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Direct MessagesDate/Time: Sat, 04 May 2024 05:25:21 +0000
Discrepancies between VbP indicator and Volume Value Area Lines Indictaor
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| [2020-03-31 23:38:03] |
| Adam Schwartz - Posts: 81 |
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Hi, I have been looking at some indicators that I use and have noticed some discrepancies (quite large and concerning). I am using the VbP indicator, referencing back 1 period. I am also using the Volume Value Area Lines indicator, which is drawing the developing value area lines. Both are set to the same period, in this case monthly profiles. You would expect that at the end of the month (i.e. today), the POC (point of control) should show the same value. Usually it does, although I have noticed some differences this month. If you look at Russell 2000 futures (code is RTYM20 - using continous contract), you will notice that on the VbP indicator (referencing back 1 period), the monthly POC is at 1470 whereas on the Volume Value Area Lines indicator, the developing monthly POC is at circa 1060. The VbP is saying that the monthly POC for all of March was 1470 but the Volume Value Area Lines is saying that the developing monthly POC at the end of March is 1060. These should be the same - Why is the difference so large? I have attached a chart for you to see and also a screenshot of both settings. It is quite worrying the discrepancies are so large. |
Private File Private File Private File |
| [2020-04-01 03:38:13] |
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Refer to this section here about this: Time Price Opportunity (TPO) Profile Charts: Incorrect Value Area or Point of Control Values Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-04-01 09:04:01] |
| Adam Schwartz - Posts: 81 |
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I appreciate your quick response but this does not answer the question. I have read the documentation and this is not a case of "maximimum accuracy or consistency." Please re-read my initial post and view supporting docs, there is an almosgt 40% difference between the two POCs, that should have the same value or close enough! I am not noticing this difference on any other instrument so far - I have looked for other inconsistencies and everything seems to be in line. It is only on the Russell future RTYM20 I have found this. Thanks in advance, |
| [2020-04-01 09:24:52] |
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Refer to item 10 here: Time Price Opportunity (TPO) Profile Charts: Incorrect Value Area or Point of Control Values The problem must be one of the items in that section: Incorrect Value Area or Point of Control Values The problem could be related to other items as well. The documentation is there for a reason. It covers all possibilities. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-04-01 09:25:11
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| [2020-04-01 09:47:18] |
| Adam Schwartz - Posts: 81 |
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I have referred to that document and considered all possibilities. This does not seem to be the problem. Again, it shouldn't create a 40% difference in the POC. If you load up the VbP study with "Number of Periods Back to Reference" = 1, "Volume Graph Period Type" = Multiple Profiles Based on Fixed Time, and "Time Period Type for Fixed Time" = Months, and then also load up the Volume Value Area Lines study with "Draw Developing Value Area Lines" = Yes, "Time Period Type" = Months.........you should see what I am talking about on RTYM20. The POC value on the 31st March 2020 on the Volume Value Area Lines study should equal (or at least be CLOSE to) the POC value on the 1st April 2020 on the VbP study. Not 40% difference! Ticks per volume bar is constant between both and so is volume at price multiplier in chart settings. Thanks in advance for your response. |
| [2020-04-01 17:33:13] |
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We will look this over in more detail. Allow about a week though.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-04-11 07:54:30] |
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When we tested this about a week ago, we did observe what you said but now we are testing again so that we can resolve but now we can no longer reproduce this. This is what we see: http://www.sierrachart.com/image.php?Image=1586591601364.png There is a match between the developing value area lines and POC and the corresponding values by the volume by Price study referencing the prior month. If you are able to reproduce it currently, then we need to get your chart by following these instructions: Support Board Posting Information: Providing Chartbook with Only a Single Chart Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-04-11 07:55:33
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| [2020-04-12 08:23:15] |
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We found the problem and it will be resolved in the next release. Basically the problem is that when the Volume by Price study is referencing a prior period, there is determination of the right time period to use, which is the closest match. So in this particular case February 28 was the start rather than March 2 because there was no March 1. We implemented a basic patch for this. It should not cause any unexpected issues but there could be other scenarios that do not work perfectly that we have not considered. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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