Table of Contents. Package Overview. Volume Profile

Transcription

1 Volume Profile Table of Contents Package Overview... 1 New In Version Glossary... 2 Output of the Volume Profile Indicator... 3 Getting Started Quick Start... 7 Volume Profile H.VP or H.VP.RTH Indicator Overview... 8 Supported Chart Types and Intervals... 8 General Tab... 8 Inputs Tab... 9 Alerts Tab Style Tab Color Tab Arbitrary Session (H.VP only) Advanced Topics TradesPerOp Input Setting System Performance Considerations Waiting for Data Too Many Objects Infinite Loop Detected Volume Profile Indicators: Multiple Per Chart Continuous Equity Index Futures Volume Profile and Market Profile Indicators: Multiple per Chart Volume Profile, Market Profile, Initial Balance 20 Merge Input Examples Support Disclaimer Package Overview Volume profile is available in two flavors : Volume Profile for Regular Trading Hours, contains the H.VP.RTH indicator which allows the trader to generate profiles for regular trading hours (RTH), or Volume Profile Combination Pack, contains the H.VP indicator with support for RTH, extended trading hours (ETH), and Arbitrary/Achored sessions. This indicator also shares Page 1 Copyright 2019

2 volume profile variables with other indicators and includes the H.VP.PlotR example indicator. The indicator has been developed to complement the Market Profile indicators available on the TradeStation TradingApp Store: Find the Market Profile Combination Pack at or the Market Profile for Regular Trading Hours at While Volume Profile is similar to Market Profile, combining these two views of the profile may provide the trader with a more complete view of market structure. If you are not familiar with profile concepts, please perform some research before using this indicator as the focus of this document is to explain the usage of the indicator. New In Version 4 Changes to improve the performance and extend the functionality of the indicator include: Ability to draw naked VWAP Ability to draw volume histograms All documentation changes are highlighted. Glossary Developing Volume Value Area (dvva) The Value Area, calculated during the trading session. The dvva may change during the session as new trading occurs at different prices. High Volume Node (HVN) Price(s) that experienced absolutely or relatively HIGH volume in the trading session Low Volume Node (LVN) Price(s) that experienced absolutely or relatively LOW volume in the trading session Naked VPOC (nvpoc) a VPOC that has yet to be tested in a subsequent session. Volume Point of Control (VPOC) This is the highest volume price that is closest to the center of the session's trading range. This is the price where the most volume traded during the session; it is therefore the price considered to be the fairest during any trading session. Volume Price Opportunity (VPO) This is the basic building block of the Volume Profile and represents the total volume traded at that price during the session. Volume Value Area (VVA) The volume value area is where approximately 70% of a session s trading volume is conducted (roughly one standard deviation around the VPOC). Volume Value Area High (VVAH) The highest price inside the VVA. Volume Value Area Low (VVAL) The lowest price inside the VVA. Volume-weighted Average Price (VWAP) the average price a security has traded at throughout the session, based on both volume and price Page 2 Copyright 2019

3 Output of the Volume Profile Indicator Regardless of the Session selection, the volume profile indicator displays a default output as follows: Each row of numbers, also known as the volume price opportunity (VPO), represents the volume traded at that price during the session and is displayed left aligned to the first bar of the session. The colors shown are the defaults. The light red VPO represents the volume point of control (VPOC), The light yellow VPOs represent the volume value area (VVA) for completed sessions or the developing volume value area (dvva) in the current, active session, and The light green VPOs represent the remainder of trading volume (outside of the VVA that occurred during the session), and The > and < characters represent the session open and close prices respectively. The plot lines show the evolution of the VVA, VPOC, and VWAP during the session and the dotted/dash lines show the final VVA and VPOC of the previous session. The white text below the VPO is displayed when the session ends and summarizes the VA, POC, and VWAP. All display characteristics of the VPO labels are configurable (font, size, bold/italic) as well as the color of the VPOs, the volume value area and the volume POC. Additional display functionality is available Page 3 Copyright 2019

4 and described later in this document. An alternate coloration of the Volume Profile is available with a heatmap type of coloration for the VPO as displayed on the right, in the following picture: Page 4 Copyright 2019

