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Volume level support and resistance (EasyLanguage)


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Volume level support and resistance (EasyLanguage)

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 Big Mike 
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I am still quite new at EL programming, so forgive me

This little indicator just plots some interesting support and resistance areas solely based on where the majority of volume took place. I use it on a 5 minute chart, and it looks like this:



You'll need a semi-wide right margin to see the text, or you can edit the indicator itself if you want to adjust that. d1..d5 just represents how many days back the line represents, I have it set to do a 5-day rolling action now.

All the lines are drawn ahead of time and do not change intraday. Decide for yourself it is useful or not. The code itself could use some refinement, I am sure. Please post enhancements!

 
Code
                            
inputs:
    
length ),
    
piv1c    white ),
    
piv2c    blue ),
    
piv3c    lightgray ),
    
piv4c    green ),
    
piv5c    magenta ),
    
pivstyle ),
    
textscale );
    
vars:
    
piv0    ),
    
piv1    ),
    
piv2    ),
    
piv3    ),
    
piv4    ),
    
piv5    ),
    
volph    ),
    
piv1id    ),
    
piv2id    ),
    
piv3id    ),
    
piv4id    ),
    
piv5id ),
    
piv1tid ),
    
piv2tid ),
    
piv3tid ),
    
piv4tid ),
    
piv5tid );
    
if 
date <> date[1then begin
    volph    
0;
    
piv5    piv4;
    
piv4    piv3;
    
piv3    piv2;
    
piv2    piv1;
    
piv1    piv0;
    
end;

    if 
date date[1then begin
        TL_Delete
(piv1id);
        
TL_Delete(piv2id);
        
TL_Delete(piv3id);
        
TL_Delete(piv4id);
        
TL_Delete(piv5id);
    
end;
    
    
piv1id TL_New(datesessionstarttime(01), piv1datesessionendtime(01), piv1);
    
piv2id TL_New(datesessionstarttime(01), piv2datesessionendtime(01), piv2);
    
piv3id TL_New(datesessionstarttime(01), piv3datesessionendtime(01), piv3);
    
piv4id TL_New(datesessionstarttime(01), piv4datesessionendtime(01), piv4);
    
piv5id TL_New(datesessionstarttime(01), piv5datesessionendtime(01), piv5);
    
    
TL_SetColor(piv1id,piv1c);
    
TL_SetColor(piv2id,piv2c);
    
TL_SetColor(piv3id,piv3c);
    
TL_SetColor(piv4id,piv4c);
    
TL_SetColor(piv5id,piv5c);
    
    
TL_SetStyle(piv1id,pivstyle);
    
TL_SetStyle(piv2id,pivstyle);
    
TL_SetStyle(piv3id,pivstyle);
    
TL_SetStyle(piv4id,pivstyle);
    
TL_SetStyle(piv5id,pivstyle);
    
    
Text_Delete(piv1tid);
    
Text_Delete(piv2tid);
    
Text_Delete(piv3tid);
    
Text_Delete(piv4tid);
    
Text_Delete(piv5tid);
    
    
piv1tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv1 - (textscale MinMove/PriceScale), "[ v-d1 ]");
    
piv2tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv2 - (textscale MinMove/PriceScale), "[ v-d2 ]");
    
piv3tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv3 - (textscale MinMove/PriceScale), "[ v-d3 ]");
    
piv4tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv4 - (textscale MinMove/PriceScale), "[ v-d4 ]");
    
piv5tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv5 - (textscale MinMove/PriceScale), "[ v-d5 ]");


// highest volume bar
if Average(Volumelength) > volph then begin
    volph     
Average(Volumelength);
    
piv0    XAverage(Closelength);
    
//PlotPaintBar(High,Low,Open,Close,"",Yellow);
end
Attached is the MultiCharts .pla.

