Composite and Long Term Volume Profiles in Multicharts 8.5?  [SOLVED]

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Composite and Long Term Volume Profiles in Multicharts 8.5?

Postby mohi4u » 02 Dec 2012

Hello,

In Multicharts 8.5 beta, do we have Composite and Long Term Volume Profiles feature?
This feature automatically labels high and low volume levels using a feature called Auto Peak/Valley Lines. These may act as support and resistance.

Composite & Long Term Volume Profiles and Compute last X (number) of Profiles is a very important feature in auction market theory and volume analysis.

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Mohi

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby arnie » 02 Dec 2012

You can easily create composites but since MC use tick data to build it you are limited by the tick data you have in your database.

If you use IQFeed you are limited to their 120 days of tick data. Naturally that with time your database will build itself and in a year you'll be able to build composites with that same year's data but till than, you are limited by the data you have now.

Regarding Auto Peak/Valley Lines, so far MC does not have that option. Definitely a nice option to have.

You have multiple ways to compute x number of profiles depending the periodicity you're using. If using a 405 minute bar you can select Every x bars. Imagine that you want to have a composite for every 10 days. With that option you can easily get your setup.
You can also use last x bars or sessions.

Something that is missing is the option to select week and monthly profiles but I'm hoping they will add this later on...

Getting back to the tick data, it will be interesting to know how will MC react when dealing with such period length. Building composites with tick data, for example, 1 or 2 year composite, how much memory will MC need to handle such task?
At the moment I have 132 days loaded and MC is still below 180MB which is pretty nice to see. Naturally that I only have ES open. If I start to open a couple of more symbols with such period length I'm sure it will build up on memory consumption.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby mohi4u » 02 Dec 2012

Thanks Arnie for your kind update.

arnie wrote:You have multiple ways to compute x number of profiles depending the periodicity you're using.

Can you kindly advice with the steps on the multiple ways to compute x number of profiles?

arnie wrote:Something that is missing is the option to select week and monthly profiles but I'm hoping they will add this later on...


Is this a feature of option to select week & monthly profiles, that has to be requested in MC Project management?

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Mohi

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby arnie » 02 Dec 2012

mohi4u wrote:Can you kindly advice with the steps on the multiple ways to compute x number of profiles?


Is this a feature of option to select week & monthly profiles, that has to be requested in MC Project management?


Are you talking about how to set composites?

You need to add several data series, each with its own profile and then overlay them.

Image

I really don't know if someone already requested it in PM but it sounds to be the same.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby mohi4u » 02 Dec 2012

Great! Thank you very much Arnie. The screenshot helped me a lot.

Can you kindly forward me the attachment of the workspace also, so that I can see the settings for several data series?

Thank you once again, for your excellent support.

Thanks & Regards,
Mohi

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Re: Composite and Long Term Volume Profiles in Multicharts 8  [SOLVED]

Postby arnie » 02 Dec 2012

mohi4u wrote:Can you kindly forward me the attachment of the workspace also, so that I can see the settings for several data series?


The workspace is attached.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby mohi4u » 02 Dec 2012

Thanks you very much Arnie. I have tested with ES, YM, 6E, CL and I can now see the desired results.
Thanks once again.

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby ax » 04 Dec 2012

Arnie

Many thanks for the composite workspace. I am using CQG data and recive an error message:
The compiled "@LastPriceStopExtensions" study is not found.

Any advise would be most appreciated

ax

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby arnie » 05 Dec 2012

ax wrote:Arnie

Many thanks for the composite workspace. I am using CQG data and recive an error message:
The compiled "@LastPriceStopExtensions" study is not found.

Any advise would be most appreciated

ax



Ignore it.
Actually, go to Format Indicators and delete it. It's a study that I forgot to remove from the chart.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby piranhaxp » 05 Dec 2012

If you try to find the composite profile of a certain x-day range, the results are wrong in MC .... I don't know why, but MC is still including weekend days in their day range. Means if you select 100 days back, you get data for like 72 or 75 days only, because at least Saturday and Sunday are still included .... I requested a change in any version since MC 6, but nothing happened.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby arnie » 05 Dec 2012

piranhaxp wrote:If you try to find the composite profile of a certain x-day range, the results are wrong in MC .... I don't know why, but MC is still including weekend days in their day range. Means if you select 100 days back, you get data for like 72 or 75 days only, because at least Saturday and Sunday are still included .... I requested a change in any version since MC 6, but nothing happened.


