Difference between revisions of "Volume Profile"

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#* '''Buy vs Sell Volume'''. If this profile is selected, it displays '''total volume''' value in each line and the line is colored in green/red (by default) depending on whether the ask volume is greater or smaller than bid volume.<div style="background-color: #E5F6FF;">'''Example''': If the ASK volume is 3000 and BID volume is 2000, the ASK volume is greater than BID volume, the line is colored in green, however the displayed value is 5000 (Total Volume).</div>
 
#* '''Buy vs Sell Volume'''. If this profile is selected, it displays '''total volume''' value in each line and the line is colored in green/red (by default) depending on whether the ask volume is greater or smaller than bid volume.<div style="background-color: #E5F6FF;">'''Example''': If the ASK volume is 3000 and BID volume is 2000, the ASK volume is greater than BID volume, the line is colored in green, however the displayed value is 5000 (Total Volume).</div>
 
# Select '''Breakdown by''':
 
# Select '''Breakdown by''':
#* '''Ask Traded vs Bid Traded''' method:
+
#* '''Up Ticks vs Down Ticks''' method:
 
#** If the current tick price is higher than the previous tick price, the volume of the current tick goes to BUY volume.  
 
#** If the current tick price is higher than the previous tick price, the volume of the current tick goes to BUY volume.  
 
#** If the current tick price is lower than the previous tick price, the volume of the current tick goes to SELL volume.
 
#** If the current tick price is lower than the previous tick price, the volume of the current tick goes to SELL volume.
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#: <div style="background-color: #E3FBE5;">'''Note''': When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request '''historical tick ask''' and '''bid''' data from your data source for the specified in chart settings data range, if '''Ask Traded vs Bid Traded''' is selected. </div>
 
#: <div style="background-color: #E3FBE5;">'''Note''': When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request '''historical tick ask''' and '''bid''' data from your data source for the specified in chart settings data range, if '''Ask Traded vs Bid Traded''' is selected. </div>
 
#: <div style="background-color: #E3FBE5;">'''Important information''': The logic described above is for data collected in real-time. The following logic is used for historical plots. '''Example''': Assume there are 3 historical trades, 9 historical bid quotes and 12 historical ask quotes. All of them have the same timestamp. To find out which historical asks and bids were used to generate the trades, they are all divided into 3 equal parts (because there are 3 trades). the first “batch” there are 3 asks, 1 trade and 4 bids. The most recent ask/bid matching the trade price is considered to be the price where the trade was made. If ask price is considered for the fill, then the trade’s volume goes to BUY volume. If bid is considered for the fill, then the trade’s volume goes to SELL volume..</div>
 
#: <div style="background-color: #E3FBE5;">'''Important information''': The logic described above is for data collected in real-time. The following logic is used for historical plots. '''Example''': Assume there are 3 historical trades, 9 historical bid quotes and 12 historical ask quotes. All of them have the same timestamp. To find out which historical asks and bids were used to generate the trades, they are all divided into 3 equal parts (because there are 3 trades). the first “batch” there are 3 asks, 1 trade and 4 bids. The most recent ask/bid matching the trade price is considered to be the price where the trade was made. If ask price is considered for the fill, then the trade’s volume goes to BUY volume. If bid is considered for the fill, then the trade’s volume goes to SELL volume..</div>
#* '''Up Ticks vs Down Ticks''' method:
+
#* '''Ask Traded vs Bid Traded''' method:
 
#** If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume.
 
#** If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume.
 
#** If the current tick price is lower or equals current BID tick price, the volume of the current tick goes to SELL volume.
 
#** If the current tick price is lower or equals current BID tick price, the volume of the current tick goes to SELL volume.

Revision as of 17:09, 8 November 2012

Understanding Volume Profile

Volume Profile is a tool providing traders the opportunity to see how much volume was traded on particular price levels lately or within a specified time period. It also divides all traded volume into BUY volume and SELL volume, so a trader can see whether there were more BUY trades or SELL trades on a particular level. There are multiple options to display those values and to customize volume profile colors.

Using Volume Profile

Volume Profile can be turned on/off from the Format Instruments window:

  1. Open the Format Instruments window.

    To open the Format Instruments window, click the Format Instruments Format Instrument.png icon on the main toolbar;
    if the Format Objects window appears, select the symbol and click the Format button.

    The Format Instruments window can also be opened by one of the following methods:
      - Position the mouse pointer over the symbol's data series; double-click once the Pointer Pointer.png changes into a Hand Hand.png;
      - Position the mouse pointer over the symbol's data series; once the Pointer Pointer.png changes into a Hand Hand.png right-click and then click Format Symbol Name;
      - Right-click on an empty area of the chart and then click Format Instruments; if the Format Objects window appears, select the symbol and click the Format button;
      - Select Format in the main menu and click Instrument; if the Format Objects window appears, select the symbol and click the Format button.