5 The indicator can be configured to display the Low Volume Nodes (LVN), High Volume Nodes (HNV), and naked Volume POC (nvpoc) as follows: The blue lines represent LVN, light red lines are HVN, and brightest red lines are nvpoc. The color/style of these lines and how they are displayed are defined by the indicator inputs. Page 5 Copyright 2019

6 Finally, the indicator can be configured to display volume as histograms as follows: From left to right: VPO & histogram color coded to show VPOC and VVA, VPO color coded to show VPOC and VVA and VWAP, VPO displayed as a heatmap (white to black) and VWAP. Many additional display alternatives are available by tuning the names in the Inputs Tab. Page 6 Copyright 2019

7 Getting Started Quick Start This indicator includes a sample workspace called Volume Profile for Regular Trading Hours or Volume Profile Combination Pack. TradeStation should install the workspace into your default workspace folder. Open that workspace to see a number of chart windows with the indicators installed in various different configuration settings. If you cannot find the workspace or TradeStation did not download it, keep the following points in mind: The default colors of the VP indicators were developed for a platform that uses BLACK as the chart background color. If you use a light color for the background then the default colors may not be visible on your chart. In that case, make sure that you click on Prompt for Format when you insert the indicator. Go to the Settings tab and adjust the colors accordingly. You may save the configuration of all the indicators inserted in the chart, for future use in different charts by: 1. Right click the chart, 2. Select Save Analysis Group, 3. Enter a group name and add any notes, 4. Click OK. The default time period of all Volume Profile (VP) indicators were developed for a platform that uses the Exchange Display time zone of futures symbol (Central time zone in the USA). If you use a different display time zone for the charted product, or the charted product has different session open and close times, then click on Prompt for Format when you insert the indicator. Go to the Inputs tab and adjust the Session_BeginTime, Session_EndTime accordingly. Read the Configuration: Inputs Tab section for more information. To start the volume profile indicator on a new 24 hour continuous index futures chart, perform the following steps: 1. Create a new Chart Analysis chart 2. Insert symbol on the chart; make sure the session is Regular, the display time zone is set to Exchange * and the Range is set to 6 days** 3. Set the chart interval to 30 minutes 4. Insert the Volume Profile indicator (turn on Prompt for Format ). Select the Input tab and change Session_EndTime to To start the volume profile indicator on a new.d index futures chart, perform the following steps: 1. Create a new Chart Analysis chart 2. Insert symbol on the chart; make sure the session is Regular, the display time zone is set to Exchange * and the Range is set to 6 days** 3. Set the chart interval to 15 minutes 4. Insert the Volume Profile indicator (turn on Prompt for Format ). Select the Input tab and change Session_EndTime to To start the volume profile indicator on a new NYSE listed equity such as IBM, perform the following steps: 1. Create a new Chart Analysis chart 2. Insert the IBM symbol on the chart; make sure the session is Regular, the display time zone is set to Exchange * and the Range is set to 6 days** 3. Set the chart interval to 30 minutes Page 7 Copyright 2019

