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Date/Time: Sun, 06 Jul 2025 09:10:31 +0000
[User Discussion] - How Much Data Should I Load for Intraday Use – Footprint, VWAP, Delta, Market Profile ?
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| [2025-06-30 00:06:02] |
| Sivle - Posts: 70 |
|
I trade the ES using Sierra Chart and my setup includes the following tools: • Footprint charts • VWAP • Cumulative Delta • Market Profile (with composites where I merge several days manually) I have VWAP and Cumulative Delta in the same chartbook How many days of data should I load for each? Here’s what I’m currently thinking: • Footprint – 30 days • VWAP + Cumulative Delta (same chartbook) – 30 days • Market Profile – 180 days I know that’s quite a bit of data, but I’m also trying to save disk space since .scid, .dly, and .depth files grow fast and take up a lot of space on my drive. My workflow: • I load 60–90 days of intraday data in my Market Profile chart • I manually merge multiple profiles (daily or weekly) to build composite profiles • I draw rectangles to mark value zones like VAH, VAL, and POC • Then I copy those zones to my price chart(chartbook) so I have them available for context when I analyze order flow using Footprint and Delta My concern: If I’ve loaded e.g. 60 days and created a merged composite profile over those 60 days, then the next day, when a new trading day loads, the oldest day is automatically removed if I’m still limited to 60 days. → That changes the entire merged profile, meaning: • My drawn value zones are now based on a profile that no longer exists • If I don’t notice it, my context and analysis may become inaccurate However, I always copy the drawn zones (rectangles) from the Market Profile chart to my price chart before the data rolls off, so they remain as fixed drawings. But the concern still stands – they’re no longer based on the exact profile I originally created. My questions: 1. I have VWAP and Cumulative Delta in the same chartbook. Is 30 days too much, or is it a good amount? 2. Is it reasonable to use: - 30 days for Footprint, VWAP, and Cumulative Delta - 180 days for Market Profile, to build long-term composite profiles? 3. Can I run this much data at once, or will it slow down Sierra Chart or quickly fill up my drive? My goal is: To have enough data for accurate analysis Without overloading my system or using excessive disk space Would really appreciate insights from anyone with a similar setup! I’m an intraday trader (not a swing trader), and I want to load enough data for Market Profile to make my value zones accurate — but I’m not sure how much data is appropriate for Footprint, VWAP, and Cumulative Delta. |
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