LS_Chad

James, I can't tell exactly how you have that setup unless you share definition, or you share to charthub. However, a few things that could be going on there...you might have the Delta bars drawing behind the Buy and Sell Volume bars...and therefore getting covered up. You can either right-click in the pane title, or shift-click in the horizontal scale to the right, to bring up the element order prefs window. Try adjusting the element order. You can also right-click on any histogram and choose "send to back". Other problem could be that you just have the colors set the same for both the buy volume and the positive delta. Try adjusting the colors of the different VBs so they stand out. If none of this works, share your chart def and I'll take a look. Here are instructions on sharing a chart if you're not familiar with that: http://www.linnsoft.com/qa/a/124.htm

You can actually simply drag and drop indicators between panes. That's really the easiest way to do it. However, when adding indicators, you'll also see a choice in the lower left corner of the "Add Indicator" window which allows you to choose which pane the indicator is added to. Standalone indicators like VB will default to "new pane" but you can change that to the pane of existing bars or indicators. There is a 13-minute video at www.linnsoft.com/videos which covers many different aspects of technical indicators, including this one. Here is the direct link: http://www.linnsoft.com/videos/techind/index.html

I actually added Volume Breakdown three times to that second pane to get that result. The buy volume just uses "Result: Buy Volume". The sell volume uses "Result: Sell Volume (Negative)" and the delta uses "Result: Delta (Buy - Sell Vol)".

Here is a Volume Delta chart for Investor/RT: http://www.charthub.com/images/2008/02/14/VolumeDelta.png In the second pane, the buying volume is shown in light green, the selling volume in light red, and the delta in darker shades of green and red, using the Volume Breakdown Indicator.

We are very close to releasing version 9.0. We currently have a candidate release out that you can download at: http://www.linnsoft.com/dl/win/prerelease/irt_win_90c7.exe If you'd like to read about what's new in 9.0, visit: http://www.linnsoft.com/new/ We should be going final any day.

Investor/RT does provide several methods for displaying delta alongside Market Profile. On the following Market Profile chart, look in the InfoBox to the left. As you move your cursor over any profile/tpo, you'll get feedback on a number of levels (profile feedback, bracket feedback, price feedback, tpo feedback). Included in that information is the delta of the profile, delta of that price, delta of that bracket, and delta of that one tpo. Images | ChartHub.com In the bar chart below, the TPO Indicator has been overlaid to provide the developing value and and point of control, along with the IB and IB multiples. The Volume Breakdown indicator is show in the second pane to give the per/bar delta. VB can also be setup to accumulate the delta of the day and draw it in bar form. (Third pane shows TPO counts). Images | ChartHub.com

brownsfan, Here's a chart showing 500 volume bars in Investor/RT. http://www.charthub.com/images/2008/02/06/RegressionBands_2.png About a year ago, I changed the way our volume bars divided up the contracts. We were creating bars that were at least 500 contracts, but could exceed the 500 based on the size of the last trade that completed the bar. Now, we split the last trade up between bars if needed, so that each bar is exactly the volume called for. Theoretically, a single tick could create many bars (one tick of 2500 would result in 5 volume bars of 500).

I'm creating a web page on this chart / indicator. If one of you Value Chart experts will share some information on how this is traded, or provide me with a good link where it is explained, I would greatly appreciate it.

Sure. Is the period used above of 5 pretty standard for the Value Chart?

dupaski, I added the VWAP bands about 6 months ago in response to a thread I read here on Trader's Laboratory, and I made sure to match up my bands with those posted here. If you choose a "Bands Basis" of "Variance (CL vs VWAP)", you'll get the same results seen in the "VWAP Standard Deviation" threads. I could have titled this "Deviations" instead but wanted to be accurate as to the basis of these bands, which is a variance of the closing prices vs the VWAP values. There are some other interesting options for band basis, including: - 1/4 Days Range - One quarter of the range to that point in the day/session. - 3 x Avg Bar Range - Three times the average range (hi - lo) of last 20 bars.. - Constant $ Value - A constant $ Value above and below the VWAP. And a "Proprietary" option that is still a work in progress. You can read more info other the VWAP bands here: Investor/RT Tour - Volume Weighted Average Price (VWAP) including a demonstration video.

