How to Calculate Value Area in unbalanced market profile ?

permalink · September 6th, 2016, 07:48 AM

How one should calculate Values Area in unbalanced market profile ?

On balanced profile, method described in "Mind Over Markets"( where we move two levels up or down starting from POC) works very well.

But consider profile that contains Single Prints in middle.

Can following method/algo give better value area levels for any profile(balanced or unbalanced) ?

1.
resultVAL = POC;
resultVAH = POC:

2.
CurrentVolume = POCVolume

CurrentValIndex = POC - 1;
ValVolume = volume[CurrentValIndex-1];

CurrentVahIndex = POC + 1;
VahVolume = volume[CurrentVahIndex-1];

3.
while CurrentVolume < (70% of Total Volume)
{
if ValVolume > VahVolume:
{
CurrentVolume += ValVolume;
resultVAL = valIndex;

——valIndex;
valVolume = volume[vahIndex]; (new volume)

// This is idea I am suggesting where we also advance vahIndex
++vahIndex;
vahVolume += volume[vahIndex]; (cumulative volume)
}

else
{
CurrentVolume += VahVolume;
resultVAH = vahIndex;

++vahVolume;
vahVolume = volume[vahIndex];

// This is idea I am suggesting where we also advance valIndex
—valIndex;
vahVolume += volume[valIndex];
}
}

so in each iterations we advance both valIndex and vahIndex.

permalink · September 6th, 2016, 05:24 PM

There are several ways to do the calculation...

Few algorithms are documented in the dvalue indicator, but it's not using tick data, it's a proximation.

permalink · September 20th, 2016, 10:33 PM

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.

permalink · November 29th, 2016, 04:55 PM

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.

permalink · November 29th, 2016, 07:38 PM

Market profile is based on 30 minute timeframe increments.

Volume profile is based on volume.

It looks like you are using volume.

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).

How to Calculate Value Area in unbalanced market profile ?

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How to Calculate Value Area in unbalanced market profile ?