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Volume profile data


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Volume profile data

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  #1 (permalink)
Montreal Canada
 
 
Posts: 1 since Oct 2020
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Is the IB data ok for volume profile? I hear a lot of people advising against it but why specifically?

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Raleigh, NC
 
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Platform: iQ Discover
Trading: ES, NQ, TF, YM, CL, GC
 
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Hi Boreale,

I haven't used IB data so I can not confirm if it is or isn't good for VP but typically when someone refers to data not being good for volume profile it is usually due to it not being tick data. When it is not tick data the provider often aggregates the data over the timeframe you are looking at instead of where the trades actually took place. When this happens you will notice things like VPOCs being in at different prices for the day depending on the timeframe of the chart you are use.. For example a 1 min chart may show the vpoc at 3526 but if you change it to a 30 min chart the vpoc may show 3533. Those values should not change since it is referring to the price with the most volume traded for the session.

This chart is not using IB data, it is TOS, but it illustrates the problem. The VPOCs are at different prices depending on the periodicity used for the chart. I've circled the VPOC value in the header of the chart which is showing today's trading.




2020-10-12_16-08-39

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