8 4. Insert the Volume Profile indicator (turn on Prompt for Format ). Select the Input tab and change Session_StartTime to 0930 and Session_EndTime to 1600, also consider setting Merge to 0.05 * There is nothing magic about Exchange versus Local Time for your charts. The instructions in this document use Exchange time so that the information is correct for all traders regardless of their timezone and country. Should you prefer Local Time then adjust Session_StartTime and Session_EndTime accordingly. ** Select a 6 day range to balance the amount of trade data downloaded with the time required to process. Products that trade high volume may require a smaller range, products that trade lower volumes may run fine with a larger range. Review the TradesPerOp Input Setting Traders should experiment with this value to get the best bandwidth/accuracy results for their computer and trading requirements. The default value is one. What follows is a methodology to tune the value. 1. Insert a new minutes interval chart in a new workspace, select a symbol that you will use with this indicator 2. Set the minutes interval to 15 minutes and ensure there five or more days of trade data 3. Insert the H.VP indicator and set the following inputs: TradesPerOp = 1, DVA_Show = PrevVA_Show = VWAP_Show = True, Keep_History = 0, and Stats_Show = True. Ensure the Session = R and the Session_BeginTime and Session_EndTime are correct 4. Let the indicator run 5. Copy this chart and paste as a new chart in the same workspace (you should have two identical charts in the workspace) 6. In the new chart, change TradesPerOp to a larger number 7. Let the indicator run 8. Compare the Stats and VPO list displayed on the second chart with those displayed on the original chart. If the results differ statistically then change TradesPerOp to a bit smaller number then go to Step 7. If the results appear to be similar to those run with TradesPerOp=1 chart then increase TradesPerOp again then go to Step 7. Continue tuning TradesPerOp until you get the balance of performance and accuracy that best suits your needs. The TradesPerOp tuning should be performed separately for each symbol that you intend to use with this indicator. System Performance Considerations section on page 17 for a further discussion. Volume Profile H.VP or H.VP.RTH Indicator Overview The purpose of this indicator is to develop the volume profile of an equity or futures symbol during a single session (H.VP.RTH: RTH, or H.VP: RTH, ETH or Arbitrary). Supported Chart Types and Intervals Unlike market profile, there is no traditional or standard interval on which to display the volume profile. Only minutes chart interval is supported by the indicator. General Tab Update value intra-bar (tick-by-tick) is supported. Check this box for the most up-to-date volume profile display that updates the values and the developing volume value area and developing volume POC on each tick; be aware that setting tick-by-tick on uses more CPU resources and may impact Page 8 Copyright 2019

9 TradeStation platform performance. If tick-by-tick is not selected then the VPO are updated at the close of each bar. Depending upon your day-trading needs, unselecting Update value intra-bar (tick-by-tick) with a chart interval of one minute may provide an optimal balance of CPU utilization and VPO accuracy. Inputs Tab The indicator has been designed such that ALL configuration choices are set in this tab. Name Session Only available in H.VP Description Default= R Defines the Session to generate the volume profile. Valid choices are: RTH or R - regular trading hours (pit/day session) ETH or E - extended trading hours (globex/over-night session) Arbitrary or A - Arbitrary session (starts/end on any day/time) Arb_StartDate Only valid for Session= A Arb_EndDate Only valid for Session= A Session_BeginTime Session_EndTime Note: this input is NOT case-sensitive Required only if Session = A, Format is YYYYMMDD Specifies the start day of the arbitrary session i.e. January 02, 2015 = Required only if Session = A, Format is YYYYMMDD Specifies the end day of the arbitrary session i.e. January 02, 2015 = Defines the beginning time of the session that the indicator will operate. Use 24 hour format for input. If your equity index future symbol is displayed in Exchange Time Zone, then use: Session= RTH : Session_BeginTime must be EARLIER than Session_EndTime. @nq, 15 or 30 min @nq.d, 15 or 30 min Session= ETH : Session_BeginTime must be LATER than Session_EndTime. @nq, 30 minute @nq, 15 minute If you trade a different symbol check with the exchange. Default=1515 Defines the end of the session that the indicator will operate. Use 24 hour format for input. If your equity index future symbol is displayed in Exchange Time Zone, then use: Session= RTH : Session_BeginTime must be EARLIER than Session_EndTime. @nq, 30 min @nq, 15 min Page 9 Copyright 2019

10 Name VPO_Font VPO_Font_Size VPO_Font_Bold VPO_Font_Italic VPO_Font_Transparency VPO_Color VVA_Color VPOC_Color Description @nq.d, 15 or 30 min Session= ETH : Session_BeginTime must be LATER than Session_EndTime @nq, 15 or 30 minutes If you trade a different symbol check with the exchange. Default= Courier New The font used to draw the VPO labels text. Use any font that is displayed in the TradeStation platform's text drawing tool. Default=10 This input defines the VPO font size used. Any valid font size is allowed. Default=False Whether to display the VPO font in bold (true) or not (false) Default=False Whether to display the VPO font in italic (true) or not (false) Defines the transparency of all VPO Font displayed. Can be any number between 0 and signifies no transparency (solid), 100 signifies clear (invisible) Default= RGB(128,255,128) Defines the color used for the VPO labels. Any color from the list: Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Default= RGB(255,255,128) Defines the color used for the VPO within the volume value area. Any color from the list: Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Default= RGB(255,128,128) Defines the color used for the VPO that is the volume POC Page 10 Copyright 2019