OK, that explains it. Thanks Blu-Ray. I created this one with a period of 5. If anyone has a TS chart to compare it to, let me know how it stacks up. Thanks. http://www.charthub.com/images/2008/02/04/ValueChart_2.png

I've studied the code Blu-Ray shared and am attempting to recreate the Value Chart in Investor/RT. Here is what I have come up with so far: Images | ChartHub.com However, comparing my chart with the charts in the videos wsam posted, my charts seem to oscillate at a much slower rate. Is it possible that a different VarNumBars was used in those videos (200 maybe instead of 1000)? Can somehow compare my charts with a 2-min of ES in TS and let me know how it compares. Thanks

While I'm not familiar with Ensigns Price Histogram feature and how it's computed, I can provide some information on Investor/RT's Market Profile related functionality. I recently posted on this subject in the Investor/RT Workshop and will paste what was posted below.

Investor/RT runs on Macintosh 9.x and OS X. www.linnsoft.com

Would it not make more sense to convert the VWAP bands into an oscillator. Here is essentially what it would look like: http://www.charthub.com/images/2007/11/09/VWAP_Oscillator.png This way, you have one histogram, instead of 5, 7, 9 lines overlaying your candles. The histogram tells you how many standard deviations price is above or below the VWAP. I'll add this oscillator option to our next release (I/RT 9.0).

Investor/RT has true constant volume bars: http://www.linnsoft.com/tutorials/periodicities.htm and EquiVolume (EquiIndicators): http://www.linnsoft.com/tour/techind/equi.htm

Many software packages look at the tick data, and place each ticks volume it's it's respective price level. If you only have 1-min data to work with, you can get a reasonable approximation by dividing each minutes volume up equally between the prices within the high/low range.

I posted this earlier in a different thread: JP is starting a free trial week September 24th. He only does this every 3 to 6 months, and only accepts new members during this period. So if you have any interest, you probably should go to his site and get signed up for the trial: http://www.jpjtrading.com/

JP is starting a free trial week September 24th. He only does this every 3 to 6 months, and only accepts new members during this period. So if you have any interest, you probably should go to his site and get signed up for the trial: http://www.jpjtrading.com/

I'm adding band options to the VWAP indicator in Investor/RT. I'm planning on adding several options as to how the bands are computed (std dev of cl, variance, half days range, etc), but for now, I'm using the method dogpile explained a couple pages back. Dogpile, if you can, verify that these look correct. Here is a 2-min chart of ES (8/23) using just the day session: http://www.charthub.com/images/2007/08/24/VWAP.png Here is a 2-min chart of ES (8/23) starting 90 minutes prior to day session: http://www.charthub.com/images/2007/08/24/VWAP_2.png Thanks

Well, there are a number of ways to handle this: 1) Closest to center of profile. 2) Closest to the VWAP 3) Closest to centroid 4) POC with most volume directly above & below it I would just go with option 1. I think that's the most widely used (probably because it's the easiest to compute). Of course, that can also be a tie. This link may be of interest to you: http://www.linnsoft.com/qa/a/123.htm

Good point achau. When you find that 2 prices will exceed 70%, you should take a step back and see if 1 price would have sufficed. Some programs do operate that way. As to why the logic was originally designed to look at two prices at a time...I really don't know the answer to that....but my guess would be, in situations of double-distributions, looking at two prices might have helped the value area work it's way into that second distribution quicker (and get past a single price, with very low volume, which it would not have if looking at 1 price at a time).

Here's the chart w/ definition for Investor/RT or MarketDelta users, including the VWAP along w/ the 1 & 2 Std Dev bands. http://www.charthub.com/images/2007/08/09/VWAP_Bands_2.png FWIW, I only read the first 15 or so posts of this thread...during which it was stated that it used the Standard Deviation of the VWAP when computing the bands. However, my best reconstruction (pretty well to the tick) of the chart in the video, was using a standard deviation of the 2-min closing prices. That probably has been mentioned in the posts I haven't yet read but wanted to make sure. Regards, Chad

Hey Reaver, Chris. Reaver, what you could do is simulate using the built-in portfolios within Investor/RT. You can setup automation from either signal markers, or the trading system indicator, to send orders to an IRT portfolio that you create. You can keep the portfolio open during playback and watch orders flow in and out of them, and then review the activity at the end of the day with the portfolio reports. This is an area we plan to devote alot of time to in the coming months. We have an MB Trading version currently in beta testing, and plan on implementing OpenTick and TransAct integration in the near future. I also intend to create some new videos focused on automation to illustrate how to accomplish these tasks in IRT. Regards, Chad

Reaver, if you have any questions or issues with Investor/RT, please let me know. I'll keep a close eye on this thread. Make sure to watch all the MP videos at www.linnsoft.com/videos if you haven't already.