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AAPL volume profile

View Count: 1455

[2022-07-07 01:33:59]
[Go To First Post]
Mustang77 - Posts: 122
Hi
when i use market profile on AAPL and set a volume profile alongside the TPO profile, the volume profile is like a vertical thin profile, see photo attached.
Whats the reason for that?
i have the maximum volume bar width set to "period length" and volume bar width percentage to 100 but still the same issue.
Do you have a solution please?
Thanks
imageAAPL-NQTV[M] #2 2022-07-07 03_33_12.327.png / V - Attached On 2022-07-07 01:33:50 UTC - Size: 135.13 KB - 208 views
[2022-07-08 16:59:09]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is what we see:

https://www.sierrachart.com/image.php?Image=1657299518475.png

Do not include any evening session trading in the chart. Only the day session.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-11 12:13:51]
[Go To First Post]
Mustang77 - Posts: 122
Hi
on a candle chart, 5 min timeframe like yours, i get similar profiles, although you can see the 7-6 and 7-7 profiles on my chart are very thin, the value area is not extended like yours, it looks like a vertical bar, on your one the volume bars are more visible since they are extended ( see photo attached )
Also the POC of 6-7 doesn't stop at the intersection with the candle like yours, even though i have the setting of POC extension to "future intersection / chart bars"
Any idea how to fix these two things?

Also, the original message was not about candle chart, it was about TPO chart with volume profile attached to it ( see photo attached in first post ).
the volume profile on the TPO chart has no extension to the volume bars, which is what i want to see.

Thanks
imageAAPL-NQTV[M] 5 Min #1 2022-07-11 14_07_23.990.png / V - Attached On 2022-07-11 12:12:08 UTC - Size: 89.49 KB - 158 views
[2022-07-11 12:39:46]
[Go To First Post]
Mustang77 - Posts: 122
this is the same chart on 1H with weekly profiles, see how the volume bars are thin.
how can i make the volume bars extend to end of the profile period / beginning of next period?
I have tried "maximum volume bar width type (in:43)" to period length and automatic and it doesn't change anything.
See photo attached
Waiting for your help
Thanks
imageAAPL-NQTV [CBV-D][M] 60 Min #1 2022-07-11 14_39_10.676.png / V - Attached On 2022-07-11 12:39:40 UTC - Size: 104.66 KB - 151 views
[2022-07-11 15:24:55]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
What you are really showing is that there are one or more price levels where there was a large volume. The profiles are absolutely correct. There can be no problem with them at all. Maybe you will want to use a Volume Filter to filter out higher volume:
Chart Settings: Volume Filter (Chart >> Chart Settings >> Data Limiting >> Volume Filter Settings menu)

Also the POC of 6-7 doesn't stop at the intersection with the candle like yours, even though i have the setting of POC extension to "future intersection / chart bars"
Check this setting:
Volume By Price Study: Future Intersection Method

Regarding "maximum volume bar width type" refer to the documentation here:
Volume By Price Study: Maximum Volume Bar Width Type

There is another associated setting.:
Volume By Price Study: Maximum Volume Bar Width Percentage
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2022-07-11 18:18:07
[2022-07-11 18:14:18]
[Go To First Post]
Mustang77 - Posts: 122
Hi

i don't know how else to explain it to you.
i showed you examples by showing you screenshots.
you can clearly see that the volume profile is NOT doing what its supposed to do.
The volume bars are not horizontally large enough to show clearly where the volume nodes are.
You sent me a screenshot of an AAPL chart with volume profiles and i showed you my screenshot.
you then send me links to documentation which is obviously not the solution, because i mentioned to you the settings on my profile.

1- the POC does not stop at the intersection
2- the volume bars are not horizontally wide to the length of the period.

I have set the width to period width and percentage to 100 and it is still the same.

Do you have any solution other than links ?

