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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
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Platform: Ninja
Trading: ES
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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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Have you loaded the same historical data for both? Are the sessions the same?
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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...
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.
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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.
Interesting. I wasn't aware of this. Think I'm just going to stick with Sierra then if there's is most reliable. Thanks for the clarification.
By the way which 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
Posts: 2,991 since Sep 2013
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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......
I mostly use the VP on today's and yesterday's period, not over a much larger period.
So i am not able to give a relevant answer to your question
Last Updated on December 25, 2016
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