Mike

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Register to download File Type: pla Volume Pivots.pla (8.2 KB, 233 views)
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 Big Mike 
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Here is another screen shot. Remember, the lines are drawn ahead of time and do not move. Here are the past 4 days showing examples of price coming right to the line and interacting with it. I am referring to the horizontal lines, the dashed moving average is an ema20.

Is it perfect? Of course not, nothing is. But it may prove useful, only time will tell.



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 Big Mike 
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Another day, and another example of the lines. Again the green and white lines for today were drawn immediately (bar1 of today) and did not change.

You could say the white line represented the cash close of prior day, but you'll see the green line for today worked equally as well... and it represented the line in the sand drawn 3 days prior (22nd), which was also retested 2 days prior (23rd).



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 chartman 
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Very interesting indicator.hope some talented programmers can convert it to ninja trader.very very nice and special indicator

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tbohle
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Quick Summary View Post
Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

Hi Big Mike,

The work you have done on the volume-level support/ resistance appeals to me as very useful and plausible. I have installed the code, yet I don't seem to any plots at all. It seems something is not set correctly. Are there any other dlls necessary to enable the above coding? I'd like to play with it and add some refinements after getting it to work. Thanks.

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 Big Mike 
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tbohle View Post
Hi Big Mike,

The work you have done on the volume-level support/ resistance appeals to me as very useful and plausible. I have installed the code, yet I don't seem to any plots at all. It seems something is not set correctly. Are there any other dlls necessary to enable the above coding? I'd like to play with it and add some refinements after getting it to work. Thanks.

No DLL's, all the code is above. But, I use MultiCharts and can't test it on TradeStation, which may be the problem.

Mike

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tbohle
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Big Mike View Post
No DLL's, all the code is above. But, I use MultiCharts and can't test it on TradeStation, which may be the problem.

Mike


Mike: "Highest Volume Bar" is coded-out above. What is the rationale? I don't think this would prevent the other lines from drawing, though. Just wanted to verify. Thx.

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 Big Mike 
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tbohle View Post
Mike: "Highest Volume Bar" is coded-out above. What is the rationale? I don't think this would prevent the other lines from drawing, though. Just wanted to verify. Thx.

It's just a comment line.

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 MooreTech 
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tbohle View Post
Hi Big Mike,

The work you have done on the volume-level support/ resistance appeals to me as very useful and plausible. I have installed the code, yet I don't seem to any plots at all. It seems something is not set correctly. Are there any other dlls necessary to enable the above coding? I'd like to play with it and add some refinements after getting it to work. Thanks.

tbohle,
Try the code below. TradeStation didn't like the way the original was handling the trendlines.

 
Code
                            
inputs:
    
length ),
    
piv1c    white ),
    
piv2c    blue ),
    
piv3c    lightgray ),
    
piv4c    green ),
    
piv5c    magenta ),
    
pivstyle ),
    
textscale );
    
vars:
    
piv0    ),
    
piv1    ),
    
piv2    ),
    
piv3    ),
    
piv4    ),
    
piv5    ),
    
volph    ),
    
piv1id    ),
    
piv2id    ),
    
piv3id    ),
    
piv4id    ),
    
piv5id ),
    
piv1tid ),
    
piv2tid ),
    
piv3tid ),
    
piv4tid ),
    
piv5tid );
    
if 
date <> date[1then begin
    volph    
0;
    
piv5    piv4;
    
piv4    piv3;
    
piv3    piv2;
    
piv2    piv1;
    
piv1    piv0;
    
    
piv1id TL_New(datesessionstarttime(01), piv1datesessionendtime(01), piv1);
    
piv2id TL_New(datesessionstarttime(01), piv2datesessionendtime(01), piv2);
    
piv3id TL_New(datesessionstarttime(01), piv3datesessionendtime(01), piv3);
    
piv4id TL_New(datesessionstarttime(01), piv4datesessionendtime(01), piv4);
    
piv5id TL_New(datesessionstarttime(01), piv5datesessionendtime(01), piv5);

    
TL_SetColor(piv1id,piv1c);
    
