Robx I will take a look at that looks interesting

Robx 

Sure, It's just the OrderFlow Trade Detector indicator included on the NT8 License. It shows (Big) Trades based on Bid/Ask or Blocks. These trades are usual at the Vwap as the Algos uses it as their benchmark for closing trades at the committed operation price.

Wow. I guess I have not explored all the indicators that come with the package. Great. Thank you.

Linds 

I think this is a very important aspect of any trading style and that is to have the ability to, at least a decent percentage of the time, be able to forecast the type of day. .... have people been able to extract good metrics and if so is there a good source or good software to do this? Can NT8 be used for this?

IMHO a good source on how to obtain a bias for the day or type of day would be the webinar " Linda Bradford Raschke on Day Type, Taylor Trading, Trade Location, More" (using The Taylor Trading Technique).

justtrader 

Excellent! Thank you for sharing. On your first chart, what time range does the Volume profile on the right extreme cover? Looks like the volume profile on the left is for the prior day, correct? The LVN values you referenced come out of the right hand side VP. It that is the current day's VP then I am surprised to see these LVNs behave that nice.

The chart on the right is a composite profile. The composite has four settings and the one on the chart is set at dynamic which covers the bars seen on the chart The first setting the composite profile has is a longer time frame (Dated composites) which starts on a specific date and runs through to the present time. The other time frames are where only a particular set of bars from a specific point are profiled (Fixed composites), a set of visible bars are profiled (Dynamic composites) or a specific number of sessions are profiled (Rolling composites).
In any mode the composite profile can automatically mark prices of high and low volume on the chart with horizontal lines which extend all the way across the chart.


The profile on the left is the Range Profile drawing tool which can profile any section of the chart over any time frame for which you have data. It was not for the day before but where the market was balancing .

martinhunting 

The chart on the right is a composite profile. The composite has four settings and the one on the chart is set at dynamic which covers the bars seen on the chart The first setting the composite profile has is a longer time frame (Dated composites) which starts on a specific date and runs through to the present time. The other time frames are where only a particular set of bars from a specific point are profiled (Fixed composites), a set of visible bars are profiled (Dynamic composites) or a specific number of sessions are profiled (Rolling composites). In any mode the composite profile can automatically mark prices of high and low volume on the chart with horizontal lines which extend all the way across the chart. The profile on the left is the Range Profile drawing tool which can profile any section of the chart over any time frame for which you have data. It was not for the day before but where the market was balancing .

Interesting. I need to learn more about that type of market profiling. Thank you.

Hi guys! Thank you for this excellent thread! Thanks to JohnyBoy for his great VWAP guide!

I'd like to ask experienced traders about something we can add to VWAP considerations. Could you please shed some light on topic of market context?

Which specific factors that may affect VWAP setups a trader should analyze before day starts?

For example, yesterday high and low, yesterday POC, yesterday VWAP ending point? What else?

WoodyFox 

VWAP alone to me is weak at best when used like the average retail trader uses it. Sure, it tells you things, but how can you exploit it. I have found very few successful ways to get and edge that is consistent. I believe the reason for this is participation. More specific, who is participating. So,.... .... What I like to do is a little different and involves looking at sells vs buys. If you break apart the orders and create 2 VWAPS, one for buys and one for sells, you can use the spread to accurately determine institutional intent. Looking at a VWAP that puts all volume in the same group for a single average price has limitations. For me understanding this has helped me eliminate whipsaws and better see market direction. ...

This is very good post. Thanks. I have made a definite division of VWAP into buyers and sellers. And that's what I've got.

Red curve - sellers VWAP
Green curve - buyers VWAP
Aqua curve - volatility VWAP
Blue curve - standart VWAP

Starley 

This is very good post. Thanks. I have made a definite division of VWAP into buyers and sellers. And that's what I've got. Red curve - sellers VWAP Green curve - buyers VWAP Aqua curve - volatility VWAP Blue curve - standart VWAP

That's great!
How do you apply it in your daily trading operations?

Hello everybody,

first of all let me say big thanks for all the folks who contributed to that thread, and big thanks to @JonnyBoy, not trying to discard other folks because most of the comments was very helpful! Was nice few days of reading/trying.

