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Direct MessagesDate/Time: Wed, 24 Apr 2024 16:16:43 +0000
Post From: Tpo Value Chart and Tpo Value Area Lines
| [2014-02-14 21:04:38] |
| drywater0 - Posts: 85 |
|
SC Support, Many thanks in advance for your help. I noticed this issue some time ago, and have tried to resolve myself to no avail. Enclosed please find 3 screenshots in addition to the requested Chartbook. I include additional attachments because I believe that the Letter/Block Price Increment in Ticks may be relevant. 1) Simplified Chartbook as requested. 2) Screenshot #1 with Letter/Block Price Increment in Ticks set to my default of 2. 3) Screenshot #2 with Letter/Block Price Increment in Ticks set to 1. 4) Screenshot #3 with Letter/Block Price Increment in Ticks set back to my default of 2. Just in case the screenshots are difficult to read, the values for VAH, PoC, VAL for the TPO & VbP chart. #1 184.14 183.58 183.28 #2 183.86 183.59 182.98 #3 184.16 183.58 183.28 The corresponding values for 1 min chart are basically the same in all 3 screenshots: #1 183.86 183.59 183.00 #2 183.86 183.59 182.97 #3 183.86 183.59 182.96 Although there is a small variation in the VAL, it is probably because the market traded consistently higher during the short period when I ran these tests. My concern is the shift in the VAH & VAL of about 30c when changing the Letter/Block Price Increment. When this is set to 1 tick, the TPO/VbP chart is consistent with the Value Area Lines on the 1 min chart. Given the Letter/Block Size Increment setting does NOT exist on the Value Area Lines study, can I assume that it is set internally to the natural minimum of 1 tick? Although changing the setting to 1 tick seems to make things consistent, it is not clear to me why changing from 1 tick to 2 ticks should have should a large impact on VbP? I can see how it might affect the TPO PoC & Value Areas because increasing the size makes the calculations less precise as one TPO can shift things widely given the limited amount of TPO’s on a typical trading day. However, the volume traded at 1 tick vs. 2 tick increments should be less vulnerable to such distortions. This is especially true for SPY (SP500 ETF) given (1) highly liquid with typical volume of 100mm+ shares and (2) the very small tick size of only 1 cent vs. the equivalent of a 2.5 cent tick size for the ES future. Both before and during these tests, I used Delete and Download Data to make sure this was not an issue. I also ensured that my Chart Settings were consistent in terms of Tick Size and Session Times. I appreciate your time and attention. Please let me know if you need more information from me. |
 VolValArea vs TPO Profile & VbP.cht - Attached On 2014-02-14 21:02:54 UTC - Size: 71.65 KB - 481 views  #1 VA Lines vs. TPO & VbP - 2 tic.JPG / V - Attached On 2014-02-14 21:03:34 UTC - Size: 321.2 KB - 570 views #2 VA Lines vs. TPO & VbP - 1 tic.JPG / V - Attached On 2014-02-14 21:03:48 UTC - Size: 301.45 KB - 570 views #3 VA Lines vs. TPO & VbP - back to 2 tic.JPG / V - Attached On 2014-02-14 21:03:58 UTC - Size: 298.58 KB - 542 views Attachment Deleted. |