LS_Chad

I'm glad you brought this to my attention. I had intended to add this as an option to our VWAP indicator but never got around to it. I will do that today. But essentially, you'd just take the price minus the vwap and then divide by 1 standard deviation. You'll have to translate that to whatever program you're using. If it's I/RT, it will be available in 9.2 as a built-in option which should be available in the new week or two.

JJ, I think it's probably more likely that the tickbars themselves are responsible for any differences, rather than the VB indicator itself. It can be difficult to reproduce the same tickbars between two products, as many things can throw tickbar charts out of synch....just a single missing tick will cause the bars to be different. But the tickbars are also heavily reliant on where it chart started building the tickbars (at being of current session, 5 sessions ago, etc). If you want to do a true comparison of VB, comparing 1-min bars would probably be a better measure. The way we classify trades as buys or sells is pretty straightforward...if it trades at or above ask, it's a buy..at or below bid, it's a sell...and then there is some proprietary code for how we handle trades between bid and ask (which is also reliant on previous trades)...which could be coming into play here...although you shouldn't really see many trades between the bid and ask...and it's more likely due to the fact that you're comparing tickbars.

That's not in the initial design, but keep in mind you can display these volume profiles on any periodicity such as a "rangebar" or "volumebar" or "tickbars"....which are to some extent composites in and of themselves.

Yes. MD also.

No, it will be available in 9.2, which should be ready in next couple weeks (at least for beta testing).

Good timing on that question. I was just working on a new charting style for traditional charts called "Volume Profile" which draws any bar (of any periodicity) as a volume-at-price profile: http://www.charthub.com/images/2008/10/23/VolumeProfile_3.png With this in place, Investor/RT now stores within each bar, the volume at each price, and therefore will have access to it in order to do things such as draw a dot at volume POC on bars or candles. I'll see what I can do.

Investor/RT stamps tick-based periodicities (tickbars, volume bars, range bars, etc) with the time of the last tick that created the bar. Time-based periodicities (minute and second bars) are stamped with the ending time of each bar's period. So essentially, bars are stamped with the time they end. I'm sure we could argue both sides (and I have more than I'd like to), but this has always worked well for us. The few that have complained (because they were accustomed to stamping with the starting time) have quickly adapted and become comfortable with this method.

trade4life, Investor/RT offers bars built with any number of ticks, volume, or time (minutes and/or seconds)...as well as rangebars, changebars, Point & Figure and Renko bars. http://www.linnsoft.com/tutorials/periodicities.htm

Yes, forsearch, replay works just as well on custom instruments. Ticks are built on custom instruments any time a tick occurs on any component or components of the custom instrument. And those ticks take advantage of market playback just like any other symbol. Also, Investor/RT not only stores the bid and ask prices live, but it also captures and stores them when backfilling tick data from any of it's data sources (DTN IQFeed, eSignal, etc). So the market replay feature of Investor/RT does give you a true indication of the bid/ask prices at any given time. It also allows you to playback aspects of IRT that are dependant on bid/ask prices (like Volume Breakdown, delta coloring of MP charts, etc).

You can replay the tick data on this custom instrument, yes...on a chart of any timeframe. You could even plot an Market Profile chart of ES_CCI, or open a Time & Sales window on ES_CCI, etc. The custom instrument will build tick by tick live while data is flowing, from the time it is created. I/RT is unable to build historical data from tick data due to the nature of the custom instrument. Custom instruments based on prices (OHLC) or volume of one or more instrument, can generate historical data from the tick data of the component or components however.

A new option has been added to the Zig Zag Indicator to allow users to automatically draw fib levels at users specified percentages. Also, the user now has the option to "box" each leg of the zig zag. Here is an example of both in action:

OK, here is the CCI bars done as a custom instrument. I've setup a custom instrument/symbol, ES_CCI, which ticks every time the ES ticks, but ticks with a price of the current 5-min CCI value. In this way, not only can you plot the CCI as bars, but you can then apply any technical indicator to the CCI Bars. In this chart, I've added a 5 period MA to the CCI bars: Another interesting side effect of this approach....even though it's plotting the 5-min CCI, you could plot the ES_CCI bars in any periodicity. For instance, here they are plotting on a 1-minute data. Notice the jumps they take every 5 minutes as the CCI moves to a new window of bars:

Actually, you could plot the CCI (or any other indicator) in OHLC bar or candle format using a custom instrument (and a V# variable). I'll create one of these and let it run for a few hours this morning, and then post it with details.

Well, in order to draw OHLC bars, you have to have 4 values. The CCI indicator for instance only has one recorded value per bar. Internally, the high, low, and open of the CCI is not recorded. Now, since the open is essentially the previous value of CCI, it would be possible to draw CCI as an open/close bar. Now it is possibly to draw custom candlesticks using any 4 custom prices (custom indicators), but the high and low isn't accessible in this case. But here are a couple variations of CCI bars drawn with open/close candle bodies: http://www.charthub.com/images/2008/07/14/CCI_Bars.png

I agree with forsearch....that a tick from one data source is not necessarily equal to a tick from another data source. Some data services will often consolidate several "trades" into one "tick". For that reason, volume-bars might make more sense for grouping bars based on an activity-basis. Nonetheless, here are a couple examples: A 377 tickbar chart showing the amount of time in seconds spent within each bar: And here is a 1-minute chart plotting the number of trades in each minute: DTN seems to be sending about 500 ticks per minute on average on the ES. These calculations were made using the Volume Breakdown Indicator: http://www.linnsoft.com/tour/techind/vb.htm

Here's an hourly chart showing the average volumes of each hour (10 day). I've flagged the first bar of each week. About 450,000 contracts, on average, trade during the first hour of the session for the ES.

