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Direct MessagesDate/Time: Fri, 18 Oct 2024 08:41:50 +0000
Volume By Price Study not giving accurate data??
View Count: 1043
| [2022-07-26 21:30:56] |
| User705661 - Posts: 4 |
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Hello all. I'm moving over from Investor RT and IQFeed data to SierraCharts. I'm having issues with SierraChart/Denali giving me inaccurate data for Volume By Price study. Every once in a while, the VPOC on ToS would be way off from what IRT/IQFeed was showing. The way ToS aggregates their data means the timeframe can mess with the VolumeProfile and VPOC. However, over 95% of the time I had a discrepancy between IRT and ToS, the 1 minute chart in ToS would almost always give me the correct VPOC. Since migrating to SC, it seems I can't get accurate data for the Volume by Price study. I have all my data set to 1 tick and even when I would try 5 or 10 ticks, I'm still getting inaccurate data when compared to the 1-minute ToS chart. It almost seems like the opening print is messing with the entire days data. Any help would be appreciated. https://www.sierrachart.com/image.php?Image=165887082821.png |
 AMZN 1 Minute.png / V - Attached On 2022-07-26 21:29:33 UTC - Size: 331.89 KB - 151 views Attachment Deleted. |
| [2022-07-26 22:39:37] |
| Tony - Posts: 511 |
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It is the other way around, TOS' volume profile calculation is inaccurate. What TOS does is these 2 steps: 1, assign the same volume number on each price level in each candle bar: (total price levels of a candle bar) / (total volume of that candle bar) right off the bat, we can see how inaccurate it is. 2, calculate the accumulative volume of each price level in all candle bars (within range of the volume profile) to draw volume profile by using the numbers in Step 1. That is why in TOS, profiles in 1-min chart and 1-hour chart look very different (same instrument, same time period), profiles in 1-hour chart is basically not usable. The reason we see more 'natural' bell curve profiles in TOS is that numbers are averaged out. The possible solution in Sierra I can think of is that, set Intraday Data Storage Time Unit to 1 minute (delete and re-download data). You will be fine with live streaming data, but replay will be an issue, since, chart will only be updated every minute. Although the profile has the most 'ugly' looking under 1-tick data, but that is the reality, what really happened in the market. So, compare to TOS, Intraday Data Storage Time Unit is what Sierra use to calculate Volume Profile, not candle bars on a chart, profiles for the same instrument, same time period will look identical on any time frame chart. There was a post had similar subject recently talks about APPL chart AAPL volume profile Sierra Engineering Team suggested a solution to filter out the extreme volume on one price level. Stocks are inherently not good for volume profile, it has to do with the ratio of total volume traded to total transactions. i.e. for S&P 500 futures, that ratio is less than 2:1 , for stocks, more than 120 : 1. You could see transactions as few as 50 shares, 100 shares, or as many as ten thousands shares. For TPO or Market profiles, stocks and futures are all the same. Date Time Of Last Edit: 2022-07-27 05:57:53
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| [2022-07-26 23:09:46] |
| User705661 - Posts: 4 |
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Wonderfully insightful post! That's exactly what I was looking for. Thank you!!!
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| [2022-07-27 13:23:17] |
| User705661 - Posts: 4 |
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I just wanted to add another thank you. You explained my issue perfectly. People like you give me a little more faith in humanity. Cheers!
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| [2022-07-27 14:18:05] |
| Tony - Posts: 511 |
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You are very welcome User705661, although I won't take any credit. Let's give our gratitude to J. Peter Steidlmayer and everybody of Sierra Chart team :)
Date Time Of Last Edit: 2022-07-27 14:19:49
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| [2022-07-27 21:02:01] |
| User705661 - Posts: 4 |
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Agree!
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