MC reads calendar days, not trading days, hence the discrepancy between the days you request and the actual days loaded.
Many have requested this to be changed, but so far no such luck.

If you set a start and an end how can the composite be wrong?
If you set the last... 10 days how can the profile be wrong?
If you have no data for the weekend than the profile will only use trading days for the calculations.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby piranhaxp » 05 Dec 2012

If you have an array running for 100 days, but data included are just for 72 days then your results are wrong, because MC doesn't give you any error message. Their routine is still working with Saturday and Sunday for the array data range in days.

If you expect to load data for 10 trading days, but you get 8 only ... how can the composite for 8 days be the same for 10 trading days, 2 days of calc are missing

Why I, as a user, should always set a start- & end-date every day and every composite manually, when I can expect to get 10 trading days instead of 8 days ... makes it more complicated in the morning ...

Why I, as a user, should calculate the previous trading days compared to calendar days every morning, to be sure to get the correct results from my studies ... Why I should make myself aware that maybe one week has 5 trading days, the last 2 weeks just had 6 days ...

[EDIT ... And if I want to see the last two weeks in a profile with 5 sessions for each .... how you make it MC calculate the 5 sessions from the start .... I am unable to set it on Monday morning for 5 sessions with a 10 day calendar day chart or 20 calendar day chart just to see the exact last 2 weeks in 2 profiles .... ]
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby arnie » 05 Dec 2012

piranhaxp wrote:If you have an array running for 100 days, but data included are just for 72 days then your results are wrong, because MC doesn't give you any error message. Their routine is still working with Saturday and Sunday for the array data range in days.

If you expect to load data for 10 trading days, but you get 8 only ... how can the composite for 8 days be the same for 10 trading days, 2 days of calc are missing

Why I, as a user, should always set a start- & end-date every day and every composite manually, when I can expect to get 10 trading days instead of 8 days ... makes it more complicated in the morning ...

Why I, as a user, should calculate the previous trading days compared to calendar days every morning, to be sure to get the correct results from my studies ... Why I should make myself aware that maybe one week has 5 trading days, the last 2 weeks just had 6 days ...



Don't get me wrong, I'm one of those that have been requesting the change from calendar to trading days.

But if you already know that 100 days only retrieve 70 days why don't you load 130 days?
If 10 days only retrieve 8 days than load 12, 14, 16 days...

Why do you need to set a start and an end every day for a composite? If the end of the composite is the last bar of the chart I understand that you need to set a new end everyday since beta 1 does not have yet the option for it to update with each new bar but I believe that will be fixed in beta 2.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby piranhaxp » 05 Dec 2012

But if you already know that 100 days only retrieve 70 days why don't you load 130 days? If 10 days only retrieve 8 days than load 12, 14, 16 days...


I'm requesting the change as well since we had the last ice time ....

130 days will not be enough for 100 days, because you would have to calc how many Sa + Sun will be included in these 30 days .... And how much holidays as well etc etc .... Do you want to make all these calc's every day .... ??? Maybe I should load 500 days to be able to make calc for 200 days and to be sure about it ... WELL DONE !!! Good solution ...!!!!!!

What about calc's for profiles for every (lets say) 5 sessions ... Why it starts from the first day of available data ? Why it does not calc the 5 sessions from the prev close back for 5 days ? Etc ....

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby TJ » 05 Dec 2012

I think MultiCharts loads in calendar days because that's what a software can do.

1. The software has no way to know which day is a trading day and which is not. Every country has a different holiday scheme. How do you tell MultiCharts to keep track of hundreds of exchanges around the world? which have schedules that are subjected to change!

2. Trading days are not a consistent practice: some holidays are trading days, some are not. Some holidays are half trading days, while other holidays have half trading days on the day before (or Friday previous). Some days only the bonds go on holiday while the stocks don't. Who is to keep track?

3. Can you ask MultiCharts to load only the "trading days" you have in your own database? Well, that might not work either. What if someone goes on holiday, or is missing a day's data. What should MultiCharts do? load an extra day to compensate? When MultiCharts downloads missing data, then you will have an extra day and you will not be happy either. What if your database has a bad tick and created an extra day (it happened before: the datafeed sent the last tick after close)? Who should you complain to?

There are more challenges than solution for any other methods.

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby piranhaxp » 05 Dec 2012

1. The software has no way to know which day is a trading day and which is not. Every country has a different holiday scheme. How do you tell MultiCharts to keep track of hundreds of exchanges around the world? which have schedules that are subjected to change!

