CDA Indicators (Jule 2011)
Volume Profile
Volume Profile plots session-based volume-at-price horizontal histograms overlaying the worth bars. The Volume Profile is predicated on FuturesTrader71’s refinements to Dalton’s Market Profile strategy and is distinguished from the latter, by the elevated accuracy of detailed volume-at-price monitoring versus time-at-price as a way to evaluate the relative worth of the worth motion primarily based on market public sale principle.
CDA VolumeProfile indicator has been examined to work with all Futures, Stock, Index, and Currency market devices.
The indicator has a Volume-At-Price Mode parameter which can be utilized to pick out both UseCache (default), UseTickVolume, or UseMinuteVolume. Cache could be constructed utilizing Tick and/or Minute quantity knowledge.
The indicator is feature-rich with a number of choices to customise the looks of a full array of profiling info, together with:
Minute and/or Tick Volume-At-Price Based Profiles with Cache for optimization of historic knowledge
Session Profile displayable with single coloration or Heat Map with full spectrum or variable opacity.
Concurrent Session, Micro-Composite, and Composite Profiles with single occasion of indicator
Multiple Micro-Composite Profiles displayable with Heat Map and Date Span
Composite Profile displayable in Outline and/or Filled, with Heat Map, and Starting Date
VPOC, mcVPOC, and cVPOC Lines
Initial Balance Lines with Range and Period and possibility to spotlight bars of Initial Balance space.
Naked Initial Balance Lines and Alerts
Open Swing of Session
Session Open, High, Low, Mid-Point, Close Lines and Range
Integrated session VWAP Line with Standard Deviation Bands
Naked VPOCs Lines and Alerts
Naked Gaps Lines and Alerts
Naked High and Low Lines and Alerts
Composite High & Low Value Nodes (CHVN/CLVN) as Lines and/or Bands
Micro-Composite High & Low Value Nodes (mCHVN/mCLVN) Lines
Total Volume and Imbalance Factor (% Vol above POC minus % Vol beneath)
Value Area (High and Low) Lines, Band, and Range for Session Profiles and possibility to spotlight bars
Naked Session VAH & VAL Lines and Alerts
Value Area (High and Low) Lines for Micro-Composite and possibility to spotlight bars
Export session primarily based stats: Begin,End,TotalVol,VPOCVol,VolAboveVPOC,VolBelowVPOC,Open,High,Low,Close,VPOC,VWAP,IBH,IBL,VAH,VAL
Integrated plot of Cumulative Delta Volume (Bid/Ask) overlaid on value panel.
Display of whole Cumulative Delta Volume worth
Display of Volume-At-Price values for Session, Micro-Composite, and full Composite profiles.
Block Trade ( tick quantity spike) detector with audible alerts, chart notations, and e-mail alert messages
Overnight High, Low, and VPOC traces
Custom Toolbar to facilitate altering often accessed parameters.
Range profiling primarily based on tick quantity or minute quantity knowledge with an intra-session time-span or a variety spanning a number of classes.
The indicator’s UseCache Volume-At-Price (VAP) Mode expedites drawing of historic profiles. Volume-At-Price (VAP) Tick and Minute cache recordsdata are constructed utilizing UseTickVolume and UseMinuteVolume VAP Modes, respectively, and want solely be performed as soon as on contract rollover day or when coming back from an absence. Cached knowledge is robotically up to date with the processing of the real-time knowledge stream. See FAQ web page for extra particulars.
Many different third celebration Volume Profile indicators don’t provide the usage of tick-based quantity knowledge (for historic knowledge) and take the strategy of assuming minute-based quantity knowledge is nice sufficient. We disagree and have carried out a straightforward to make use of strategy to make the most of caching and might readily assist new customers by offering a free-of-charge cache file to get you up and working immediately, with cached TICK VAP knowledge