Support Board
Date/Time: Tue, 06 May 2025 19:48:09 +0000
Post From: TPO rounding errors for Value Area calculation
| [2024-12-12 13:11:59] |
| User992529 - Posts: 32 |
|
I have two charts for TPO: one with price increment 3 and one with price increment 6 (both with scan two levels at the time). They are showing significantly different value areas. Actual behavior --------------- For example for the current CL contract on the 11 Dec RTH profile, the one with price increment 3 calculates the following VA: VAH 70.23 VAL 69.45 The one with 6 price increments calculates: VAH 70.02 VAL 69.18 As the values are so far away from each other, VAH difference is 21 ticks and VAL difference is 27 ticks, which is more than the uncertainty in the rounding which should be half of +/- 6 = 6 ticks maximum. The differences are almost 4X which makes me think there is some rounding issue (or intermediate rounding that shouldn't be done). Expected behavior ----------------- The 6 price increments TPO chart should vary by max 6 ticks from the 3 price increments TPO chart. |