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NT Vol Profile not lining up with Sierra


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NT Vol Profile not lining up with Sierra

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  #1 (permalink)
 MethylSeasons 
Toronto, Canada
 
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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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 Alexander Savin 
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Have you loaded the same historical data for both? Are the sessions the same?


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 rleplae 
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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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 MethylSeasons 
Toronto, Canada
 
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rleplae View Post
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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 rleplae 
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MethylSeasons View Post

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

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