Another note on the feature I mentioned above to "compute the average volume or average range of time periods throughout the day." This can be applied to any time-based periodicity, including minute bars, or second bars. You can also do averages of the cumulative values (volumes, ranges, etc) for the session, at each bar through the session. You can see a good example below which shows the 10 day averaging of the cumulative volume (3rd pane). You can clearly see from the curve how the volume ramps up in the morning, levels off around lunchtime, and then ramps back up into the close. The 3rd pane shows the relative strength...how the cumulative volume of the day measured up at each bar compared to the average volume at that point for the previous 10 days. http://www.charthub.com/images/2008/07/13/VolumeAverages.png

Investor/RT plays back the ticks at any user specified rate. It will playback the ticks of a single symbol, or any group of symbols. All charts, time & sales, windows, quotepages, etc, will update just as it if you were watching the ticks come in live (including playing back the bid & ask changes, etc). The users specifies when the playback begins, and can play, pause, rewind and fast forward the playback with the playback toolbar buttons. You can pause the playback...add some indicators or notes to charts, the continue.

forsearch, I have now downloaded and taken a look at the API for open e cry. That could be in our near future but no guarantees. Take a look at this video on global playback: http://www.linnsoft.com/videos/playback/

We are on the verge of releasing 9.1 and I wanted to start highlighting some of the new features to look forward to. We should have a beta ready next week, possibly early in the week. I'll be adding to the list below over the coming days. 1) Support for the TransAct/Infinity platform. We are putting the finishing touches on the integration of Investor/RT and TransAct/Infinity data. We are excited about launching this combination in beta over the coming week. This should be a very powerful combination. 2) Ability to compute the average volume or average range of time periods throughout the day. Over the years I've had a number of request along the following lines: "Is there any way for me to compute the average volume of the first 5 minutes of the session over the last 10 session (50 session, etc). Then compute the avg volume of the 2nd 5-minute period, etc. And then be able to compare the volume of that period today with the average to get a relative strength. I've no added options to Session Statistics indicator to do this type of per-bar averaging, and to do it not only on volume, but range, change, and many other criteria. Below is an example: http://www.charthub.com/images/2008/07/11/BracketAverages_2 These are 30-minute bars/brackets, showing the average ranges and volumes over a 50 day period of each 30-minute bracket. The relative strengths are also included (dividing the current value by the average, then multiplying by 100). From this chart, you can clearly see, not surprisingly, that the first 30 minutes of the session carries the heaviest volume and largest range (on average), followed closely by the 2nd 30-minute period. 3) Cloning Trendlines and extending them into the future. Trendlines can now be easily cloned (duplicating the trendlines with those of same length and slope) and dragged so that the endpoints extend into the future (past the current bar). 4) Cumulative VWAP from any starting date/time We've added the ability to create cumulative VWAP lines beginning at any past date/time and going to present. These can be easily duplicated/dragged/dropped for quick positioning at extreme highs / lows. These are useful for creating support and resistance lines during uptrend and downtrends when drawn from extreme lows and highs respectively. 5) Market Profile custom TPO sequence Users may now specify their own sequence of TPOs instead of the standard ABCDEFGHIJKLMNPQ.... Users may specify not only letters, but numbers, or other characters such as +, -, $, #, etc. The sequence specified will be repeated if more there are more letters in the profile than specified. For instance, if a user specified simple "+" then "+" would be used over and over for each TPO. This new feature works well in conjunction with the ability to custom the color of each TPO. Here is an extreme example: http://www.charthub.com/images/2008/07/09/myMP_2 [...more details and features coming tomorrow....]

We will be adding TransAct/Infinity in the next release, yes. The work is very close to being completed on that and we're about ready to go with a beta. We don't have any immediate plans to support Open E Cry, but that is a likely candidate in the future.

Just a quick update on this box issue. I did make the enhancement to our Shape Indicator to provide an option of Width in "Time" as opposed to "Bars". I also did some additional tweaking internally which I won't bore you with the details....but the net result is that you'll have exactly what you're looking for in the next release. The box will envelope the same time period as you change between periodicities. In addition, for some time, users have been asking for an ability to clone trendlines and then place them where they want, including into the future (beyond the last/current bar). I have modified our trendline tool to accommodate this as well. I will put together some videos on how to accomplish both these tasks when the next release comes out.

MC, be sure to take advantage of the videos at www.linnsoft.com/videos, or use the Investor/RT Q&A section here if you get stuck.

Investor/RT is $59/mo with Market Profile activated.

gassah, Here is another tool available in both Investor/RT and MarketDelta called the Profile Indicator...that you might find useful. This chart shows a merged profile from 4/18/8 to present, overlaid with 30minute bars and daily profiles: http://www.charthub.com/images/2008/06/14/CompositeProfile.png There is a video on using the profile indicator at: http://www.linnsoft.com/tour/techind/profile.htm