POC, VAH and VAL Indicator

[binhnguyenpcqn]

I use data from binance sir

[zcsoka]

Please find below the new test version with alerts on the Market Profile Value Area lines. There options to alert on price getting close to:
VAH
VAL
POC

or POC changing.

There is a "Alert suppress in seconds" to suppress alerts for couple of seconds when they get triggered (to avoid alerts while the price is hoovering around the lines)
There is also an "Alert price sensitivity" to define how close the price has to get to the lines. Thin markets might jump over the lines without trades, therefore touches are always checked with level +- (sensitivity level * tick).

If you find any bugs or you have any feedback, please let me know.

z0li-2.3.2.jar

(96.4 KiB) Downloaded 587 times

[binhnguyenpcqn]

Is there any way to send these warnings to telegram?

[zcsoka]

Yes, but it is not a general feature anymore, it is a custom development. 

[yqbsipmhzhr]

Hello zcsoka,

I use your package daily and it's very helpful.

However, I believe the VAH and VAL are sometimes at the wrong place.

Today, my VAL is positioned at the tail of my volume profile, which is not right. (VA set to 70%)

I've compared it to Sierra Chart, and there are differences :

Today at 11:42 am for NASDAQ cash session (from 8:30 am) :
VAH on Sierra Chart is 16991.25 and 16983 on Bookmap
VAL on Sierra Chart is 16931.25 and 16913.50 on Bookmap (at lowest the price of cash session is 16913.50, the tail of the volume profile)
The POC is correct at 16939.75

At 12:21 pm POC has moved at 16960.75 and the VAH and VAL are more or less correct again.

Could you please check this?

Thank you

[zcsoka]

Hi, 

Could you please private chat me with screenshots and the saved Bookmap data? 
Are you sure, that the the calculations started at the same time in Sierra and Bookmap (the indicator was restarted at the same time).
Please remark, that VAH and VAL might be at extreme if the profile is skewed to one side. 

[yqbsipmhzhr]

Yes, Sierra and Bookmap were synchronized at the same time (when cash session opened at 8:30 am).

But indeed, the profile was skewed to VAL side (only 9 points between POC and VAL and 51 points between VAH and POC) and VAL was at the end of the volume profile.

Do you still want a screenshot?

[zcsoka]

If you believe that the calculation was not correct, please send me, I would like to investigate it to make sure that the calculation works fine. I suppose you are talking about NQH24 contract. If yes, I do not need the data, I have it, but I would still need the Sierra screenshot (if possible with numbered volume profile or number bars) to validate the data.

[yqbsipmhzhr]

Yes it's for NQH4 contract.

Here is the developping cash session VA + POC from Sierra for yesterday (12 january 2024). (15:30 is 8:30 AM in my timezone)

Screenshot with 1 tick volume profile : https://snipboard.io/oEaI3Q.jpg

Screenshot with 4 ticks per bar numbered volume profile : https://snipboard.io/CFYti7.jpg

There are differences only on VAH and VAL sometimes. POC is always correct.

[zcsoka]

Many thanks for the details. Unfortunately I have to ask you to send me the Bookmap feed file as well, I do not have the data so late into the day as the reported timestamp, in the beginning of the day the values still match. Please share it with me via private chat.