11 Name Any color from the list: Description Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Display_As_HeatMap Default=False If False then the VPO are colored based on Market Profile principles, If True then the VPO are colored as follows: Lowest Volume is VPO_Color Highest Volume is VPOC_Color Volumes in between that range are a gradient of the range VPO_Color to VPOC_Color VPO_Suffix Default= Specifies a character, or string of characters used as a suffix on the VPO label to aid in readability, especially useful when a market profile is displayed on the same chart. If VPO_Alignment=0 (Right) then this is a prefix. Special note for TradeStation 10: If this is your trading platform then you should change the VPO_Suffix to an unobtrusive string such as. Since thisversion of the platform truncates/eliminates trailing blanks. Open_ VPO_Suffix Close_ VPO_Suffix VPO_Alignment Merge Default= > String appended to the VPO label that equates to the session OPEN price. This string is displayed instead of the VPO_Suffix string and should be the same length. Use the same string as VPO_Suffix if you do not want to see an indication of open price. If VPO_Alignment=0 (Right) then this is a prefix. Default= < String appended to the VPO label that equates to the session CLOSE price. This string is displayed instead of the VPO_Suffix string and should be the same length. Use the same string as VPO_Suffix if you do not want to see an indication of close price. If VPO_Alignment=0 (Right) then this is a prefix. Default=1 Whether to display VPO left (0) or right (1) aligned to the first bar of the session. Defines the size of the price interval to merge into a single VPO row. A non-zero number may improve readability of the indicator's output. 0 = Create a VPO row for each traded price Non-0 = Defines the size of the price interval to merge and causes Page 11 Copyright 2019

12 TradesPerOp Name VPO_Show_0_Volume Arb_Show_Range Only valid for Session= A DVA_Show PrevVA_Show VWAP_Show Keep_VPO_History Description the indicator to perform a round down to nearest operation for each price traded. This value must be a multiple of the minimum price movement. It cannot be smaller than the minimum price movement. Default=1 If 1 then EVERY trade is used to calculate the VVA and VPOC. When every trade is used the exact volume traded is known. If a value greater than 1 is used (no maximum limit exists) then trades are aggregated together and so is volume. This means there is less CPU and internet bandwidth used and the results are not as precise (but the loss of precision may not be statistically significant). See TradesPerOp Input Setting in the Advanced Topics section on page 17 for more information. Default=False Whether to display VPOs whose value is zero as 0 (true) or as a blank (false). When set to False intra-session price gaps may be more visible. Whether to draw a box around the Arbitrary Range (true) once the range has completed, or not (false). If true then the box is drawn using the VPO_Color color for the lines. Default=True If True then the developing volume value area is plotted during the session. The DVA plot is updated on bar close. Use the Style and Color tabs to configuration the look of the DVVA plots. Default=True If True then the volume value area and POC of the previous session is plotted during the session. Use the Style and Color tabs to configuration the look of the previous VVA plots. Default=True, If True then the volume-weighted average price of the current session is plotted during the sessions. Use the Style and Color tabs to configuration the look of the VWAP. Default=5 Controls the number of historical (previous) sessions VPOs & stats that are displayed. If 0 then the VPO of all sessions in the chart are displayed. If -1 then VPO are NEVER displayed. If > 0 then the current session and Keep_VPO_History previous session s VPOs are displayed. The larger the value selected for Keep_VPO_History then the greater number of text objects are displayed on your chart. Once TradeStation displays a large number your platform performance may suffer. The platform DOES display a warning message at that time. Page 12 Copyright 2019

