Charts with Volume by Price

[bertg 10]

Hi,

 

Is there a charting package or website, free or fee-based, that allows me to drill down to a particular day and see Volume by Price.

 

For the current day, thanks to dbphoenix, I found out about and use bigcharts, which is free and does have VbP.

 

But, say I want to go back 3 or 6 months and want to see VbP for one day. Can I?

 

Thank you,

Bert

[OAC 10]

NinjaTrader 6.5 which is free. If you don't have one of the datafeed that is compatible, you can open an account with Opentick which is also free for their historical data.

[DbPhoenix 42]

Under Time Frame, just click Time, then Custom.

[bertg 10]

NinjaTrader 6.5 which is free. If you don't have one of the datafeed that is compatible, you can open an account with Opentick which is also free for their historical data.

 

Thanks, OAC.

 

I have NT 6.5. As far as I know, the canned indicator that comes with it for VbP only plots with live data or market replay data.

 

Regards,

Bert

[bertg 10]

Under Time Frame, just click Time, then Custom.

 

Thank you, DB. I tried it and it works for 'daily' time frame. Unfortunately, for intra-day time frames, it can only look back up to 15 days.

 

Very useful.

 

Regards,

Bert

[OAC 10]

Thanks, OAC.

 

I have NT 6.5. As far as I know, the canned indicator that comes with it for VbP only plots with live data or market replay data.

 

Regards,

Bert

 

There are 2 canned indicators, one is Volume Profile which only read real-time data because it also differetiate volume at the bid and volume at the ask.

The other one is the Volume Zone which reads historical data, only thing I am not sure Whether it only gives you a cumulative volume over a number of days or just a single day as you have requested. You may have to go to the NinjaTrader Forum and find out if you can do a minor modification if needed.

[LS_Chad 10]

You would need tick data to get true Volume at Price historically. However, since it's much easier to get 1 minute data for a extended historical period, the Profile Indicator in Investor/RT can take the 1-minute bars and allot the volume of each 1-min bar equally among the prices touched within that bar....resulting in historical volume profiles similar to that seen in the chart below.

 

http://www.charthub.com/images/2008/05/27/HistoricalVolumeAtPrice.png

 

 

You can view more volume-driven functionality of Investor/RT in this video:

http://www.linnsoft.com/videos/volumeVolume/

 

And view a video on the Profile Indicator here:

http://www.linnsoft.com/videos/profileIndicator/

[jperl 11]

Hi,

 

Is there a charting package or website, free or fee-based, that allows me to drill down to a particular day and see Volume by Price.

 

For the current day, thanks to dbphoenix, I found out about and use bigcharts, which is free and does have VbP.

 

But, say I want to go back 3 or 6 months and want to see VbP for one day. Can I?

 

Thank you,

Bert

 

You can see volume by price for any historical day in EnsignSoftware charts.

JERRY

[OAC 10]

You can see volume by price for any historical day in EnsignSoftware charts.

JERRY

 

Jerry:

Can Ensign do a composite or merged profile for a number of periods either daily or intraday ?

 

Thanks

[Kiwi 16]

You can do multiple periods with Sierra chart ... Here's 3 day vps on a 15minute chart (the blue bars are overnight, green & pink are up & down.

 

.

[jperl 11]

Jerry:

Can Ensign do a composite or merged profile for a number of periods either daily or intraday ?

 

Thanks

 

Yes, no problem. For example, if you display a two day chart with 5 minute bars, you can show the volume by price for each day or combined. If you trade intraday you can show a volume by price for any time period you like.

For example, I like to display a 10 second chart (chart with 10 second bars), and display a new volume by price every 15 minutes. In essence this allows you to see the volume distribution function for 15 minute bars.

[lj2500 10]

JPERL, for the trading with statistics videos, when you are using the volume by price, do you just use the default settings for it? For futures, it seems to me the volume is calculated from the globex open at 4:15. From you videos, it looks like you start to calc your vwap (your version) at 9:30 open or so...so is your volume by price based on this starting time as well?

[jperl 11]

JPERL, for the trading with statistics videos, when you are using the volume by price, do you just use the default settings for it? For futures, it seems to me the volume is calculated from the globex open at 4:15. From you videos, it looks like you start to calc your vwap (your version) at 9:30 open or so...so is your volume by price based on this starting time as well?

