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Direct MessagesDate/Time: Sun, 05 May 2024 00:14:50 +0000
TPO profiles - better access to statistical data
View Count: 4481
| [2019-03-16 09:36:09] |
| User365411 - Posts: 173 |
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TPO profiles has a lot of useful data. But those data are only accssible trough the Chart Values window and only for last profile on a spreadsheet study, and that's a BIG LIMITATION. I think that's the time that SC implement a solution to access all the statistical data so we can see desired data immediately on a chart and eventually use them for further calculation. Probably something like the "Nunbers bars calcualted value" with all the values under each profile and that can be exported in a spreadsheet can be an idea. Please consider this not as a particular request but a basic feature when we talk about TPO profiles and MP theory. Can you give a feedback if, in the future (hoping near future), this can be done? Thank you |
| [2019-03-16 11:42:34] |
| Dom7364 - Posts: 257 |
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Fully second that
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| [2019-03-18 05:26:15] |
| whats1thingnow - Posts: 407 |
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+1
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| [2019-03-18 05:45:07] |
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We will see about putting the information in the available study Subgraphs.
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: 2019-03-18 05:45:29
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| [2019-03-18 07:52:58] |
| User365411 - Posts: 173 |
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Thank you SC support, very appreciated. It' s not my intention to slowdown the process but, please, consider to add following basic MP calculation to TPO statistics, already requested by users in the past: Rotation Factor Each letter is given a +1 if it's high is above high of previous letter, and a -1 if it's high is below high of previous letter. In addition, a +1 or -1 is added based on whether the low was above or below the previous low. Each letters RF (anywhere from -2 to +2) is summed to provide the RF of the profile. The higher the end-of-day RF, the more upward rotations were present (the more "one-timeframing" up). The lower the number (it CAN be negative) - the more downward rotations were present (more "one-timeframing" down). Trade Facilitation Factor Number of total TPO's divided by the range of price for the profile. The higher the value, the less trend was present. Normal days have a high TFF value. The TFF is the average number of TPO's per price traded. The number will be higher in quiescent markets where the range is small. The minimum TFF for a market not facilitating trade is one. That is, in a strongly moving market there will be only one TPO per price. Conversely, a market not facilitating trade, e.g. one that is locked at the limit with only one price quoted that day, has a TFF of the number of half-hour periods. Basically, its TFF =Total TPO's (cumulative tpo's) /the range of price or TFF = Total number of TPOs / Total number of price ticks. Volatility Average range of the letters within a given profile |
| [2019-03-19 08:38:51] |
| Dom7364 - Posts: 257 |
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Which is why I have been asking on another post to have a study TPO Count as a study, not part of Value window - |
| [2019-03-30 10:38:23] |
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Trade Facilitation Factor Number of total TPO's divided by the range of price for the profile. The higher the value, the less trend was present. Normal days have a high TFF value. The TFF is the average number of TPO's per price traded. The number will be higher in quiescent markets where the range is small. The minimum TFF for a market not facilitating trade is one. That is, in a strongly moving market there will be only one TPO per price. Conversely, a market not facilitating trade, e.g. one that is locked at the limit with only one price quoted that day, has a TFF of the number of half-hour periods. Basically, its TFF =Total TPO's (cumulative tpo's) /the range of price or TFF = Total number of TPOs / Total number of price ticks. Volatility This is not precise enough of a description for us to implement. We need more details. (Update: we figured this out) No need for further details.
Average range of the letters within a given profile 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: 2019-03-30 10:39:17
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| [2019-03-31 02:25:31] |
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We are going to release version 1893 with these three additional calculations. The placing of data into Study Subgraphs and also displaying in these directly on the chart will come later. Let us know if the rotation factor calculation is correct. We calculated it as we understood it. We probably can improve the efficiency of the calculation but we will look at that once we understand it is correct. 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 |
| [2019-03-31 22:32:46] |
| User365411 - Posts: 173 |
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First of all I would to thank you for your great support. I just checked Rotation Factor and I think that's not a correct calculation. Looking at how it works in realtime and daily (or session) profiles probably there is a misunderstanding in "Each letter" meaning in the description I have posted. And it's not tied to TPO resolution. Privately attached you can find more detailed specification. Fundamentally it's based on highs and lows sequence of X minutes bars (for MP study the standard 30' minute bar), so it's not strictly based on TPO profiles (but it's part of the method); for these reason, once the code is ready, I suggest to reuse it to release it as stand-alone study for classic bar charts too. |
Private File Attachment Deleted. |
| [2019-04-01 02:57:53] |
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This is clear now. We have corrected the calculation for the rotation factor. We will also release a Rotation Factor study as well. 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: 2019-04-01 02:59:09
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| [2019-04-01 07:19:05] |
| User365411 - Posts: 173 |
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OK, great! I checked volatility, calculation seems right (total sum of each period HL range/number of periods). Only a little tweak, can you set the final result with 2 decimals? |
| [2019-04-01 16:54:50] |
| User365411 - Posts: 173 |
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In addition to previous post I noticed that volatility calculation is tied to tick size resolution. So for example on 6E futures, where the minimum and default tick size is 0.00005, the volatility calculation results about double and don't respect the value based on the real range of each period (assuming tick size = 0.0001). Same, if for any reason, I use 0.0002 as minimum tick size, values become half. Is it possible to avoid this problem that can be source of misinterpretation of volatility values? Date Time Of Last Edit: 2019-04-01 16:57:14
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| [2019-04-02 08:26:47] |
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We can do the TPO Profile Volatility calculation based on the Average Sub Period Range and not converted to ticks. But it seems as though using ticks would give you more consistent results across symbols.
