Volume By Price Study

• Introduction
• Notes
• Step By Step Instructions
• Example Chart Images
• Volume by Price Settings
• Volume Value Area

Introduction

The Volume by Price Study overlays a Volume Profile graph for each period onto a bar chart. The cumulative volume at each price increment over a specified period of time are displayed as horizontal bars in the background of a bar chart.

Notes

• If you desire the very highest accuracy, you should store intraday data tick by tick. Keep in mind, that when you store data tick by tick, this causes charts to load slower, possibly significantly, and overall may increase CPU usage. Therefore, unless your market analysis requires very highly accurate Volume by Price analysis, you should not store data tick by tick. This can be adjusted by selecting Global Settings >> Data/Trade Service Settings on the menu. Set the Intraday Data Storage Time Unit to 1 Tick if you really need it. Preferably use 2 seconds, it's faster with data loading. If there is a setting in the Data/Trade Service Settings window to control the timeframe of the historical intraday data downloaded, then set that 1 Tick (if available).
• Another issue you should be aware of is that Sierra Chart uses a special algorithm to decrease the intraday chart data load times when building the necessary Volume at Price data. If you have a long-range per bar (high timeframe per bar) and a lot of bars loaded in the chart, the accuracy of the Volume at Price data is automatically reduced.

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Step By Step Instructions

1. Select Chart >> Chart Settings. Make sure the Tick Size is set correctly. If you modified the Tick Size, uncheck Automatically Set Tick Size. The Tick Size is the minimum increment that a symbol trades in. Press Ok.
   
   
   It is important that when using the Volume by Price, Volume Value Area Lines or the TPO and Volume Profile Chart studies that you have the proper Tick Size set in Chart >> Chart Settings for the chart symbol. If the Tick Size is too small, then it will take a long time to load chart data from the symbol data file. If the Tick Size is too large, then the studies will not be very accurate with their volume display. If the Tick Size is incorrect, then this may also reduce the accuracy of the Volume by Price graph by causing volume to not always be mapped to the correct price levels.
2. Select Analysis >> Studies on the menu.
3. In the list of available studies select Volume By Price. Press the Add button.
4. If the settings window is not open, press the Settings button.
5. On the Settings and Inputs tab press the Volume By Price Settings Window button.
6. Set the Price Increment to the desired value.
7. Set the other settings as you require. For more information see the Inputs/Settings section.
8. Click Ok.
9. Select the Subgraphs tab, and set the colors as you require. The outline and the fill color of the volume bars are set with subgraph 16. If you have the option Display Bid/Ask Colors As enabled, then those colors are set with subgraph 13. For more information see the Color Settings section.
10. Click Ok.
11. Click Ok.
12. When you first add the Volume by Price study to the chart, the chart may reload it's data from the symbol data file in order to load the necessary volume data from the symbol data file that is required by this study, if the volume data has not already been loaded by another study that requires it.

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Example Chart Images

This image shows a Volume by Price graph using a Visible Bars period and a Price Increment of 0.5. The Volume Count per Volume bar is also shown.

This image shows 1 Day Volume Profiles on an intraday chart. Each volume bar also is color-coded to indicate the BidVolume and AskVolume component of the bars.

This image shows a Volume by Price study with a Transparent draw style and a Period Type of 1 Bar on top of a Numbers Bars graph draw type.

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Volume by Price Settings

Price Increment

The Price Increment specifies the grouping of prices traded during the specified Period of time for a Volume Profile. There is 1 Volume bar for each price group or Price Increment. The Price Increment can be as small as the Tick Size for the symbol. For example, if a given time period has a price range from 1110.5 to 1114, a Price Increment of 1 would group prices into 4 groups: 1111, 1112, 1113, 1114. The price group for 1111 would include the range from 1110.5 to 1111.25, assuming a Tick Size of 0.25. While a Price Increment of 0.5 would group prices into 8 groups, 1110.5, 1111, 1111.5, 1112, 1112.5, 1113, 1113.5, 1114. The price group for 1110.5 would include the range from 1110.25 to 1110.5, assuming a Tick Size of 0.25.

Period Settings

These settings specify the time period for each Volume Profile in the chart.

Period Type

This setting specifies how to define a Volume Profiles period. The following are the selections:

• Visible Bars (Dynamic by Screen): This defines a dynamic period based on the main price graph bars that are displayed/visible on the chart window.
• Fixed by Bar Count: This defines a fixed period based on the number of price graph bars specified with the Number of Bars setting.
• Fixed by Time: This defines a fixed period for the Volume Profiles according to the Time Period Type and Time Period Length controls.
• One Period Fixed by Time: This defines a single fixed Volume Profile period at the end of the chart of exactly the time length specified by the Time Period Type and Time Period Length settings. This Volume Profile is of the full specified time length counting back from the Date Time of the last bar in the chart. For example, if the Time Period is 1 Day and the last bar in the chart has a time of 10:14:59, then the profile will begin at 10:15:00 in the prior day.