2. Trading days are not a consistent practice: some holidays are trading days, some are not. Some holidays are half trading days, while other holidays have half trading days on the day before (or Friday previous). Some days only the bonds go on holiday while the stocks don't. Who is to keep track?


Why other software vendors can do it ? Why you need to track these days ? MC loads missing data when you open a chart automatically ... So no tick, after reloading missing data, on one day is no trading day .... If the exchange is not delivering anything because of a holiday, MC will not receive anything. How MC is able to figure out data are missing or not ... Why not transfer this "technology" to sort a calendar day from a trading day ?

. Can you ask MultiCharts to load only the "trading days" you have in your own database? Well, that might not work either. What if someone goes on holiday, or is missing a day's data. What should MultiCharts do? load an extra day to compensate? When MultiCharts downloads missing data, then you will have an extra day and you will not be happy either. What if your database has a bad tick and created an extra day (it happened before: the datafeed sent the last tick after close)? Who should you complain to?


Why I should be not happy with one extra day, when this keeps me sure to have the right base for my calculations (without overloading myself with tons of data for double amount of dates I really need) ... Do you want me to say that someone is going for holidays for 120 days (like IQ can deliver it) ... Everybody should be responsible for his own data if he's out of the business this long time ....

TJ, I know many other chart software vendors which can provide 10 trading days easily ... If I want it without checking the calendar myself every morning. These are ridiculous arguments .... Sry.

The important message is, that the current situation is forcing me into mistrust and huge problems with quality of calculations.

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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby TJ » 05 Dec 2012

From Andrew's previous answer (in another thread), he was looking from a holiday schedule perspective. But I can now see that your request is really about sessions, not "trading days as in non-holidays" (a minor terminology caused thinking divergence) -- you want to load X number of sessions from your database onto the chart. You are not concerned with whoever's holidays or Saturday or Sunday, or whatever. All you wanted is to load X number of days from the data in your computer.

I think the request is reasonable. I hope a few more vote will come your way.
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby arnie » 06 Dec 2012

The holiday settings in QM is quite nice to remove half days, hurricane Sandy events and everything that is messing the regular trading session/day. I advise all to use it to "clean" the data loaded.

Yes, there're platforms out there that do read the data in terms of trading days and not calendar days although to achieve this, they must use a calendar based algorithm nonetheless.
I'm almost certain they use the Sessions Templates (they are calendar based) to know how many trading days to load?

Take the image as an example.
We select a session template created by us, in this case we have the US equity futures and the regular trading hours where each trading day begin at 8:30am CT and end at 3:15pm CT. Monday through Friday.
So when we select 20 days back MC will use the template and calculate 20 days back from the last day based on the template.
Naturally that if we mess up the session template MC will load incorrect days but that will be our problem, not MC's.

Image

The same will be also true when looking at a 24 hours trading day. The sessions templates will be the road map for MC to know what days to load.

What about calc's for profiles for every (lets say) 5 sessions ... Why it starts from the first day of available data ? Why it does not calc the 5 sessions from the prev close back for 5 days ? Etc ....


Have you call their attention to this?
MC is still in beta 1, so, still being developed. You need to contact them and call their attention to these things otherwise they will not know if things are working accordingly to our wishes or not.

I actually called their attention to this same thing during this weekend. It makes more sense having the sessions being read from the last one backwards than from the first one forward, otherwise every time you change the number of days loaded you'll have a different profile. But while this is true for sessions, for bars things are a bit different, specially with minute bars. Imagine that you want to see a profile for every ten, 5 minute bars. If you read this from the last bar backwards you'll end up with a new profile for every new 5 minute bar which is not what you want. In this case, you would need to read from the first bar forward.

Again, using the session templates should be a solution since with it MC knows where each day start and at what time. Actually, using them it really doesn't care from where you start your reading from the first bars or the last because it will always know where to start and where to end.

For weekly readings the same principle is used. With the session templates MC can easily know where the week start and where it ends, allowing to draw weekly profiles.

The question of course is, is the use of the templates feasibly in the way MC was built?
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Re: Composite and Long Term Volume Profiles in Multicharts 8

Postby piranhaxp » 06 Dec 2012

TJ, yes I got you and yes let's call it "Sessions" ... So we are on the same way. Nice.

Arnie, yes ... regarding to sessions it should start from the prev. close .... always. Regarding to the bars, I can't follow your argument for the moment and have to make my own thoughts. Thanks.

Greetings.

Mike


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