TL_SetColor(piv2id,piv2c);
    
TL_SetColor(piv3id,piv3c);
    
TL_SetColor(piv4id,piv4c);
    
TL_SetColor(piv5id,piv5c);
    
    
TL_SetStyle(piv1id,pivstyle);
    
TL_SetStyle(piv2id,pivstyle);
    
TL_SetStyle(piv3id,pivstyle);
    
TL_SetStyle(piv4id,pivstyle);
    
TL_SetStyle(piv5id,pivstyle);
    
    
piv1tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv1 - (textscale MinMove/PriceScale), "[ v-d1 ]");
    
piv2tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv2 - (textscale MinMove/PriceScale), "[ v-d2 ]");
    
piv3tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv3 - (textscale MinMove/PriceScale), "[ v-d3 ]");
    
piv4tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv4 - (textscale MinMove/PriceScale), "[ v-d4 ]");
    
piv5tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv5 - (textscale MinMove/PriceScale), "[ v-d5 ]");
    
end;

If 
piv1>0 then value1=tl_setend(piv1tid,date,Minlist(Time 30SessionEndTime(01) + 100),piv1);    
If 
piv2>0 then value1=tl_setend(piv2tid,date,Minlist(Time 30SessionEndTime(01) + 100),piv2);    
If 
piv3>0 then value1=tl_setend(piv3tid,date,Minlist(Time 30SessionEndTime(01) + 100),piv3);    
If 
piv4>0 then value1=tl_setend(piv4tid,date,Minlist(Time 30SessionEndTime(01) + 100),piv4);    
If 
piv5>0 then value1=tl_setend(piv5tid,date,Minlist(Time 30SessionEndTime(01) + 100),piv5);    

If 
piv1>0 then value1=Text_setlocation(piv1tid,d,minlist(time+30,sessionendtime(0,1)+100), piv1 - (textscale MinMove/PriceScale));    
If 
piv2>0 then value1=Text_setlocation(piv2tid,d,minlist(time+30,sessionendtime(0,1)+100), piv2 - (textscale MinMove/PriceScale));    
If 
piv3>0 then value1=Text_setlocation(piv3tid,d,minlist(time+30,sessionendtime(0,1)+100), piv3 - (textscale MinMove/PriceScale));    
If 
piv4>0 then value1=Text_setlocation(piv4tid,d,minlist(time+30,sessionendtime(0,1)+100), piv4 - (textscale MinMove/PriceScale));    
If 
piv5>0 then value1=Text_setlocation(piv5tid,d,minlist(time+30,sessionendtime(0,1)+100), piv5 - (textscale MinMove/PriceScale));    


// highest volume bar
if Average(Volumelength) > volph then begin
    volph     
Average(Volumelength);
    
piv0    XAverage(Closelength);
    
//PlotPaintBar(High,Low,Open,Close,"",Yellow);
end

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  #11 (permalink)
 energetic 
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Thanks, I am looking forward to seeing NT7 version of this useful indicator

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tbohle
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Hi MooreTech:

The trendlines show up now. Thank you. However, the older lines are not being removed. What am I doing wrong? Thanks for your help in advance.

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 Laurus12 
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Hello Mike,

I am trying to make the BTM Volume Pivots to work with tick count volume on spot fx, but it seems that it is not capable to do so. Is it possible to just change or add some lines to make it do so? I have just started learning EasyLanguage coding, so I am not there yet to do this myself.

It would be interesting to compare it with a Volume Pivot indicator for FXCM Marketscope 2.0 and see how they differ. The MarketScope version shows very good levels.

I have attached a picture from MarketScope which shows converging levels from the combination of 144 and 233 periods on two setups on a EURUSD 60min chart.

Thanks,
Laurus

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 eone 
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Laurus12 View Post
Hello Mike,

I am trying to make the BTM Volume Pivots to work with tick count volume on spot fx, but it seems that it is not capable to do so. Is it possible to just change or add some lines to make it do so? I have just started learning EasyLanguage coding, so I am not there yet to do this myself.