Number of Bars

When Fixed By Bar Count is selected for the Period Type setting, this setting defines how many bars will be within a Volume Profile period.

Time Period Type and Time Period Length

When the Period Type is Fixed by Time or One Period Fixed by Time, these controls specify the time period length for each Volume Profile.

Start Date

When the Period Type is Fixed by Time, this setting specifies a start date you would like to begin the Volume Profiles at. This setting is optional and is for more specialized purposes. In the case of a Volume Profile based on weeks, months, or years, these will always start at the beginning of the week, month, and year respectively. Therefore, typically there is not a need to specify a Start Date.

Display Settings

Display Above Price Bars

When this option is enabled, the Volume Profile bars are displayed on top of the main price graph bars.

Display Bars on Right Side Instead of Left Side

Normally the Volume Profile bars are displayed at the beginning of each period from left to right. If this setting is enabled, the Volume Profile bars will be displayed at the end of each period from right to left.

Use Transparent Draw Style

When this option is enabled, the Volume Profile bars are transparent. The transparency level is set in the Global Settings >> Graphics Settings.

Display Volume Count in Bars

When this option is enabled, then the total Volume Count is displayed in each volume bar.

Always Display Volume By Price on Screen

When a Volume Profile period is Fixed by Time, often it can go off the window. When this option enabled, the Volume Profile bars will always be displayed on the window.

Maximum Volume Bar Width >> Based On

This setting allows you to base the width (Horizontal Length) of the Volume bar with the maximum volume in the Volume Profile to be based upon the width of the area where the price bars are in the chart window (Window Width) or the length of the specified period (Period Length). When using Window Width, the width is based upon the overall width of the visible bars in the chart. If there is a blank area on the right side of the chart due to setting a Fill Space or not enough bars to fill up the chart, then that blank area is not considered.

Maximum Volume Bar Width >> Percentage

This percentage setting works with the Maximum Volume Bar Width Based On setting and specifies the percentage of the Window Width or the Period Length that the maximum volume bar horizontal width will use of the total available width.

Bid & Ask Coloring >> Display Bid & Ask Colors

When this option is enabled, the BidVolume and AskVolume portion of the Volume bars are colored the specified colors. The colors are specified through the Subgraphs tab of the Study Settings window. Please refer to the Color Settings section.

The Coloring Method specifies the method by which the volume bars are colored based on BidVolume and AskVolume.

Bid & Ask Coloring >> Coloring Method

Separate Bid/Ask Volume Coloring: With this coloring method, the portion of the Volume bar that represents BidVolume is colored the BidVolume color and the portion that represents the AskVolume is colored the AskVolume color.

Difference of Ask and Bid Volume Coloring: With this coloring method, the difference between AskVolume and BidVolume is calculated and the portion of the Volume bar which represents this difference is colored either the AskVolume or BidVolume color, depending upon which one is greater in the Volume bar.

Dominant Bid or Ask Volume Coloring: With this coloring method, the portion of the Volume bar that makes up BidVolume and AskVolume is colored a single color and the color is either the BidVolume or AskVolume color, depending upon which one is greater.

Bid & Ask Coloring >> Ignore Bar Outline for Bid & Ask Colors

When this option is enabled, the Volume bars are not outlined, using the outline color, for the sections that are colored the Bid and Ask volume colors.

Color Settings

The Subgraphs tab in the Technical Study Settings window specifies the graphics settings for the Volume by Price graph. You will notice many Subgraphs listed. Only the ones documented below are relevant. The other Subgraphs are used but automatically set when using the Volume by Price study. If you alter the settings for an automatically set Subgraph, your settings will be ignored.

Ask and Bid Colors

This subgraph is for setting the AskVolume and BidVolume colors for the Volume profile bars. The primary color button sets the AskVolume color. The Secondary color button sets the BidVolume color. The Draw Style setting is set to Ignore and it is not relevant.

Volume Point of Control Color and Width

This subgraph controls the color, width, and visibility of the Volume Point of Control line. To hide the Volume Point of Control line set the Draw Style to Ignore.

Volume Count Text Color and Size

This subgraph controls the color and font size of the Volume Count text displayed on the Volume profile bars. The Size setting sets the font size. If it is set to 0, then the font size is automatic.

Volume Bars Outline & Fill Color

This subgraph controls outline color for the Volume profile bars and the fill color of the Volume profile bars. The only valid controls for the subgraph are the two color controls. The others are not used.

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Volume Value Area

To display the Volume Value Area High and Low on the chart as lines, you will need to use the Volume Value Area Lines study. The study will also display the point of control as well. With this study you have the ability to display the Volume Value Area Lines for any time period and based upon either the current period or a prior period.

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