Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
What was ES Value Area on the 2010-11-01 (YYYYMMDD)
I think there is a number of different options to calculate the value area.
Definition
Which percentage of volume should be included in the value area. What session do you refer to, the ETH or RTH session, in particular do you include pre-session news volume? Also do you base the value area on TPOs or volume weighted TPOs?
Resolution
For accurate results, you want to use a higher resolution than 30 minute bars - by using a second data series - to calculate the value area.
Example
Below is one of my old templates using the dValueArea indicator, probably not the latest version. I have typically set the start time at 6:00 AM Est to catch the pre-opening news volume. Then use 67% of TPOs to catch the value area. The chart is a 30 min chart, but the resolution for the TPOs is set to 2 min.
The results are different, if I set the indicator to TPO or volume weighted TPO:
As mentioned in the first post it was for the RTH session. Absolutly ridiculous all these differences. I used TPO's to calculate valuea area. I think only Linnsoft was right. Would be curious to know what these values were for someone using Market Delta.
The reason i want to get correct values is because i look at Yest. Value Area to go short or long but since my values were completly off i missed this trade this morning:
The difference does not come from the RTH session. I checked it.
The difference may come from
- the resolution (very important)
- the definition of the value area (volume based or calculated from the standard deviation)
- the implementation of the formula
There is no right or wrong solution.
First of all, just taking TPOs does not make sense. It was an approximation that was used, when the information on volume was not readily available. To determine a value area, you want to know where the volume was, so you need to take the VWTPO.
This is comparable to the benchmark for institutional investors. It is not the TWAP, but the VWAP.
Then you need to make sure that you have a high resolution. If you just take 30 min TPOs, they are really inaccurate. Not only you ignore the volume of each bar, you also assume an even volume distribution within each bar, which is definitely false. So 30 min TPOs are really a "garbage in - garbage out" approach.
Also, why do you want to take the RTH session? The volume traded prior to the open on new events, is that no volume?
I can partly reproduce the bad results: If I only take 30 min TPOs to calculate the value ares, then I get
That's not my experience so far on the ES. You can expect a bounce off some of the key levels MP provide depending upon the rotational factor and whether or not we have range extention or not or if we are trading within previous day area or not. Ledges are best represented by a TPO profile than a volume profile as well as singles. All these little details you can't see on a candlestick chart. The need for a higher resolution is really not needed to get an edge and be profitable. You want to see what the majority using MP are looking at. With MP and using TPO's you can place your trade on the edge of any ledge much more accurately than with any other indicator.
It works as the pivots, which means it is a sort of self-fulfilling prophecy. If many use the same method, it will work anyhow.
What exactly is the method used by Market Delta? Do they use volume percentage or standard deviations? Do the use TPOs? Which is their resolution? What is the volume percentage, if applicable.
If we know the method, we can easily build that animal for NinjaTrader.
By resolution i suppose you mean the interval of the chart where MP is applied. Big institutions use the 30min interval. That's the original interval and i don't think there is any need to change that interval for something that is faster. I never felt that need.
Regarding MP on Market Delta. You need to know that Market Delta is an offspring of I/RT from Linnsoft. They are comparable. The only difference is that Market Delta offers a footprint and put more emphasis on volume analysis. But both MP's are similar.
@trendisyourfriend, don't know what indicator do u use on NT, but I think the difference u get is due to the difference on how the indicator make the calc. IRT and MD use tick, NT indicators usually use the same timeframe of chart where u use them, so is an approximation, and lower is timeframe more is accurate. U maybe can try Fin-Alg market profile that is able to use tick for calcs.