 

I start to compute the vwap from the 9:30 open. If you use the built in vwap in ensign, you can start it at the 9:30 open by clicking the restart @DSO button on the right column of the property sheet. The volume histogram also starts at the 9:30 open.

[lj2500 10]

One other question, for volume histogram FORMULA, are you using the VOLUME setting or the PRICE setting. I am 99% sure it is the volume setting in ensign. I don't think we want price but just want to make sure before I start training myself on these indicators.

[jperl 11]

One other question, for volume histogram FORMULA, are you using the VOLUME setting or the PRICE setting. I am 99% sure it is the volume setting in ensign. I don't think we want price but just want to make sure before I start training myself on these indicators.

 

You can use either one. But be consistent. If you use the volume histogram, be sure to use a volume weighted average price to compute the histogram average. If you use a price histogram, you don't need to use a volume weighting to compute the average. You might want to ask Howard Arrington at ensign if he would include this on the properties window for the histogram.

[lj2500 10]

Hmm...now I'm confused. Ensign has a check box for the FORMULA used for 3 types (on the volume histogram properties window) : volume, price, candles. I always thought it was VOLUME you were using in your videos. Please correct me if I am wrong.

 

Thanks.

[jperl 11]

Hmm...now I'm confused. Ensign has a check box for the FORMULA used for 3 types (on the volume histogram properties window) : volume, price, candles. I always thought it was VOLUME you were using in your videos. Please correct me if I am wrong.

 

Thanks.

 

That's correct. I've always used the volume histogram. There are situations where you have to use the price histogram instead. For instance if the contract you are trading has no volume data.

[MC 10]

 

Can ensign do a complex merge like this? I really need this capability but can't afford the more pricey platforms yet.

 

Thanks

 

Edit to clarify---

It's not so much the platform thats pricey, its more the data feed. Ensign works with Infinity AT's feed so I would be free there.

Edited June 14, 2008 by MC

[jperl 11]

 

Can ensign do a complex merge like this? I really need this capability but can't afford the more pricey platforms yet.

 

Is this what you are looking for MC? Chart is ES from May 22 to June 12 with

daily volume histogram superimposed on combined histogram for the entire period.

[MC 10]

Is this what you are looking for MC? Chart is ES from May 22 to June 12 with

daily volume histogram superimposed on combined histogram for the entire period.

 

Exactly what I was looking for. Any chance you could screenshot the settings and PM or post em here? I have a demo of ensign I want to try and tinker with but honestly get lost in all the options and settings.

 

Much appreciated.

[OAC 10]

 

Can ensign do a complex merge like this? I really need this capability but can't afford the more pricey platforms yet.

 

 

I haven't checked lately. But the last time I checked, Investor/RT was considerably more pricy than Ensign: $75 vs $40 with the MP capability. Now with Ensign's new enhancement to their Price Histogram and a promise of more to come, Investor/RT must be getting nervous. :hmpf:

[jperl 11]

Exactly what I was looking for. Any chance you could screenshot the settings and PM or post em here? I have a demo of ensign I want to try and tinker with but honestly get lost in all the options and settings.

 

Much appreciated.

 

Here are the screen shots of the ensign price histogram property windows.

The first one plots the combined volume histogram and the second one plots the daily volume histogram. You run both at the same time.

[MC 10]

I haven't checked lately. But the last time I checked, Investor/RT was considerably more pricy than Ensign: $75 vs $40 with the MP capability. Now with Ensign's new enhancement to their Price Histogram and a promise of more to come, Investor/RT must be getting nervous. :hmpf:

 

For me it all comes down to data compatibility and the cost of the data.

I'm mostly focused on the futures contracts but would like stock data as well since I do analysis on them from time to time.

 

You are right though, with the MP data which is needed it costs more for Investor/RT. I like the presentation better of the profiles on RT so I need to decide is that worth the extra 20 per month.

 

I appreciate the help and thoughts guys.

Edited June 15, 2008 by MC

[LS_Chad 10]

I haven't checked lately. But the last time I checked, Investor/RT was considerably more pricy than Ensign: $75 vs $40 with the MP capability. Now with Ensign's new enhancement to their Price Histogram and a promise of more to come, Investor/RT must be getting nervous. :hmpf:

 

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

[OAC 10]

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

 

Sorry for the mistake. The last time I checked, the MarketDelta software with the Footprint and everything was $40.00/month.