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sergio83

How to Calculate Volume by Price

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Hi all,

 

As in the title I am wondering how can I calculate the volume by price having the volume of every single bar of 1 minute.

 

So basically how to transfer the vertical histogram of the volume to the horizzontal histogram of the volume.

 

I am making a java program that visualize my own customised charts starting from a CSV file from MetaTrader that contain only the volume for each period of time/candlestick.

 

 

Thanks for any help, suggestion or link to websites or books.

 

Sergio

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You can't calculate it with 100% accuracy without transaction (tick) data. You could estimate by evenly distributing the volume over the whole bar and perhaps weighting the closing price a bit.

 

But since you seem to be using spot for ex the volume information you have is not accurate already, so that's two levels of inaccuracy.

 

A better option IMO would be to forget volume and use time at price instead. At least this way it's accurate. You might find that it's just as good or better anyway.

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yes sure! I am programming it already with time at price, but I would also like to implement the volume by price. Actually the whole a idea was to make charts that shows somehow the difference between time at price and volume at price so that (for what I think) you can see when the volumes are high not just because the price has been there for lot of time.

 

Anyway I am using data from metatrader, but not from the Spot market, I will use BrocoTrader or Sunbird which I told were from the features... aren't they?

 

I know that is an approximation with the bar of 1 minute, but I just want to create a program that get's you used to market profile playing with historical data... I won't use it for trade real money.

 

Might you then explain to me briefly, but step by step hoow would you calculate the volume by price from the volume of each 1M bar?

 

thanks a lot for any help

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This guy has a volume profile in Excel that uses 1min data. Well done him, Respect due.

 

There are no macros on the worksheet and all his formulas are visible. I'm sure you could

de-construct his formulas and transpose it into Java.

 

Its the file in the 4th post down.

 

Forums - Excel-cumulative volume profiles?

 

 

 

VT

 

Ps If the above helps you're more than welcome to send me a Beta version of your App! lol

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yes this looks like it is what I was looking for.. I will just have to trust this guy that the procedure is correct.

 

It might take me ages as I am doing it in the sparetime, but sure, I will share my app probably making a website.

Anyway I need feedbacks to see if I did it correctly.

 

Cheers

 

Sergio

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apparently it should work that way:

 

first we spread the volume of every single bar on all the ticks (the which size we will choose) that this bar has covered:

VolumeOfTheBar/(HighBar-LowBar+1 Tick) * Tick

 

and then for every price tick we will give a value which is the sum of all the volume spreaded volumes which are from the bars that passes from this price tick..

 

as an example:

exaq.jpg

 

 

Does this make sense? will it work correctly even if with approximation?

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Looks like you've unlocked the secret!

 

Unless you are using a High end data feed, the volume you will receive from a retail broker will be abbreviated anyhow, so don't sweat a few contracts here or there.

 

The excel volume profile tallys up with my charting platforms volume profile, in relation to where the peaks,nodes,and low volume is situated. The figures can sometimes differ, but its not a huge disparity.

 

If it helps, in my trading I'm more concerned with the structure of the profile and where the key areas are, not the exact figures to the nearest contract that made them.

 

VT

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Ya I also use a Tick chart. In essence instead of the bars being formed after X amount of time has passed they form after X amount of trades have taken place. When the bars for quickly volume is high, when they form slowly, volume is low. I prefer them to time based charts. Daily, 15-min and 512 tick are what I use most.

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first we spread the volume of every single bar on all the ticks (the which size we will choose) that this bar has covered:

 

Hmm, sounds a lot like this:

 

You could estimate by evenly distributing the volume over the whole bar and perhaps weighting the closing price a bit.

 

But if you were to profile one minute bars like I did just a second ago, you will find that the distributions based on just averaging like you did will be far enough off that you will probably not want to use it. One idea is give less weight to the high and low tick of the bars. I know that estimation can be done because I have software that profiles using one minute data (no tick data), and supposedly is about 95% accurate to the tick data. But no doubt it's being calculated using well-tested data, which you do not have access to.

 

Particularly since you are talking about comparing this with TPOs, I don't see the point of this... what did you hope to find again, if volume was high in an area, and a time-based profile showed that it was not there for a long time? You can get this same data much more easily by looking at a simple volume histogram, and look for high volume per time bar, no need to calculate an inaccurate volume profile and then do a difference with a market profile.

 

Why not just get tick data? MetaTrader must be the most bare bones software out there, and I understand the desire to get stuff cheap, but why not just get the tools you need? You are working on a project which can only yield inaccurate output. I'm not trying to burst your bubble, but just being real as to what you can expect.

 

If you go through with this, I'll be happy to post an actual volume profile so you can compare yours for accuracy.

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yes sorry Joshdance I could get the first formula from your words.

 

I think that making a program from the tick data would result in a heavier and slower program and also the file to store the data throught the years would be probably huge.

 

I would prefer to remain with the 1min bar for the moment.

 

Keep in mind that I just want to create an educational app, just to get used with the volume profile trading.

