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Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
Yeah, I'm pretty sure TOS' data is filtered which could be the reason for slightly different levels. Nothing too drastic though. I would imagine the greater you increase the look back days, the greater the difference in levels. Still pretty interesting though. Thanks for comparing them though.
I've noticed a lot of people using volume profile but different data feed will probably provide slightly different results. I'm guessing this will be similar to how people always get different daily pivot levels.
I run TOS and Rithmic/Ninja, I have been testing different MP's and Vwaps recently. I ve seen about a tick difference in plotted values with I compare POC VAH and Lows to price. Meaning price is 1 tick to two ticks higher or lower from Ninja to TOS. This is with small times frames 5/15
Also @Private Banker which MP are you using with Ninja, Gomi??? if you dont mind sharing...Thx R
I'm finally making some time to play more with TOS's MB's, TPO and Volume Profile (VP). I get the sense that I will need to note very carefully what each is depicting as it's a bit confusing...
How are TOS's VP and TPO different? Here they are next to each other. The POC's are the same as is the VA. The volume peaks are different though, and I'm not sure why...
TPO is time price opportunity and volume profile is only volume.
One is time based and the other is volume. The are very similar,
but not the same thing. I recommend picking 1 (i'm biased towards volume)
and sticking to it.
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
I prefer to watch the volume profile when set to the side of my charts as you can see areas of interest and rejection based on transactions vs. the time spent at that level. On a shorter period, I would imagine the time vs. volume profile may look similar but as you extend out the look back period, the difference is probably greater. As for time based profiles, keep an eye on the Monkey Bars which is essentially just the traditional Market Profile (TPO) chart.
If you plan to look at volume profile, make sure to either look at the current day's volume profile in addition to a long period of previous volume by creating a volume composite. You would probably need to go pretty far back based on where price is currently to see how the volume was in the past. Not sure if TOS' proprietary volume profile indicator works well with that. If not, take a look at the link I provided a few days ago for a different volume profile indicator for TOS. One thing I don't understand is, it appears that TOS has reduced the data history amount available for ES. Anyone else notice that?
I have a 3 day (30 min) and a 20 day (2 hr) for the short and longer term views of the ES. My current focus for VP is with futures. That said, I'm eager to try this approach with my stock & option plays as well....
Here's what I have now.
Maybe I should have a 1 day view instead of the 3 day... I'll give it a try. OnDemand is not working for me now. Was hoping to trade the market open on from a day last week.
TOS is not a good choice for volume profile. Their data is not based on tick data so it is not accurate and will mislead you. IF you want to trade VP best to go to IRT