I attach photos again, this time with my settings on, you can see that the profile is not working as per the settings.

the question is, if i have the width to 100 percentage and to maximum width why is the profile not showing volume bars wider?
imageimage.png / V - Attached On 2022-07-11 18:12:09 UTC - Size: 31.07 KB - 144 views
imageScreenshot 2022-07-11 200638.jpg / V - Attached On 2022-07-11 18:12:16 UTC - Size: 769.37 KB - 187 views
[2022-07-11 18:23:29]
[Go To First Post]
Mustang77 - Posts: 122
i mean what kind of volume profile is this ?

see the photo and the settings, this is on a 15min chart
imageScreenshot 2022-07-11 202201.jpg / V - Attached On 2022-07-11 18:23:20 UTC - Size: 745.17 KB - 180 views
[2022-07-11 18:28:53]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
It definitely is:
you can clearly see that the volume profile is NOT doing what its supposed to do.

Did you do this:

Do not include any evening session trading in the chart. Only the day session.
Check the Session Times and make sure that the evening session is not included:
Chart Session Times: Session Times

Only from 9:30: 00 to 15:59:59

1- the POC does not stop at the intersection

We also told you to refer to this setting:

Volume By Price Study: Future Intersection Method

And you are getting 100% width:

I have set the width to period width and percentage to 100 and it is still the same.
Remove the point of control extension line and you will see that.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-11 18:53:06]
[Go To First Post]
Mustang77 - Posts: 122
It definitely is:

the volume bars do not fill the volume profile period width, even when set to width percentage 100.
and i have tried all the settings that you are linking in your message.
I am attaching screenshots with the settings.
I suppose you can clearly see the settings and how the profile is showing ??
and by the way, my timezone is UTC+1, and the session starts here at 15h30 and ends at 22h00 and thats how i have it set.

i have no problem with Gold charts, ES, other stocks, the setting "width percentage (in:44)" when set to 20, the volume bars only fill a portion of the profile, when set to 100 the bars fill all the profile width.
But, with AAPL it does not work.
imageScreenshot 2022-07-11 204311.jpg / V - Attached On 2022-07-11 18:52:28 UTC - Size: 640.46 KB - 160 views
imageScreenshot 2022-07-11 204009.jpg / V - Attached On 2022-07-11 18:52:35 UTC - Size: 722.92 KB - 157 views
imageScreenshot 2022-07-11 203907.jpg / V - Attached On 2022-07-11 18:52:49 UTC - Size: 616.59 KB - 153 views
[2022-07-11 19:06:00]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
The session times are incorrect. Use US Eastern time, and:

Only from 9:30: 00 to 15:59:59

Refer to:
Time Zone Setting: Resolving Differences with the Transition To/From Daylight Savings Time in Different Time Zones



the volume bars do not fill the volume profile period width, even when set to width percentage 100.
Do not extend the point of control so you can see the volume bar under it. It definitely has to be correct.

You also need to understand when the extension lines will terminate. They will only begin to terminate, for chart bars which are after the volume profile time period.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2022-07-11 19:07:01
[2022-07-25 10:22:52]
[Go To First Post]
Mustang77 - Posts: 122
The session times are incorrect. Use US Eastern time, and:

The session times are correct, those are the session times based on my time zone, using the US time as you suggest gives me incorrect placement of the profile.
However, i have tried it with US times as you suggest and that has 0 effect, meaning that is not the issue.
My session times do not give me any problems with Gold, ES, NQ....etc

Do not extend the point of control so you can see the volume bar under it. It definitely has to be correct.

1- this has 0 effect on the "maximum volume bar width percentage", the bars still do not fill the profile period.
2- how can i disable the extension of the POC since that is the primary reason i use volume profiles?

Let me repeat the issue.

When the study setting "maximum volume bar width percentage" is set to 100, it does not fill the profile period with the volume bars.
so if the session is set the daily for example, the volume bars should fill the profile until the start of the next profile.

This tells me that this study has a bug with AAPL, because i do not have this issue with AMZN, on AMZN if i set "maximum volume bar width percentage" to 50, the volume bars fill half of the profile period, if i set it to 100 it fills all the profile period.

on AAPL if i set "maximum volume bar width percentage" to 100 the volume bars do not fill the profile and the high volume nodes are barely noticeable, making the study useless.

And so far the solutions offered here are either not working or have nothing to do with the issue.

I hope one day you will come up with a solution.