I first started because I would like to use VolFix / LuxVol but being that expensive it seems a bit a jump in the unknown to take it just to learn.

Now is more like a game to create this app.. i would also like to implement a tool that makes you see how the time at price or volume at price develope during the time with a sort of replay of the trading session. ..and other sort of this things that a novice might wonder about but which none of the platforms offer to visualize.

Maybe you are right the idea of the difference between Time and Volume at price is useless.

 

I definitely would like to implement this weighted volumes at the extremes... but I can not just invent a method... If I can find a source where a correct way of doing it is explained I can do it otherwise I will just add imprecision I guess.

Could you tell me something more?

 

So it seems that taking data from Broco or other metatrader futures platform is not going to give me anything usefull in terms of volumes...

what exactly does Valuetrader mean when he says:

 

the volume you will receive from a retail broker will be abbreviated anyhow

?

 

Could you tell me which is the best way to get volume wise correct historical data atleast for the EUR/USD future?

 

Maybe the only way is to get my hands on my wallet and get something like this:

FOREX Historical Data, Major Indices and Futures Historical Intraday and Daily Market Data - Through Download and on DVDs/CDs.

Global Historical Intraday Futures Tick Data | Trade and Quote Futures Data | Tick Data

 

it is going to become an expensive game ^_^

better going directly with VolFix :P

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could anyone tell me how much is the average order of dimension for the 1min Bar volume in the E7?

 

1 bar as usually around 10 or more likely 1000+?

 

just trying to understand what kind of data I have got

 

for example:

2008.01.22,20:36,1.45990,1.46000,1.45980,1.45990,9

2008.01.22,20:37,1.46000,1.46000,1.45980,1.46000,9

2008.01.22,20:38,1.45990,1.46000,1.45990,1.46000,6

2008.01.22,20:39,1.45990,1.45990,1.45980,1.45990,21

2008.01.22,20:40,1.46000,1.46010,1.45980,1.45990,13

2008.01.22,20:41,1.46000,1.46000,1.45990,1.46000,21

2008.01.22,20:42,1.46010,1.46010,1.46000,1.46000,8

 

are those volumes probably only from the broker I am using?

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First tests of the app...

 

is the Volume @ Price histogram shape anywhere close to what professional platform plots?

 

this is the chart for the EUR/USD date: 2011/07/07...

I am not sure if I have the data from the futures or just Forex Spot

 

firstfm.jpg

Edited by sergio83

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with tick at 0.0001 is more precise for comparison...

 

POC at 1.4326

 

secondi.jpg

 

 

I am actually now downloading history data from NinjaTrader AMP on 6E.... this should have the correct data, right?

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It's looking good. The figures you have look correct. Will your app have the ability to create composite profiles over an imputable number of days?

 

I am thinking to have a big profile of the previous week or two, and then you will watch every single day of the current week aside the big profile with the possibility to hide/replay part of the day and when you finish with wednsday (example) you can add its profile to the big one with a different color or watch its profile next to the big one and the profile only of monday and tuesday.

 

what exactly do you mean with composite profiles?

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A composite profile is two or more day profiles amalgamated together. In my humble opinion a one day profile has limited value. Rather than setting the profile to a fixed time period (eg. Week / month) with an inputable number of days you can create a profile to fit in with the current valed distribution.

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I will definetely put something like this.

 

you will choose a period in which you can choose a point in time where what is before that point will be summed in a big profile and what is after will be shown as many different profiles aside each the which lenght will be choose from you.

Moving the point you will see how the big profile developes.

 

 

But form me priority will be the visualization of the previous week profile in order to find the POC of this week... and then analize the days of the following week to see how do they behave when they meet POC of the previous week

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that would be free I guess... that I can customize it as I want... and that I can work on historical data as they are live with some sort of replay function..

 

But yes the all point is to get something that can exercise me to a level which can make me feel conscious in invest the money to get a real platform like VolFix (now LuxVol?)

 

or maybe it is just a game :p

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Hi guys I finished a first very rough version of my app...

 

ReMarket

 

basically from a NinjaTrader/metatrader4 exported CSV/txt file you can make a file .wem that my app an read... check the menu bar to convert you CSV files.. or download a sample from the website.

Once you got a database .wem you set it from my app (check the menu bar) and you can start to select the dates you want to analise.

 

Since the app has to access you local machine to select the database the app will require you to accept a certificate.

 

The idea is to have a big profile (A-B) from where to spot a POC... then you can select a day after this week to play like it is live.. choosing an increment and then pressin teh button SHOWday++ to see how the profile changes with time.

 

LeftMouseButton LMB makes you pan..

 

CTRL+LMB makes you scale the whole thing... but better to set proper scaling settigns from the menu bar.

 

If you press the RightMouseButton RMB you can place reference lines that will stay even when you pass from a profile to another.

 

The indicator on the left are in blue the VWAP and in red the PVP as taught from JPerl.

 

Check out the difference profile... I know I have been told being useless.. but I find it interesting to spot when a volume is high not only because price has been there for a long time.

 

Sorry the quick post but I am short of time.

Edited by sergio83

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