13 Name Keep_Hist_History Description Default=5 Controls the number of historical (previous) sessions volume histograms that are displayed. If 0 then the volume histogram of all sessions in the chart are displayed. If -1 then volume histogram are NEVER displayed. If > 0 then the current session and Keep_Hist_History previous session s volume histograms are displayed. Stats_Show Stats_Font_Size Stats_Font_Bold Stats_Font_Italic Stats_Font_Transparency Stats_Color nvpoc_show nvpoc_style The larger the value selected for Keep_Hist_History then the greater number of text objects are displayed on your chart. Once TradeStation displays a large number your platform performance may suffer. The platform DOES display a warning message at that time. Default=True If True then the session s final VVAH, VPOC, and VVAL are displayed as a text string below the first bar of the session. Default= Arial The font used to display the Stats. Use any font listed in the Font selection box displayed by the Font tab when you format a Text drawing object. Default=False If True then the Stats are displayed bold. Default=False If True then the Stats are displayed italics. 0 = solid through 100 = transparent Default=WHITE Defines the color used for the stats Any color from the list: Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Whether and how to display naked Volume POC. If 0 then do NOT display any VPOC. If 1 then display the VPOC and remove it once price retests that value. If 2 then display the VPOC. Truncate it once price retests that value. Page 13 Copyright 2019

14 Name nvpoc_transparency nvpoc_color nvpoc_weight Hist_Show Hist _Style Hist _Transparency Hist_Weight HVN_Floor HVN_Show HVN_Style HVN_Transparency HVN_Color Description 0 = Solid, 1 = Dashed, 2,3,4 = Different dotted alternatives. 0 = solid through 100 = transparent Default=RED Defines the color used for the nvpoc line Any color from the list: Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Default=3 0 Thinnest line through 6 for the thickest line Whether and how to display Volume Histogram. If 0 then do NOT display any Volume Histograms. If 1 then display the Volume Histogram left aligned. If 2 then display the Volume Histogram right aligned 0 = Solid, 1 = Dashed, 2,3,4 = Different dotted alternatives. Default=50 0 = solid through 100 = transparent Default=2 0 Thinnest line through 6 for the thickest line.80, Defines the methodology to use to determine High Volume Nodes. When < 1.0 the value represents the percentage of the VPOC that a VPO must exceed to be considered an HVN. When > 1 the value represents the exact amount that a VPO must exceed to be considered an HVN. Whether and how to display High Volume Nodes. If 0 then do NOT display any HVN. If 1 then display the HVN and remove it once price retests that value. If 2 then display the HVN. Truncate it once price retests that value. 0 = Solid, 1 = Dashed, 2,3,4 = Different dotted alternatives. Default=50 0 = solid through 100 = transparent Default=RED Defines the color used for the HVN line Page 14 Copyright 2019

15 HVN_Weight LVN_Ceiling LVN_Show LVN_Style Name LVN_Transparency LVN_Color LVN_Weight nvwap_show nvwap _Style Any color from the list: Description Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Default=3 0 Thinnest line through 6 for the thickest line.20, Defines the methodology to use to determine LOW Volume Nodes. When < 1.0 the value represents the percentage of the VPOC that a VPO must remain below to be considered an LVN. When > 1 the value represents the exact amount that a VPO must be below to be considered an LVN. Whether and how to display Low Volume Nodes. If 0 then do NOT display any LVN. If 1 then display the LVN and remove it once price retests that value. If 2 then display the LVN. Truncate it once price retests that value. 0 = Solid, 1 = Dashed, 2,3,4 = Different dotted alternatives. Default=50 0 = solid through 100 = transparent Default=BLUE Defines the color used for the LVN line Any color from the list: Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Default=3 0 Thinnest line through 6 for the thickest line Whether and how to display naked VWAP. If 0 then do NOT display any naked VWAP. If 1 then display the nvwap and remove it once price retests that value. If 2 then display the nvwap. Truncate it once price retests that value. 0 = Solid, 1 = Dashed, 2,3,4 = Different dotted alternatives. Page 15 Copyright 2019

16 Name nvwap _Transparency nvwap _Color nvwap _Weight Description 0 = solid through 100 = transparent Default=CYAN Defines the color used for the nvwap line Any color from the list: Black, Blue, Cyan, Green, Magenta, Red, Yellow, White, DarkBlue, DarkCyan, DarkGreen, DarkMagenta, DarkRed, DarkBrown, DarkGray, LightGray If other colors are desired then use RGB(r,g,b) where r is the red component, g is the green component, and b is the blue component of the color and each can range from 0 to 255 Default=1 0 Thinnest line through 6 for the thickest line VA_Percent Default=70 (range 10 to 90) Specifies the percentage of total session VPO to use to calculate the Value Area. Traditional usage of Market Profile default to 70% which corresponds to one standard deviation. Channel Only available in H.VP Alerts Tab Alerts are not supported. Never select Enable Alert. Style Tab Default= Specifies the UNIQUE name of the global dictionary that this indicator uses to 'transmit' market profile variables information to Leave as if the 'transmission' is not required, Set it to the same unique string in both this indicator and VP.PlotR indicator to link the indicators. Think of the usage of the Channel input as you do the symbol link on chart analysis windows with added functionality to share across workspaces, and desktops (in addition to charts). See separate Using the Channel Input Variable for Volume Profile user documentation for more information. This tab allows the configuration (type, style, weight, and transparency) of the developing and previous volume value area and volume POC and VWAP plots. Color Tab This tab allows the color selection of the developing and previous volume value area and volume POC and VWAP plots. Page 16 Copyright 2019