I have sent you many screenshots and its clear what the problem is.
[2022-07-26 17:09:41]
[Go To First Post]
Sierra_Chart Engineering - Posts: 17150
Attach the chart by following these instructions:
Support Board Posting Information: Providing Chartbook with Only a Single Chart

No this is definitely not the case:
This tells me that this study has a bug with AAPL,
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2022-07-27 08:06:55
[2022-07-27 05:12:52]
[Go To First Post]
Tony - Posts: 516
Mustang77, not sure what cause the problem, just for experiment purpose, for the session time, could you try to exclude first 20 min after market open and last 20 min before market close, delete data and re-download, see if those profile still look the same? I suspect the volume spike on single price level happened in those 2 period of times (especially last 20 min, when I looked your screenshots, that is most likely). Since the width of the profile is same as the largest volume level, that spike really overshadows all other volume bars.

In terms of the percentage input, VbP doesn't allow users to put numbers larger than 100 (not sure if engineering team would be willing to remove that restriction), but with ACSIL coding, I can set any number I want, for your case, if the percentage number is set to, say 150+, I believe your profile would look normal.

i mean what kind of volume profile is this ?
I understand your frustration, this is actually the most accurate volume profile, I explained calculation of volume profile here:
Volume By Price Study not giving accurate data??
Date Time Of Last Edit: 2022-07-27 05:48:09
[2022-08-02 20:44:45]
[Go To First Post]
Mustang77 - Posts: 122
No this is definitely not the case:

OK great, could you show me how to get the volume profile to fill the entire period with volume bars please?
i have tried all your recommendations and it doesn't work.
you see the screenshot below, setting is set to 100 and the volume bars barely fill a quarter of the period, it is shown with white arrows.
imageScreenshot 2022-08-02 224126.jpg / V - Attached On 2022-08-02 20:44:23 UTC - Size: 698.93 KB - 147 views
[2022-08-02 20:55:39]
[Go To First Post]
Mustang77 - Posts: 122
Attach the chart by following these instructions:

Done
Private File
Attachment Deleted.
[2022-08-03 13:11:20]
[Go To First Post]
Mustang77 - Posts: 122
Mustang77, not sure what cause the problem, just for experiment purpose, for the session time, could you try to exclude first 20 min after market open and last 20 min before market close, delete data and re-download, see if those profile still look the same? I suspect the volume spike on single price level happened in those 2 period of times (especially last 20 min, when I looked your screenshots, that is most likely). Since the width of the profile is same as the largest volume level, that spike really overshadows all other volume bars.

Hi Tony

when i exclude the first 20 mins and the last 20 mins of the trading session, the volume profile looks good, the volume bars fill the entire period, ( see screeshot named AAPL EXCL 20 mins ).
When i dont exclude the first and last 20 mins of the trading session, the volume profile looks shrinked and the bars barely appear on the profile ( see screenshot named AAPL FULL SESSION ).
my timezone is Europe UTC+2 and market opens here at 15h30 and closes at 22h00 and thats how i have it set on session times.
Your trick of excluding the first and last 20 mins seems to work, thank you very much, but i can't exclude 40 mins of a trading session from the volume.
So hopefully there will be another solution from Sierra team maybe.

Thanks
imageAAPL-NQTV[M] 15 Min EXCL 20 MINS.png / V - Attached On 2022-08-03 13:10:59 UTC - Size: 110.09 KB - 146 views
Attachment Deleted.
imageAAPL-NQTV[M] 15 Min FULL SESSION.png / V - Attached On 2022-08-03 13:11:13 UTC - Size: 79.2 KB - 149 views
[2022-08-03 16:00:56]
[Go To First Post]
Tony - Posts: 516
You are welcome Mustang77.

I understand you don't want exclude 40 min of volume info. I am not familiar with stocks, I don't think those spikes happened at open, so you could try to include first 20 min, hope that would work, you don't have to worry about volume in last 20 min or so, most of them are dumping activities.

The suggestion from engineering team in post #5 may work, but I am hoping the VbP study would have a feature that exclude volume spikes, that will be the ideal solution.

Another possible solution is that 'Maximum Volume Bar Width Percentage' can be set to a number greater than 100, for example 180 (right now it can only be done by using a ASCIL function 'sc.SetChartStudyInputInt()' ), although you will still see the spikes, but volume profiles will look good.

