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Volume level support and resistance (EasyLanguage)
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.
Can you help answer these questions from other members on NexusFi?
Perhaps you misunderstood. I was merely extrapolating on the idea of key volume levels.
But thanks for your permission to do so.
I'm unclear as to how you can view my previous post as not being about key volume levels.
But no mind.
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.
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.
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
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.
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
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)...
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..
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.