And I hope there is still some steam is going on and people who is interested in discussing the subject is still around and would not mind to wake up on the subject again

-----------

there is important point which was appearing through whole thread, that context is very important, before we even try to go into any intraday action, we should know what to expect, etc...

So I start thinking how to collect such context. The task for me looks like we have X -> Y, where X is some prior context, Y is how the session was closed(type of the session which was after specific X). So I will have separate questions about X and Y.


#1 question about X:
it appeared that approach which was shown/discussed was mostly around prior day profile/range.
in your opinion does it make sense to collect the context where PriorDay WVAP/STDs will be used? Or PriorWeek, Or developing week (on monday close is same as session vwap). Examlpes I was thinking is something like:

- Open_Between_Session_Vwap_StdUp1
- Open_Between_Session_StdUp1_StdUp2
- Open_Between_Session_StdUp2_StdUp3
- Open_Between_Session_Vwap_StdDown1
- Open_Between_Session_StdDown1_StdDown2
- Open_Between_Session_StdDown2_StdDown3
- Open_Between_Weekly_Vwap_StdUp1
- Open_Between_Weekly_StdUp1_StdUp2
- Open_Between_Weekly_StdUp2_StdUp3
- Open_Between_Weekly_Vwap_StdDown1
- Open_Between_Weekly_StdDown1_StdDown2
- Open_Between_Weekly_StdDown2_StdDown3

question is from perspective do you see any reasonable logical aspect in that approach and if it make any sense at all, and not from perspective if is possible to do or not, ofc, we can collect all possible numbers, but is good to know if there is potential logic around it which make sense. Because some people mentioned that they using VWAP+Bands as dynamic value areas.

#2 question about Y:
this is where I have a dilemma, because I start thinking how even approach the Y, because we're not doing buy-and-hold, where we enter the position with first tick on open, and close last second before session closed, which means we do not care so much about open/close, but more about granular intraday action.

a) first approach I considered is to split the Y session range into 3 parts (0%-33%, 33%-66%, 66%-100%)
Y-session closed between 0%-33% I considered SHORT
Y-session closed between 33%-66% I considered RANGE
Y-session closed between 66%-100% I considered LONG

it works OKeish when there is strong long/short days, but there is cases where it does not looks good (imho), where for example day was a range day more or less but last few bars(or lets say last 30 minute of the session, not to confuse with bars here) strong reversed into the opposite direction. Attaching charts for examples what I mean.

b) other approach could be to consider to use averaged POC across all bars during the session (something like avg(session_bar0_poc,session_bar1_poc,...))

c) other approach could be to consider to use LinRegression across all prices during session, and then look where last point of Regression landed in 0-33%,33-66%,66-100%. but not sure about that because seems also I'm trying to overcomplicate things?! Which is fine if this would give me acceptable results

d) consider only where POC of session closed in what part of the session range, but is also giving a lot of debatable situations

e) RANGE if session closed in profile value area (70%), and if above = LONG, below = SHORT. To me sounds like logical, but visually also look sometimes/somehow strange because price can reverse quite fast and close below Value area or something like that.

f) cluster the profile distribution shapes into LONG/SHORT/RANGE, this can get more complicated because there is variation of shapes, especially when there is spreaded shapes across whole range, and not clear P/b/D shapes.

Could anybody who did that and happy with results maybe share how you're doing this? How you labeling the day/session by LONG, SHORT, RANGE, if you want to respect the granular intraday action.

Or this whole idea is somehow is the wrong direction of labeling the session like that(LONG/SHORT/RANGE)? And is better to look to something more specific what price did in the Y-target-session (which can also give many intersecting Y labels)?


#3 general question
do you guys consider collecting such things on all data you have or some kind of rolling periods like (10years, 5years, 2year, 1year, ...)? The reason I'm asking that it can be that for example you found that on 10years data there is positive expectation that if session opened between yesterday vwap_std1+ and vwap_std2+ it will be a LONG session, but then if you look deeper you notice that all this positive action happens lets say 5 years ago, and all the data after was just destroying the stat which is going down, but is still positive but whole trend of that stat is moving towards 50%. How do you go about that?