17 Arbitrary Session (H.VP only) The purpose of this session is to develop the volume profile of an equity or futures product during an ARBITRARY (or composite) period of time. This session allows the trader to select a single, specific time period that does not align with a month, week, or day. Sometimes, a trader may want to review a composite profile of the previous two weeks, previous three days, etc. ARBITRARY session allows such a review. It is the only volume profile session that generates a single profile on the chart. This session provides flexibility so the trader can select any date/time to start and stop the indicator. The trader will typically use this session add composite profiles of a unique time-frame. The simplest way to do this is to: Select the appropriate chart interval. Insert two vertical lines (from the drawing tools menu bar) onto the chart and place them on the candles/bars that represent the start and end of the arbitrary time period. Turn on the display of the time and date of each vertical line. Insert the H.VP indicator, set the session to ARBITRARY or A, format the indicator, on the input tab use the date and time values of the vertical lines as the inputs for Arb_StartDate & Session_BeginTime and Arb_EndDate & Session_EndTime. Session_BeginTime and Session_EndTime are ignored if the chart interval is Daily, Weekly, or Monthly. Advanced Topics TradesPerOp Input Setting Traders should experiment with this value to get the best bandwidth/accuracy results for their computer and trading requirements. The default value is one. What follows is a methodology to tune the value. 1. Insert a new minutes interval chart in a new workspace, select a symbol that you will use with this indicator 2. Set the minutes interval to 15 minutes and ensure there five or more days of trade data 3. Insert the H.VP indicator and set the following inputs: TradesPerOp = 1, DVA_Show = PrevVA_Show = VWAP_Show = True, Keep_History = 0, and Stats_Show = True. Ensure the Session = R and the Session_BeginTime and Session_EndTime are correct 4. Let the indicator run 5. Copy this chart and paste as a new chart in the same workspace (you should have two identical charts in the workspace) 6. In the new chart, change TradesPerOp to a larger number 7. Let the indicator run 8. Compare the Stats and VPO list displayed on the second chart with those displayed on the original chart. If the results differ statistically then change TradesPerOp to a bit smaller number then go to Step 7. If the results appear to be similar to those run with TradesPerOp=1 chart then increase TradesPerOp again then go to Step 7. Continue tuning TradesPerOp until you get the balance of performance and accuracy that best suits your needs. The TradesPerOp tuning should be performed separately for each symbol that you intend to use with this indicator. Page 17 Copyright 2019

18 System Performance Considerations The Volume Profile indicators use text objects to display the VPO. Charts that contain a lot of historical data may experience performance issues. The following sections provide suggestions to avoid those issues. Waiting for Data When you insert the indicator in a chart or load a chart with the indicator already inserted you will notice a Waiting for Data message displayed in the chart window status line. This is displayed during the indicator initialization since EVERY TRADE (also known as a tick) that occurred in the chart is downloaded from a TradeStation server. If the wait is too long for you then consider making the Symbol Range smaller to include fewer trading days (Format Symbol->Settings Tab->Range) or increasing the TradesPerOp input value. Too Many Objects Once a chart has too many VPOs drawn on it (also known as objects), system performance may deteriorate. In this situation TradeStation generates a warning message or an error message as follows: The trader has two choices to resolve this error: 1. Change the Merge input value to a larger number to display fewer example: The minimum price move is 0.25 then set Merge to 0.5 to generate and display half as many VPOs on your example: The minimum price move is 1 then set Merge to 5 to generate and display one fifth as many VPOs on your chart 2. Set Keep_History to False, or 3. Chart a smaller range of dates. To do this, format the symbol, select the Settings tab and choose a Range that is smaller than that which is currently used in the chart. Infinite Loop Detected Changing a chart's interval may default to a different range displayed in the chart. In the instance that a chart's interval is changed, TradeStation downloads additional data and initiates the chart indicators. If, when you change the chart interval, the range increases, an Infinite Loop Detected error may be displayed. The trader has two choices to resolve this error: 1. Change the Merge input value to a larger number to display fewer example: The minimum price move is 0.25 then set Merge to 0.5 to generate and Page 18 Copyright 2019