It would be interesting to compare it with a Volume Pivot indicator for FXCM Marketscope 2.0 and see how they differ. The MarketScope version shows very good levels.

I have attached a picture from MarketScope which shows converging levels from the combination of 144 and 233 periods on two setups on a EURUSD 60min chart.

Thanks,
Laurus


Hi,

Please can someone code this for NT7? Many thanks !!!!

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 Djinn 
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Hi Mike,

I was trying out this code you wrote and when placed on a chart in MC& i get the [v-d1] ect but no lines get ploted. any ideas of what might be wrong?

Thanks

Anish

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 bomberone1 
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Considering volume analisys could you upgrade these volume levels e r ?

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 Massive l 
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For FX you will need to find/program a code based on TPO instead of Volume Profile.

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 Fat Tails 
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eone View Post
Hi,

Please can someone code this for NT7? Many thanks !!!!


I think it can be easily converted to NT7. Will have a look.

@Big Mike: Have you found this to be useful in your trading?

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 Big Mike 
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Fat Tails View Post
I think it can be easily converted to NT7. Will have a look.

@Big Mike: Have you found this to be useful in your trading?

I don't use it but others do.

Mike

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 jefe 
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Definitely looking forward to this indicator for NT7 since I do this manually now and that would save plenty of time...Thanks to all working on this!
El Jefe

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 Fat Tails 
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I am still reluctant to code the indicator, as there seems to be a conceptual weakness. As fas as I have understood the indicator adds up the volume over a n-bar period and then attributes that volume no the n-bar exponential average over that same period. The value of the moving average which has collected the peak volume is elected as today's volume pivot.

Now if you use that indicator for CL on a larger time frame chart with a bar period > 15 min and a lookback period around 10, then the peak volume will always be around noon. So there is no more information. If you use that indicator on 1 min bars, the peak volume will mostly be found at the close of the RTH session, because the reported volume is added at that time.

This means that the indicator has a sweet spot, where it can be used, and that the lookback period of the volume and the EMA needs to be adjusted to the bar period to remain within this spot.

To be honest, I would rather use market profile, adding up TPO volume than use this volume proxy attributed to an exponential moving average. The point of control, the volume weighted average of the RTH session or even the floor pivot are probably more representative of value than the lines displayed by this indicator.

So, I am not really motivated to code this for NinjaTrader, unless somebody convinces me that it really can be used..

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 Laurus12 
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@Fat Tails.

I do not use it for the moment, but I think the Volume Pivots for FXCM Marketscope works pretty good. Maybe you could get something out of it. I am not sure what programming language it is based on, but is in .lua format. It is Apprentice over at Fxcodebase.com who have made it. Direct link. For example in the thread they discuss making calculations based on sessions rather than amount of bars. The picture in my previous post in this thread shows it with more levels.

I have attached the code in .txt.

Laurus

“If you wish to see the truth, then hold no opinions for or against anything.” - Hsin Hsin Ming
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 Fat Tails 
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Laurus12 View Post
@Fat Tails.

I do not use it for the moment, but I think the Volume Pivots for FXCM Marketscope works pretty good. Maybe you could get something out of it. I am not sure what programming language it is based on, but is in .lua format. It is Apprentice over at Fxcodebase.com who have made it. Direct link. For example in the thread they discuss making calculations based on sessions rather than amount of bars. The picture in my previous post in this thread shows it with more levels.

I have attached the code in .txt.

Laurus

But the question is still unanswered, how to use this in your trading.

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 Laurus12 
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Fat Tails View Post
But the question is still unanswered, how to use this in your trading.

One can use it for knowing where support and resistance of more significant degree is. For example as in where the "smart money" are making support and resistance. One can then choose to enter or exit a position based on if price respects or disrespects the levels. For example on retests. This is how I have interpreted it.

