Support Board
Date/Time: Wed, 23 Apr 2025 03:19:18 +0000
[User Discussion] - TPO rounding errors for Value Area calculation
View Count: 188
| [2024-12-12 13:11:59] |
| User992529 - Posts: 32 |
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I have two charts for TPO: one with price increment 3 and one with price increment 6 (both with scan two levels at the time). They are showing significantly different value areas. Actual behavior --------------- For example for the current CL contract on the 11 Dec RTH profile, the one with price increment 3 calculates the following VA: VAH 70.23 VAL 69.45 The one with 6 price increments calculates: VAH 70.02 VAL 69.18 As the values are so far away from each other, VAH difference is 21 ticks and VAL difference is 27 ticks, which is more than the uncertainty in the rounding which should be half of +/- 6 = 6 ticks maximum. The differences are almost 4X which makes me think there is some rounding issue (or intermediate rounding that shouldn't be done). Expected behavior ----------------- The 6 price increments TPO chart should vary by max 6 ticks from the 3 price increments TPO chart. |
| [2024-12-12 13:58:24] |
| Sierra_Chart Engineering - Posts: 19307 |
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For an understanding of how the Value Area is calculated, refer to: Time Price Opportunity (TPO) Profile Charts: How Point of Control and Value Area Are Calculated To understand the Price Increment setting, refer to: Time Price Opportunity (TPO) Profile Charts: Letter/Block Price Increment in Ticks We are not going to help you, with the way that you are presenting this. This is not within the scope of our support at all. 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: 2024-12-12 13:58:36
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| [2024-12-12 14:23:29] |
| User992529 - Posts: 32 |
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I have added a screenshot. Seems the difference comes from the positioning of the POC. The 6 increment one seems to think there was an F period TPO. There was a small price wick exactly at the start of F period that on 6 price increments gets picked up. The functionality is in line with documentation altough a bit confusing. What I would propose is the following: add some pre-processing to calculate POC at maximum resolution (1 tick x time) and then assign it the right bin, then continue from there with the ln:1 settings for tick and continue with existing VA calculations. This would make the 6 price increment then calculate correctly. This makes it critical on days that had double distributions like 11 Dec as such the algo could confuse between the two POC's at higher increments. |
 difference.png / V - Attached On 2024-12-12 14:11:50 UTC - Size: 22.09 KB - 35 views |
| [2024-12-12 15:11:58] |
| User992529 - Posts: 32 |
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Also added the price reference to see that from a TPO-principles point of view the F period as calculated is not correct on the 6 tick increment (although mathematically soundly deduced by Sierra).
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| difference2.png / V - Attached On 2024-12-12 15:11:49 UTC - Size: 48.32 KB - 32 views |
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