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NT Vol Profile not lining up with Sierra
Updated December 25, 2016
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NT Vol Profile not lining up with Sierra
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#1 (permalink
Toronto, Canada
Experience: None
Platform: Ninja
Trading: ES
Posts: 56 since Apr 2014
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I trade volume profile and have just made the switch from ninjatrader to sierratrader. However when looking at a bit larger time frame like 30 days or so, my profile levels are very different despite using the same chart settings and rollover (backadjusted). How do I know which chart is correct and which is wrong?
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#2 (permalink
Europe
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Platform: RTP, IRT
Trading: ZB, FGBL
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Have you loaded the same historical data for both? Are the sessions the same?futures.io
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#3 (permalink
Gits (Hooglede) Belgium
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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I have done quite a bit of research on this...volume profile (time based, averaged, ...)
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#4 (permalink
Toronto, Canada
Experience: None
Platform: Ninja
Trading: ES
Posts: 56 since Apr 2014
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rleplae
I have done quite a bit of research on this...
There are many different ways to calculate a
volume profile (time based, averaged, ...)
If you download the dvalue indicator (NT), then you can see the different options available,
all being a proxy and none of them being the 'exact' volume profile.
Sierra will take each trade at the price it happens.
While the difference is subtile, the difference is there
At the end i developed my own volume profile for NT, which now aproximates closely the sierra one.
contract do you find the most reliable when plotting longer term VP's? Backadjusted/nonbackadjusted/etc......
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#5 (permalink
Gits (Hooglede) Belgium
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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MethylSeasons
By the way which
contract do you find the most reliable when plotting longer term VP's? Backadjusted/nonbackadjusted/etc......
Last Updated on December 25, 2016
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