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I tried to explain this to tech support today but either I wasn't clear enough or it was just Friday and no one wanted to really look into it. I am putting it here to warn everyone of a bug in the Order Flow Volume Profile indicator in NT8.
Back in my MetaTrader days we would refer to this as a "repainting" indicator. What happens with a repainting indicator is that you can run it for a while on the chart and everything looks great until you either refresh the chart or do something like change time frames and then return to the same time frame as before. When you do, the questionable indicator will look completely different than it did with live data.
The Order Flow Volume Profile indicator does this and I have proof.
In this first picture, look for the yellow line that is stepping down over time (like it should). This is the POC line for the current day. It should be moving and adjusting as conditions change. I expect that. On the right side you will clearly see that it stepped down to 6973.75 and was there for several candles.
Everything looks great up to this point. The reason I even started to question it was that earlier I had made a decision not to take a trade because the POC line was just below price and it can act like support and resistance. When I looked later, the line was no longer there. I have the developing POC and developing value area lines enabled so I can see where it was at that particular time. When it was no longer there, I started to wonder. Did a screen grab of where it was currently and then pressed F5 to force NT to reload the indicators. Here is what it looked like after the refresh:
At first their argument was that the POC line was supposed to move. Well duh... I explained that I knew that in the first email. What it should do is after a screen refresh it should look exactly the same as it did before the refresh. It doesn't. The POC line moved up to 7016.75 with no indication that it was ever at the previous value.
Their second argument was that I had to wait for the bar to close before it would adjust. I sent them a screen grab of my settings where it is set up for every tick not on bar close. At that point I just gave up and decided to post as much detail here so maybe the right person at NT will see it and get things fixed.
This is only an issue if you are using the POC and value areas for the current day. I can see a good bit of value in doing that but now I can't trust what is on the screen. Historical values (i.e. previous day and beyond) should be ok but only if you shut down for the night or hit refresh (F5). I am only using it on sim right now so no worries on bad data for trading. So, do you trust the first value or the refreshed value? Inquiring minds want to know.
One quick idea, please right click on the chart > Indicators > and highlight the Volume Profile indicators, what is set for the property ‘resolution’? If its minute try changing it to tick. This would be the primary reason why a reload might work differently since the historical data is calculated with ‘minute’ granularity whereas any data NinjaTrader has seen live would be calculating with real-time ‘tick’ granularity. If that does not take care of the issue let me know your ticket number and we’ll take a closer look.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
I will pass it along as a request to our product development team.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
Ok, switched it to tick resolution. However, when it recalculated everything it shows the dip in the POC but it shows it occuring 10 minutes prior to when it showed it live. see picture below.
I suspect your first chart had a mix of historical minute data and real-time tick granularity for calculating POC. The full tick chart which is reloaded should be ‘full’ tick granularity. In Summary:
First chart: Minute granularity historical + tick granularity for the time you had the chart open in real-time
Second chart: Reload using all minute data for granularity
Third chart: Full tick granularity in both historical and real-time moving forward
This should explain the differences if your still seeing problems with tick mode granularity moving forward let us know.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
Posts: 1,394 since May 2011
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R/Trader Pro has a column for how many trades make up the contract bid/ask. So if there are 100 bids it is from 32 trades. This can be very helpful for seeing large bidders.
NT8 would be great if it could add this column. Any chance?
I have passed request along to our product management team for future consideration. Thanks for the suggestion.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.