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: 2019-04-02 08:28:06
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| [2019-04-02 09:19:57] |
| User365411 - Posts: 173 |
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Ok. Well .. Choose what's the best for you in terms of efficiency and consistency. Eventually I suggest pinpoint in the help section that this problem exist.
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| [2019-04-02 10:16:23] |
| User365411 - Posts: 173 |
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We will see about putting the information in the available study Subgraphs.
Sorry SC support, I have re-read your answer and a doubt came to me and to avoid making you do unnecessary work I want to be sure that you understood the needs. Something similar to the attached image, with textual data in every profile, not moving lines. And that can be manipulated via a spreadsheet study or exported. Can you confirm that it is possible? |
 TPO-stat.jpg / V - Attached On 2019-04-02 10:16:04 UTC - Size: 588.18 KB - 676 views |
| [2019-04-02 17:23:55] |
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That is a lot of information to display on the chart. We do not foresee all of that information displayed at once, but you could select up to 4 to 6 fields to display.
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 |
| [2019-04-02 17:59:42] |
| User365411 - Posts: 173 |
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Oh yes, sure, that was only a fast example. For my needs i must see tpo count, tpo above/below, tff, volatility and rf so 6 fields are enough for me. Thank you |
| [2019-04-03 10:19:18] |
| User365411 - Posts: 173 |
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Just downloaded prerelease 1895 AverageSubPeriodRange (Volatility) calculation it's ok now. Rotation Factor, there are 2 problems here: 1) I've seen that you have released the stand alone study too, good. But using this study on a standard chart noticed that the first bar sometime is 0, sometimes is 2 or -2. The right way is to impose first bar always = 0. 2) The value, measured on last bar of the session, of the RF study on 30' bar chart and the RF value in Tool Value Window of TPO 30' profiles mismatch. Can you check this and if two calculation use same logic? And just an hint, it's best if RF study is plotted by default with Draw Style= bar and Auto-Coloring = +/-, and , if possible, make it work too with daily, weekly, monthly charts too Ty Date Time Of Last Edit: 2019-04-03 10:50:14
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| [2019-04-05 02:11:51] |
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This will have to be looked at later. We do not have time to get involved in this. Also it would never come for the individual Rotation Factor study to work on daily weekly and monthly charts and look at 30 minutes subperiods. That is out of the question. Update: We will take care of the first bar calculation for the start of the day because that is an obvious mistake. It should not reference the prior bar. 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: 2019-04-05 02:17:58
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| [2019-04-05 03:38:13] |
| whats1thingnow - Posts: 407 |
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i like where this is going :) curious: tpo count - isn't this for same for every day? tpo above/below - what does this measure? tff - what is this? |
| [2019-04-05 03:41:23] |
| User365411 - Posts: 173 |
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This will have to be looked at later. We do not have time to get involved in this. Also it would never come for the individual Rotation Factor study to work on daily weekly and monthly charts and look at 30 minutes subperiods. That is out of the question.
Yes , sure, in case of Daily and Weekly charts the code should be adapted (according with your available time) for historic charts data, not intraday, the logic is the same using the single historic bar, so take my request as an hint because I have loaded Rotation Factory on daily and weekly charts and results are not correct. But if it's not possible don't worry. |
| [2019-04-05 03:50:33] |
| User365411 - Posts: 173 |
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curious:
tpo count - isn't this for same for every day? tpo above/below - what does this measure? tff - what is this? 1) no 2) TPO above/below POC 3) look at post n. 5 TPO profiles - better access to statistical data | Post: 174363 These are all basic "Market Profile" concept so I suggest you to do some research on the web. |
| [2019-04-06 07:30:33] |
| Dom7364 - Posts: 257 |
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How do you actually add it/display it on the TPO ?
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| [2019-04-06 17:20:30] |
| John - SC Support - Posts: 31362 |
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In response to post #23 who asked How do you actually add it/display it on the TPO ?
These items are additional textual information associated with the TPO, and they are only viewable in the Tool Values Window or the Chart Values Window. Refer to the following documentation: Time Price Opportunity (TPO) Profile Charts: Viewing TPO Profile Text Information For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-04-08 06:56:37] |
| Dom7364 - Posts: 257 |
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This is not usable as part of a "value window", it should be data that can be added above/below the TPO directly, just as it can done done for low/high/volume/etc. Data such as open/high/low on the value chart does not match with anything much either (top high/low/etc do match with anything on the chart) |
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