Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Soultrader

Calculating Value Area

Recommended Posts

FYI - Volume at Price is available for download at the CMEGroup site for all futures products. It's in the middle of the page:

 

Volume & Open Interest

 

I extracted the ES contract and plotted the Volume at Price for the area above where we are currently trading. This is the Excel chart for the date range noted. It's also premium adjusted for the December contract. The inset chart is the area the bar graph represents.

5aa710371150a_VolumeatPrice.thumb.jpg.f4769b944026829ad45f91a6482f9948.jpg

Share this post


Link to post
Share on other sites

I´ve been looking at this value area, very interesting.

 

I have a VA Indicator in NinjaTrader, it calculates the VA and the POC... It works fine, cause I can actually check the figures with Larry Levins email, this confirmed it was using the same data formulas etc...

 

 

Can anyone answer me this..... What surprises me is that the VA will be different on a 1min - 5min - 30m chart... The 30min matches with Larry and I know thats what he uses, but I don´t understand why it would be different on a 1 - 5 - 30min chart ?

 

Its not time frame based in that respect, it measures the 70% volume based over the trading period 9:30am - 16:15pm EST, so how does changing the chart time setting effect it ? There is a setting for "calculate on bar close" but even setting that to True or False on all the time-frames doesn´t matter... Far as I can see it shouldn´t matter at all what time frame it is on to do the calculation as the calculation is based on the 09:30am to 16:15 close anyway, isn´t it. Anyone know why its different 1min, to 5min to 30min charts ?

 

It is only slightly different, a few cents... 60min chart makes it wildly different though... If I use a tick chart which isn´t time based at all then the values are different again between different calue charts, doesn´t make any sense to my tiny neewb brain... lol :crap:

Share this post


Link to post
Share on other sites

It is time based. With market profile, each price traded within a certain period gets allocated a TPO letter for that period once only no matter how much it trades during that period. The VA calculation is not simply 70% of the TPO (which btw in standard MP is just an approximation of volume).

 

 

This is a method used to calculate the value area.

 

Source: Mind over Markets

 

"First identify the price at which the greatest volume occurred. Then, sum the volumes occurring at the two prices directly above the high-volume price and compare it to the total volume of the two prices below the high-volume price. The dual price total with the highest volume becomes part of the value area. This process continues until 70% of the volume is reached."

 

The most important thing to realise in understanding the difference in value area when then timeframe is switched is that on a 1 min TF for example the price may span 20 ticks in a half hour period which would have a single TPO for each price, but price may have moved in one direction and stayed at the extreme of this move. So on the 1min, more TPO's would be generated at the extreme within the 30min period.

Share this post


Link to post
Share on other sites

Ok that makes sense in that respect yes... I can surely see the difference between why the 70% volume traded would be different over individual candles....... But, if you compared the volume traded over 30 x 1min candles, compared to 1 x 30m candle, would the 70% volume over the "collective 30 candles" be the same as the "singular 1 30m candle" ? (Assuming that the 30x1 and 1x30 started and ended at exactly the same time).

 

My point is that the Value Area is calculated between 09:30am and 16:15pm, where 70% is traded between those 6.75hours...The candle time period is irrelvent surely, the VA is defined by a static 6.75 hour period, not individual candles. Is that not right ?

 

Whether it is 1m or 30, or tick charts, or volume charts should not make a difference to where the 70% volume is traded over a 6.75 hour period, surely ?

 

Obviously I am still confused, sorry.

Share this post


Link to post
Share on other sites

If people are using standard market profile and they are referring to volume, they are not being strictly accurate in their description. A market profile TPO or print, is generated by any amount of trading at a price in a single time period. It does not depend of volume, but is used as an apporximation to volume given the likelihood that the longer the amount of time spent at a price the more volume that probably traded there. It doesn't matter though if within the time period you are looking at, a price trades 1 contract or 10,000 contracts, it will still only get a single TPO for that time period. When the next period comes around, a price can receive an additional TPO but again only once within the same time period.

 

If for example you are trading a product and it trades in a 30 period from a price of 100 to 200 in the first 1 min, then remains between 180 and 200 for the remaining 29 mins of the period oscillating up and down, this is what you would see using different profiles.

 

30min profile:- A line of single TPO prints.

 

1min profile:- A single line of TPO prints up to 180 then many more prints between 180-200.

 

This reflects the fact that prices from 100-180 only traded in a single period but prices between 180-200 traded in multiple different 1 min periods. The 30min profile covered only one single period so prices couldn't accumulate additional TPO prints.

 

 

Did you take a look at the CBOT MP manual?

 

http://www.cmegroup.com/education/interactive/marketprofile/handbook.pdf

Share this post


Link to post
Share on other sites

Im not talking about Market Profile strictly.

 

Im talking about the calculation of the value area which is the prices where 70% of the volume is traded during the session (ES) 09:30am and 16:15pm, I can only see the title of the FORUM as being "Calculating Value Area"...

 

Did you see my actual questions ? Guess you don´t know the answer which is fine... No problem. Thanks anyway.

 

Anyone else know the answer to my question ?

