elite only

Leo Murphy: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Support and Resistance tony2009 Traders Hideout 13 July 8th, 2011 07:12 PM
Novel way to find support and resistance verge The Elite Circle 18 September 9th, 2010 03:37 PM
Support Resistance Break emini_Holy_Grail Traders Hideout 3 June 4th, 2010 07:51 AM
Keepin' It Simple: Support and Resistance, Volume, Price Action pmccandless Traders Hideout 11 April 16th, 2010 08:05 PM


All times are GMT -4. The time now is 09:32 AM.

Copyright © 2016 by futures.io. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
 
no new posts
Page generated 2016-12-09 in 0.18 seconds with 20 queries on phoenix via your IP 54.166.89.187