19 display half as many VPOs on your example: The minimum price move is 1 then set Merge to 5 to generate and display one fifth as many VPOs on your chart 2. Set Keep_History to False, or 3. Chart a smaller range of dates. To do this, format the symbol, select the Settings tab and choose a Range that is smaller than that which is currently used in the chart. Volume Profile Indicators: Multiple Per Chart Continuous Equity Index Futures There are many ways to set up a VP workspace. The most common VP workspace contains a 30 minute chart (same as for Market Profile) for intra-day analysis that includes H.VP inserted twice, once for the RTH session and once for the ETH session on the same chart as in the following picture: In this example, the two instances of the indicator have different entries for the Session, Session_BeginTime, and Session_EndTime inputs as well as different colors in the VPO_Color, VVA_Color, and VPOC_Color inputs. Page 19 Copyright 2019

20 Volume Profile and Market Profile Indicators: Multiple per Chart Volume Profile plus Market Profile views of a trading session expose subtle nuances of market structure not obvious when used separately. Volume Profile, Market Profile, Initial Balance The following chart 30 minutes, price data invisible contains indicators from the Volume Profile, Market Profile, Initial Balance, and Horizontal Price Cursor packages. Click on the hyperlink to access their TradingApp Store pages. A similar chart can be created by adding another instance of the Volume Profile and MP.ALFA indicator for the ETH session. When reviewing the chart with volume and market profiles consider whether the value areas and points of control of these two methodologies are similar or are materially different: When the structures are similar you can be more confident that traders who use either methodology see the same market structure When they differ materially it may be appropriate to be more cautious using either profile for trading signals Merge Input Examples The following pictures show how the Merge input influences the information displayed by H.VP. In all cases the left picture shows Merge = 0, the right picture a different value. Page 20 Copyright 2019

21 @ES, S&P500 e-mini Futures. Left: Merge = 0, Right: Merge = 0.5, prices are rounded down to the nearest half point: SPY, S&P500 ETF. Left: Merge = 0, Right: Merge = 0.05, prices are rounded down to the nearest five cents: It is possible that a merge setting larger than the minimum price movement may change the VVA and VPOC. However, in most instances the difference is insignificant as these price/volume references should be treated as areas to consider for trades rather than absolute values for trade entry/exit. Support send to indy.by.harvey@gmail.com Page 21 Copyright 2019

22 In addition to a clear description of the problem, configuration details of the symbol (a screenshot of the properties tab) and indicator (a screenshot of the inputs tab), include the version of indicator and your TradeStation platform. Disclaimer Success in trading is not guaranteed The developer of this indicator has made good efforts to produce a quality product, however the developer is not liable should importing and inserting this indicator impact the performance or utility of the customer's TradeStation platform The results of any and all trades that the customer takes which may have been influenced by this indicator are the customer's and the customer's alone, regardless of whether it is a profit or a loss Neither TradeStation Technologies nor any of its affiliates has reviewed, certified, endorsed, approved, disapproved or recommended, and neither does or will review, certify, endorse, approve, disapprove or recommend, any trading software tool that is designed to be compatible with the TradeStation Open Platform. TradeStation, EasyLanguage and the EasyLanguage Specialist logo are registered trademarks of TradeStation Technologies, Inc. Required USA Government Disclaimers: Futures and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site or during instructional sessions. The past performance of any trading system or methodology is not necessarily indicative of future results. CFTC RULE HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN ACTUALLY EXECUTED, THE RESULTS MAY HAVE UNDER- OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. Page 22 Copyright 2019