It depends whether Sierra team thinks they are necessary and has time to do it.


BTW, do you do day trading or swing trading?
Date Time Of Last Edit: 2022-08-03 16:11:15
[2022-08-03 16:26:48]
[Go To First Post]
Tony - Posts: 516
Hi Mustang77,

I am glad that Sierra will support this in the next release, for the time being, this study allows you set VbP percentage more than 100, tested it, works well. (so you don't have to exclude any time period)

Save it to a text file, re-name it to 'VbP.cpp' and move it to C:\SierraChart\ACS_Source

In Sierra Chart: Analysis -> Build Custom Study DLL
Select Files -> VbP.cpp and then: Build -> Remote Build

After that, you should see that custom study in Add Study window



#include "sierrachart.h"
SCDLLName("VbP_Width")

SCSFExport scsf_VbP_Width(SCStudyInterfaceRef sc)
{
  SCInputRef ProfileID {sc.Input[0]};
  SCInputRef ProfileWidth {sc.Input[1]};

  if (sc.SetDefaults) {
    sc.GraphName = "Set VbP Width";
    sc.GraphRegion = 0;

    ProfileID.Name = "VbP Study ID";
    ProfileID.SetInt(1);

    ProfileWidth.Name = "VbP Maximum Volume Bar Width Percentage";
    ProfileWidth.SetInt(20);

    return;
  }

sc.SetChartStudyInputInt(sc.ChartNumber, ProfileID.GetInt(), 43, ProfileWidth.GetInt());

}
Date Time Of Last Edit: 2022-08-03 18:05:57
[2022-08-03 16:34:22]
[Go To First Post]
Sierra_Chart Engineering - Posts: 17150


Another possible solution is that 'Maximum Volume Bar Width Percentage' can be set to a number greater than 100, for example 180 (right now it can only be done by using a ASCIL function 'sc.SetChartStudyInputInt()' ), although you will still see the spikes, but volume profiles will look good.
We will implement support for this in the next release. We do not see an issue with this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-08-04 09:19:47]
[Go To First Post]
Mustang77 - Posts: 122
Hi Tony

BTW, do you do day trading or swing trading?
i do day trading.

I am glad that Sierra will support this in the next release, for the time being, this study allows you set VbP percentage more than 100
so you mean i have 2 solutions?
1- wait for Sierra to release next updated version.
2- modify the text file as you suggested above and that way i dont have to wait for the next release?

Thank you very much for your help
[2022-08-04 14:00:54]
[Go To First Post]
Tony - Posts: 516
Hi Mustang77,

They are basically the same solution, you don't need to modify my source code unless you are going to add something else, I tested it, it works very well. Or you can download this VbP_64.dll (attached with this post) and save it in C:\SierraChart\Data\ then you will see this customer study right away. Once there is new version of Sierra Chart that allows us to set width percentage greater than 100, we can delete file VbP_64.dll.

The 1st solution I mentioned, about removing spikes of VbP, I don't think it will happen any time soon, there will be a lot of work.

For the trading part, wonder if you had a chance to taste futures products, especially US indices futures. I personally prefer futures over stocks.

Cheers,

Tony


P.S. The image attached shows the example of VbP with Study ID: 1
Date Time Of Last Edit: 2022-08-05 01:43:30
attachmentVbP_64.dll - Attached On 2022-08-04 13:53:54 UTC - Size: 886.5 KB - 274 views
imageStudyCalculationTime.png / V - Attached On 2022-08-04 14:15:30 UTC - Size: 31.52 KB - 139 views
[2024-08-21 16:15:11]
[Go To First Post]
User981290 - Posts: 2
Another possible solution is that the 'maximum volume bar width percentage' can be set to a number greater than 100


Hi, I have been experimenting with this as I am running into the same issue charting TSLA. However, When I set the maximum volume bar width percentage greater than 100 the highest volume node from the previous profiles extend into the next period and overlap. I have tried adjusting just about every setting and can't seem to resolve this issue. Any suggestions would be greatly appreciated. Thank you!
[2024-08-22 14:34:55]
[Go To First Post]
Tony - Posts: 516
@User981290

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