Platform: Sierra Chart, MarketDelta, MetaTrader, Proprietary
Favorite Futures: Oil, Russell, Forex
Posts: 6 since Jun 2015
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Hi. sameers, can you please elaborate on exactly what you are doing with your pseudo-code? I am not understanding exactly what you are suggesting. If you can exemplify I can try to develop an indicator for NT8 so we can test the results.
Value area calculation in an unbalanced market profile
I have come across what appears to be the same issue as I began writing code to implement a value area calculation. You could have a very low volume area creating an effective barrier between a point of control and any volume below the very low volume area. This barrier (think of the extreme case of 2 prices that traded 1 contract each) couldn't be breached regardless of how much volume was below until all prices to the high side had been exhausted.
I suspect that is a pretty rare case and if it occurs maybe you just have to live with it but it does seem problematic. I have considered skipping over the volume if it is arbitrarily low and it has "lost" several times in a row (say 4 times) to a higher price. However, that approach seems to be somewhat capricious. I have done quite a few searches (which brought me to this thread) but have not come across anything useful.
With respect to a double distribution with single prints in the middle, one of the two distributions will have more volume than the other.
So I would start at the vpoc and add rows above and below until the last row was hit. Then you have no choice but to take rows where they are available even if they eat all the single prints and eat into the other distribution(s).