  2. Select the Volume Profile tab.
  3. Check the Show Volume Profile check box to turn Volume Profile on/off. The Show Volume Profile check box is unchecked by default.
  4. Select one of the available Profiles:
    • Tick Count. If this profile is selected, it doesn't take into account volume provided by a data source. Each tick volume = 1. Each line demonstrates number of ticks traded on a specific price level and colored in blue (by default).
    • Total Volume. If this profile is selected, it displays ask + bid volume provided by a data source for every tick. Each line demonstrates total volume traded on a specific price level and colored in blue (by default).
    • Buy x Sell Volume. If this profile is selected, it displays ask x bid volume provided by a data source for every tick. Depending on the ask and bid volume amounts each line is colored in green and red (by default) proportionally.
      Example: If the ASK volume is 3000 and BID volume is 2000, the displayed value is 3000 x 2000.
    • Delta. If this profile is selected, it displays total volume value and ask - bid result as a part of the total volume in each line. If the ASK - BID result value is negative, it is colored in red, if the value is positive it is colored in green (by default).
      Example: If the ASK volume is 3000 and BID volume is 2000, their delta is 1000, so the 4/5 of the line is colored in blue and 1/5 of the line is green, meanwhile the displayed value is 5000 (Total Volume).
    • Buy vs Sell Volume. If this profile is selected, it displays total volume value in each line and the line is colored in green/red (by default) depending on whether the ask volume is greater or smaller than bid volume.
      Example: If the ASK volume is 3000 and BID volume is 2000, the ASK volume is greater than BID volume, the line is colored in green, however the displayed value is 5000 (Total Volume).
  5. Select Breakdown by:
    • Up Ticks vs Down Ticks method:
      • If the current tick price is higher than the previous tick price, the volume of the current tick goes to BUY volume.
      • If the current tick price is lower than the previous tick price, the volume of the current tick goes to SELL volume.
      • If the current tick price is the same as the previous tick price, the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.
        Example: If a new tick comes with higher than previous price and volume is recorded as BUY volume, and then another tick comes with the same as previous price, the volume is recorded also to BUY volume.
      • If a tick is first one in the series, its volume goes to BUY volume.
    Note: When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request historical tick ask and bid data from your data source for the specified in chart settings data range, if Ask Traded vs Bid Traded is selected.
    Important information: The logic described above is for data collected in real-time. The following logic is used for historical plots. Example: Assume there are 3 historical trades, 9 historical bid quotes and 12 historical ask quotes. All of them have the same timestamp. To find out which historical asks and bids were used to generate the trades, they are all divided into 3 equal parts (because there are 3 trades). the first “batch” there are 3 asks, 1 trade and 4 bids. The most recent ask/bid matching the trade price is considered to be the price where the trade was made. If ask price is considered for the fill, then the trade’s volume goes to BUY volume. If bid is considered for the fill, then the trade’s volume goes to SELL volume..
    • Ask Traded vs Bid Traded method:
      • If the current tick price is higher or equals current ASK tick price, the volume of the current tick goes to BUY volume.
      • If the current tick price is lower or equals current BID tick price, the volume of the current tick goes to SELL volume.
      • If the current tick price is between ASK and BID prices, than the volume is recorded either to BUY or to SELL volume depending on what was the last recorded volume.
        Example: If a new tick comes with a price higher or equals current ASK tick price and its volume is recorded as BUY volume, and then another tick comes with a price that is between ASK and BID prices, the volume is recorded also to BUY volume.
    Note: When you plot Volume Delta chart, take into account that it doesn't matter what resolution is selected, additionally MultiCharts will request historical tick trade data from your data source for the specified in chart settings data range, if Up Ticks vs Down Ticks is selected.
  6. Adjust Ticks per Row value (by default is set to 1) to change the the amount of minimum price increments (set in QuoteManager by Price Scale and Min. Movement covered by each line of Volume Profile.
  7. Select 1 of 3 available Time parameters for the Volume Profile to be shown:
    • If Last option is selected, it shows Volume Profile for a specified:
      • Number of last Bars;
      • Number of last Sessions.
        Note: In comparison to Every, the starting point for Last is the current/latest bar on chart. Volume profile will not cover a period more than the specified Data Range in chart settings.
    • If Every option is selected, it shows Volume Profile for a specified:
      • Number of every Bars;
      • Number of every Sessions.
        Note: In comparison to Last, the starting point for Every is the first bar on chart. Volume profile will not cover a period more than the specified Data Range in chart settings.
    • If Start ... End ... option is selected, it shows Volume Profile for a specified period of time according to your regional settings.
      Example: Show volume Profile from dd/mm/yy hh:mm:ss to dd/mm/yy hh:mm:ss.
  8. There are 2 available Alignments:
    • To show Volume Profile from the Right;
    • To show Volume Profile from the Left.
  9. It is possible to adjust the Transparency of the Volume Profile.
    Note: Though the Volume Profile transparency can be set to 100%, one can see the bars of plotted chart symbol. This is because be default Volume Profile is shown in the background and the data series is on the foreground.
  10. It is possible to adjust the Width of the Volume Profile.
    • If Last is selected in Time section, the 100% of Width is 100% of visual chart space.
    • If Every is selected in Time section, the 100% of Width is 100% of space allocated for specified number of bars/sessions.
    • If Start ... End ... is selected in Time section, the 100% of Width is 100% of space allocated for specified time period.
  11. It is possible to adjust the Value Area of the Volume Profile. Value Area is the area (specified in %) of most traded volume of the profile (100%).

Volume Profile Components, Color, Size and Style

Components

  • Volume Bar Color. Available only for Tick Count profile. Identical to Total Volume.
  • Total Volume. Available for Total Volume and Delta profiles. Shows total ASK + BID volume traded on each price level.
  • Buy Volume. Available for Buy x Sell Volume and Buy vs Sell Volume profiles. Shows ASK volume traded on each price level.
  • Sell Volume. Available for Buy x Sell Volume and Buy vs Sell Volume profiles. Shows BID volume traded on each price level.
  • Up OC. Available for all profiles.
  • Down OC. Available for all profiles.
  • POC. Available for all profiles.
  • Value Area. Available for all profiles.
  • Display Text. Available for all profiles.
  • Outline. Available for all profiles.
  • Price Range. Available for all profiles.