Laurus

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 jefe 
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Fat Tails,
How long would it take you to code this bad boy? Sure would be an interesting indicator...not sure whether it will work as expected but I'd love to see it and test it out.
(also, was thinking about this...the lines could be thicker the bigger the HVN or Darker to give a better idea of how much strength that S or R might have)
Jefe

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 bomberone1 
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Is it possible draw a line of different size thta depend of how much volumes is it exchange for each level?
So at first look is it possible understant a good level of support and resistance.

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 Fat Tails 
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jefe View Post
Fat Tails,
How long would it take you to code this bad boy? Sure would be an interesting indicator...not sure whether it will work as expected but I'd love to see it and test it out.
(also, was thinking about this...the lines could be thicker the bigger the HVN or Darker to give a better idea of how much strength that S or R might have)
Jefe

As I said, this indicator has serious shortcomings, as its use is more or less limited to 5 minute charts. It will not work correctly on 1 min charts (always picks the close), and will not work on 30 min charts (always picks the middle of the day), so I won't probably code it. I have not heard of anybody using this indicator for his (successful) trading. If there is anybody, please come out and show how it can be used.

I do not want to spend my time, coding something which in the end will be useless. There are already good indicators around, which identify the mode of the RTH session, such as

- the dValue indicator (see download section of the forum)
- Fin-Alg commercial indicator, which allows to plot a market profile

I am rather sure that these indicators are better, so I am not eager to put an effort into something with a limited perspective.

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 zt379 
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Big Mike View Post

This little indicator just plots some interesting support and resistance areas solely based on where the majority of volume took place. I use it on a 5 minute chart.....

........just represents how many days back the line represents, I have it set to do a 5-day rolling action now.

All the lines are drawn ahead of time and do not change intraday. .....


Fat Tails View Post
I am still reluctant to code the indicator, as there seems to be a conceptual weakness. As fas as I have understood the indicator adds up the volume over a n-bar period and then attributes that volume no the n-bar exponential average over that same period. The value of the moving average which has collected the peak volume is elected as today's volume pivot.

Now if you use that indicator for CL on a larger time frame chart with a bar period > 15 min and a lookback period around 10, then the peak volume will always be around noon. So there is no more information. If you use that indicator on 1 min bars, the peak volume will mostly be found at the close of the RTH session, because the reported volume is added at that time.

This means that the indicator has a sweet spot, where it can be used, and that the lookback period of the volume and the EMA needs to be adjusted to the bar period to remain within this spot.

To be honest, I would rather use market profile, adding up TPO volume than use this volume proxy attributed to an exponential moving average. The point of control, the volume weighted average of the RTH session or even the floor pivot are probably more representative of value than the lines displayed by this indicator.

So, I am not really motivated to code this for NinjaTrader, unless somebody convinces me that it really can be used..

Hello Fat Tails.
I'm very interested in this for NT.
In advance of explaining why, and to avoid wasting your valued efforts and
to be sure I understand what's being discussed here,
Big Mike's first post appears to me to be referring to a POC over a selectable number of days ?
(and that that number of days is "rolling").

If I've understood this correctly, is there any reason why you refer to an exponential average of that volume ?
(as per red text in your quote above).

It may well be part of the EL code (which I am ignorant of).
Apologies if it is.

If it is part of the EL code would it appeal to you to work on this without
having that exponential average criteria ?

Many thx

.

"Every moment I wake up I realize I know nothing, and then I smile..." zt379
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 Fat Tails 
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zt379 View Post
Hello Fat Tails.
I'm very interested in this for NT.
In advance of explaining why, and to avoid wasting your valued efforts and
to be sure I understand what's being discussed here,
Big Mike's first post appears to me to be referring to a POC over a selectable number of days ?
(and that that number of days is "rolling").

If I've understood this correctly, is there any reason why you're refer to an exponential average of that volume ?
(as per red text in your quote above).

It may well be part of the EL code (which I am ignorant of).
Apologies if it is.