Share this post


Link to post
Share on other sites

Haha. Maybe listen? If you are looking at a market profile, there is a difference as volume is approximated by TPOs. If you are looking at a volume profile, there should be NO difference. If you are really looking at a volume profile, I would suggest going and looking at your indicator settings. In some I have seen, you need to manually set the VA type to Volume as it defaults to TPO. The indicator you have if it is from the forum may not have the option even to change the VA calculation method. Imo Ninja is not great for MP/volume profile.

 

Hope this helps.

Edited by TheNegotiator

Share this post


Link to post
Share on other sites
Haha. Maybe listen? If you are looking at a market profile, there is a difference as volume is approximated by TPOs. If you are looking at a volume profile, there should be NO difference. If you are really looking at a volume profile, I would suggest going and looking at your indicator settings. In some I have seen, you need to manually set the VA type to Volume as it defaults to TPO. The indicator you have if it is from the forum may not have the option even to change the VA calculation method. Imo Ninja is not great for MP/volume profile.

 

Hope this helps.

 

Ok, Thats exactly what I thought. I did find a setting in there earlier like you say, it can be changed from TPO to VOC (Volume on close?) - Even in the VOC mode though, there are still differences in the VA when you change from 1-5-30min charts. LOL.

 

Thanks for your help. Have a feeling that it´s a dodgy indicator. Going to try and contact the writer of it. Cheers.

Share this post


Link to post
Share on other sites

Hi SoulTrader,

apologize for my naive question: where / on which site do you find the data needed for calculating the Value area?

As you see I'm a newcomer to this and would appreciate your help on this

Kind regards. didi52:

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • TGT Target stock, watch for a breakdown at https://stockconsultant.com/?TGT
    • Big breakdowns on DOW ENPH FCEL LAZR and WFRD from Stocks to Watch short at https://stockconsultant.com/?WFRD  
    • LH Labcorp stock, nice top of range breakout, from Stocks to Watch at https://stockconsultant.com/?LH
    • Date: 04th March 2025. Tariffs and OPEC+ Drive Oil Prices Lower.   Crude Oil prices fell 0.70% on Tuesday declining closer to the asset’s main support level. OPEC’s latest announcement has been one of the main drivers of lower prices. OPEC, which produces 40% of the world’s Crude Oil, surprisingly has increased oil production. However, other economic factors are also triggering a lower demand. OPEC Increases Supply Pressuring Prices OPEC+ confirms it will increase production and market output in 2025 despite prices declining for six consecutive weeks. The move from OPEC is primarily driven by pressure from the US administration to not purposely look to lower production in order to keep prices high. OPEC+ will boost oil production by 138,000 barrels per day starting in April, causing crude prices to drop. The move has become possible with Russia expecting the Ukraine-Russia conflict to end in 2025 and the US’s more favourable approach towards Russia and Saudi Arabia. This marks the first of several monthly increases, aiming to restore 2.2 million barrels per day by 2026 after a two-year pause. The higher output will increase supply and can significantly change the balance between supply and demand. As a result, Crude Oil prices have fallen, particularly as economic data globally has taken a hit over the past month. Over the past six weeks, Crude Oil prices have fallen by more than 10%. However, the move by OPEC is related solely to the supply within the market. Simultaneously, trade wars are also worrying traders about how demand may change in the upcoming months.     US Turn Up The Heat on Trade Wars The US tariffs on Mexico and Canada are now officially active, taking the level of tariffs to its highest level since the 1980s. President Trump has also advised the US to add a further 10% tariff on China in addition to the 10% announced in January. As a result, experts believe the global economy is likely to witness shockwaves in the short to medium term. This can also be seen in the stock market which has fallen 5% over the past 3 weeks. The economic slowdown is catching up with rising inflation and tariffs which are put into place. Uncertainty over the Federal Reserve’s next moves is growing with some economists advising the Fed may be pressured into taking earlier. In response to the additional tariffs, China is vowing to take countermeasures to protect its producers. Warren Buffett called the tariffs an extra tax on people with little economic benefit. Weaker economic activity and a lower risk appetite within the market are known to pressure prices significantly. During the previous Trump administration and ‘trade tariff policy’ the price of Crude oil fell 13%. Crude Oil - Technical Analysis The price of Crude Oil in the longer term is obtaining indication the price may decline. On a monthly chart, the price forms a clear descending triangle which is known to hold a bearish bias. On the 2-hour chart, the price is also trading below the 75-bar Exponential Moving Average, below the VWAP and below the neutral areas of most oscillators. For this reason, momentum is indicating downward price movement. However, the main concern for bearish traders is the support level which is sitting at $66.70 per barrel. The support level is currently 1.50% points away from the current price. In order for sell signals to materialise in the short term, traders will be monitoring if the price can break below $67.69.     Key Takeaway Points: OPEC+ plans to boost production in 2025, aiming to restore 2.2 million barrels per day by 2026, pushing crude prices lower. The US imposes record-high tariffs on Mexico, Canada, and China, raising concerns about global economic stability and market declines. Crude Oil prices decline as a result. Rising tariffs and inflation add uncertainty, with economists speculating the Fed may act sooner than expected. Technical analysis shows a bearish trend, but the price of Crude Oil is also nearing the key support levels at $66.70 per barrel. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HFM Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Michalis Efthymiou HFMarkets Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • NET Cloudflare stock watch: After a pullback, it is holding at 144.69 support area with high trade quality at https://stockconsultant.com/?NET
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.