What was ES Value Area on the 2010-11-01 (YYYYMMDD) - futures io
futures io futures trading



What was ES Value Area on the 2010-11-01 (YYYYMMDD)


Discussion in Emini and Emicro Index

Updated by trendisyourfriend
    1. trending_up 13,406 views
    2. thumb_up 8 thanks given
    3. group 1 followers
    1. forum 25 replies
    2. attach_file 5 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • 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 and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

What was ES Value Area on the 2010-11-01 (YYYYMMDD)

(login for full post details)
  #1 (permalink)
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,878 since Oct 2009
Thanks: 3,508 given, 4,952 received

For validation purpose i need to compare my values with others. What is the Value Area (using TPO) for November 1, 2010 on the ES RTH.

I have these values:

Using a free MP tool on Ninja:
VAH: 1188,75
POC: 1183,25
VAL: 1178,25

Using a I/RT from linnsoft:
VAH: 1191,25
POC: 1183,25
VAL: 1181,25

Just trying to figure out what caused these differences considering i used TPO in both cases ?

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

Can you help answer these questions
from other members on futures io?
Volume Chart Trend Lines
TradeStation
Chart text fixed and move with time
NinjaTrader
Scan by comparing SMAs within 5 mins
ThinkOrSwim
Cumulative Bid/Ask Chart resets after 2Billion
MultiCharts
TOS script
ThinkOrSwim
 
 
(login for full post details)
  #2 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,830 since Mar 2010
Thanks: 4,237 given, 26,549 received

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:

TPO (1st chart)

VAH: 1187.75
POC: 1185.25
VAL 1181.50

VWTPO (2nd chart)

VAH: 1191.50
POC: 1185.00
VAL: 1182.75

Both values are quite different form yours. Even if I restrict the calculations to the RTH session, my results are completely off.

Attached Thumbnails
Click image for larger version

Name:	TPO.jpg
Views:	70
Size:	111.0 KB
ID:	25081   Click image for larger version

Name:	VWTPO.jpg
Views:	49
Size:	114.4 KB
ID:	25083  
Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #3 (permalink)
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,878 since Oct 2009
Thanks: 3,508 given, 4,952 received



Fat Tails View Post

The results are different, if I set the indicator to TPO or volume weighted TPO:

TPO (1st chart)

VAH: 1187.75
POC: 1185.25
VAL 1181.50

VWTPO (2nd chart)

VAH: 1191.50
POC: 1185.00
VAL: 1182.75

Both values are quite different form yours. Even if I restrict the calculations to the RTH session, my results are completely off.

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.

Reply With Quote
 
(login for full post details)
  #4 (permalink)
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,878 since Oct 2009
Thanks: 3,508 given, 4,952 received

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:

Attached Thumbnails
Click image for larger version

Name:	MP_VAH.jpg
Views:	58
Size:	88.7 KB
ID:	25096  
Reply With Quote
 
(login for full post details)
  #5 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,830 since Mar 2010
Thanks: 4,237 given, 26,549 received


trendisyourfriend View Post
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 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

VAH 1188.25
POC 1183.25
VAL 1178.75

Note how the bad resolution shifted the point of control about 2 points. Chart attached.

Attached Thumbnails
Click image for larger version

Name:	TPO 30.jpg
Views:	42
Size:	122.1 KB
ID:	25101  
Reply With Quote
 
(login for full post details)
  #6 (permalink)
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,878 since Oct 2009
Thanks: 3,508 given, 4,952 received

I got Market Delta numbers for yesterday (RTH and TPO's)

VAH: 1191.25
POC: 1183.25
VAL: 1181.25

Those values matche those of I/RT while Ninja were completly off the mark except for the POC.

Reply With Quote
 
(login for full post details)
  #7 (permalink)
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,878 since Oct 2009
Thanks: 3,508 given, 4,952 received


Fat Tails View Post
...
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.
...

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.

Reply With Quote
 
(login for full post details)
  #8 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,830 since Mar 2010
Thanks: 4,237 given, 26,549 received


trendisyourfriend View Post
I got Market Delta numbers for yesterday (RTH and TPO's)

VAH: 1191.25
POC: 1183.25
VAL: 1181.25

Those values matche those of I/RT while Ninja were completly off the mark except for the POC.


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.

Reply With Quote
 
(login for full post details)
  #9 (permalink)
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,878 since Oct 2009
Thanks: 3,508 given, 4,952 received


Fat Tails View Post
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.

Reply With Quote
 
(login for full post details)
  #10 (permalink)
Italy (IT)
 
Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker: Rithmic
Trading: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
Thanks: 408 given, 982 received


@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.

Take your Pips, go out and Live.
Luke.
Reply With Quote


futures io Trading Community Traders Hideout Emini and Emicro Index > What was ES Value Area on the 2010-11-01 (YYYYMMDD)


November 6, 2010


Upcoming Webinars and Events
 

Introducing Edge Pools: Prop Pricing Model w/Edge Clear

Jul 9
 

Every journal equals ten meals for the hungry

Now
     



Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@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