If it is part of the EL code would it appeal to you to work on this without
having that exponential average criteria ?

Many thx

.

I did not mention an exponential average of the volume. The indicator adds up the volume over n bars, calculates a simple average of that volume and then attributes that volume to the price level, which is obtained as the exponential moving average over that n bar period.

So what you get doing this is a price volume histogram very similar to a volume based market profile. However the price levels are not made up of all ticks which are included within the daily range, but they are made up of all values the EMA has taken during the day. Then it is not the volume which traded at any price level, which is attributed, but it is the cumulated volume of the prior n-bars, which is taken as a proxy.

Let us say the indicator determines the mode of a price volume distribution calculated from n bar rolling market profiles, with the EMA of the n bar rolling profile used as a proxy for the point of control.

It is a poor man's market profile and will probably not get the expected results. Again there are better options. You can take

- the VWAP of each of the prior five sessions as a proxy for volume
- the point of control calculated from TPOs

and will have more robust values than those calculated here.

There is an example how to use VWAPs here, the concept is pretty similar to this indicator, but probably more effective.

Anchored VWAP Bands | The Precision Report

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 zt379 
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Fat Tails View Post
I did not mention an exponential average of the volume. The indicator adds up the volume over n bars, calculates a simple average of that volume and then attributes that volume to the price level, which is obtained as the exponential moving average over that n bar period.

So what you get doing this is a price volume histogram very similar to a volume based market profile. However the price levels are not made up of all ticks which are included within the daily range, but they are made up of all values the EMA has taken during the day. Then it is not the volume which traded at any price level, which is attributed, but it is the cumulated volume of the prior n-bars, which is taken as a proxy.

Let us say the indicator determines the mode of a price volume distribution calculated from n bar rolling market profiles, with the EMA of the n bar rolling profile used as a proxy for the point of control.

It is a poor man's market profile and will probably not get the expected results. Again there are better options. You can take

- the VWAP of each of the prior five sessions as a proxy for volume
- the point of control calculated from TPOs

and will have more robust values than those calculated here.

There is an example how to use VWAPs here, the concept is pretty similar to this indicator, but probably more effective.

Anchored VWAP Bands | The Precision Report

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.


Post#8

zt379 View Post
I started this thread on Ninja forum a while ago which may be of interest.
Volume Levels - NinjaTrader Support Forum

I wasn't able to get anyone to convert the MT4 indicator that VolumeTrader had made.
Hope the thread is self explanatory and may help.

trading-evolution &bull; ???????? ?? ???????. Trading forex and futures using volume data

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

"Every moment I wake up I realize I know nothing, and then I smile..." zt379
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 Fat Tails 
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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.


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.

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 zt379 
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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..." zt379
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 Fat Tails 
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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,

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 zt379 
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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..." zt379
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 Fat Tails 
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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.

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 viki 
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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 ?

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 trendisyourfriend 
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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)...

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 zt379 
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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..." zt379
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 Fat Tails 
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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.

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 ThatManFromTexas 
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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!"
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  #41 (permalink)
Rock Sexton
Scottsdale
 
 
Posts: 120 since Feb 2012
Thanks: 33 given, 96 received


Big Mike View Post
I am still quite new at EL programming, so forgive me

This little indicator just plots some interesting support and resistance areas solely based on where the majority of volume took place. I use it on a 5 minute chart, and it looks like this:



You'll need a semi-wide right margin to see the text, or you can edit the indicator itself if you want to adjust that. d1..d5 just represents how many days back the line represents, I have it set to do a 5-day rolling action now.

All the lines are drawn ahead of time and do not change intraday. Decide for yourself it is useful or not. The code itself could use some refinement, I am sure. Please post enhancements!

 
Code
                            
inputs:
    
length ),
    
piv1c    white ),
    
piv2c    blue ),
    
piv3c    lightgray ),
    
piv4c    green ),
    
piv5c    magenta ),
    
pivstyle ),
    
textscale );
    
vars:
    
piv0    ),
    
piv1    ),
    
piv2    ),
    
piv3    ),
    
piv4    ),
    
piv5    ),
    
volph    ),
    
piv1id    ),
    
piv2id    ),
    
piv3id    ),
    
piv4id    ),
    
piv5id ),
    
piv1tid ),
    
piv2tid ),
    
piv3tid ),
    
piv4tid ),
    
piv5tid );
    
if 
date <> date[1then begin
    volph    
0;
    
piv5    piv4;
    
piv4    piv3;
    
piv3    piv2;
    
piv2    piv1;
    
piv1    piv0;
    
end;

    if 
date date[1then begin
        TL_Delete
(piv1id);
        
TL_Delete(piv2id);
        
TL_Delete(piv3id);
        
TL_Delete(piv4id);
        
TL_Delete(piv5id);
    
end;
    
    
piv1id TL_New(datesessionstarttime(01), piv1datesessionendtime(01), piv1);
    
piv2id TL_New(datesessionstarttime(01), piv2datesessionendtime(01), piv2);
    
piv3id TL_New(datesessionstarttime(01), piv3datesessionendtime(01), piv3);
    
piv4id TL_New(datesessionstarttime(01), piv4datesessionendtime(01), piv4);
    
piv5id TL_New(datesessionstarttime(01), piv5datesessionendtime(01), piv5);
    
    
TL_SetColor(piv1id,piv1c);
    
TL_SetColor(piv2id,piv2c);
    
TL_SetColor(piv3id,piv3c);
    
TL_SetColor(piv4id,piv4c);
    
TL_SetColor(piv5id,piv5c);
    
    
TL_SetStyle(piv1id,pivstyle);
    
TL_SetStyle(piv2id,pivstyle);
    
TL_SetStyle(piv3id,pivstyle);
    
TL_SetStyle(piv4id,pivstyle);
    
TL_SetStyle(piv5id,pivstyle);
    
    
Text_Delete(piv1tid);
    
Text_Delete(piv2tid);
    
Text_Delete(piv3tid);
    
Text_Delete(piv4tid);
    
Text_Delete(piv5tid);
    
    
piv1tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv1 - (textscale MinMove/PriceScale), "[ v-d1 ]");
    
piv2tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv2 - (textscale MinMove/PriceScale), "[ v-d2 ]");
    
piv3tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv3 - (textscale MinMove/PriceScale), "[ v-d3 ]");
    
piv4tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv4 - (textscale MinMove/PriceScale), "[ v-d4 ]");
    
piv5tid Text_New(dateMinlist(Time 30SessionEndTime(01) + 100), piv5 - (textscale MinMove/PriceScale), "[ v-d5 ]");


// highest volume bar
if Average(Volumelength) > volph then begin
    volph     
Average(Volumelength);
    
piv0    XAverage(Closelength);
    
//PlotPaintBar(High,Low,Open,Close,"",Yellow);
end
Attached is the MultiCharts .pla.

Mike


Is there anyone who's coded this for Tradestation? I literally know next to nothing when coding an indicator, but I am a huge proponent of using volume points of control and would kill to have something that plots them on my charts. The code provided doesn't seem to plot anything, it's just blank when I use it.

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  #42 (permalink)
 bomberone1 
London
 
Experience: Beginner
Platform: MultiCharts
 
Posts: 240 since Nov 2010
Thanks: 10 given, 23 received

DO someone inlud the 3 basic value of Volume Profile Analysis: VPOC, VHvol,VLvol, also for the past days?

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  #43 (permalink)
1irst48
Dallas Texas
 
 
Posts: 1 since Apr 2021
Thanks: 0 given, 0 received

Was this ever able to work on tradestation?

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futures io Trading Community Platforms and Indicators EasyLanguage Programming > Volume level support and resistance (EasyLanguage)


Last Updated on May 4, 2021


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