Range Volume Profile NT8 download
Please, download and try the add-on before buying. Evaluation period is 12 days.
Add-on for NinjaTrader 8 Trading Platform.
Multiple Profiles By One Tool
Range Volume Profile (RVP) is a fairly universal profiling tool for NinjaTrader which can be used to plot both classic Daily (sessional, weekly, etc) volume profiles and adjustable profiles of custom time range. It is also able to plot Composite profile with displaying of High and Low Volume Nodes.
The basic diagram below shows functional structure with the main capabilities of the add-on.
Three types of profiles by underlying metric:
- Volume-based (Volume at Price)
- Tick-based (Trades Qty at Price)
- Average Trade Size histogram
(*The usage of Tick Profiles and ATS Histograms makes sense only when the selected Data Source is 'Tick Database'.)
Three kinds of profiles by type of time period:
- Adjustable Custom Range Profiles
- Classic Periodic Profiles (Sessional, Daily, Weekly, etc.)
- Composite Profile
In RVP you can choose between two Data Source options: Tick database and Minute data. Use 'Tick database' data for highest accuracy and 'Minute' data for faster start-up. The use of 'Minute' data source is particularly useful when working with long-term charts.
Volume (or Tick) Delta histogram bars (Δ-bars) can be plotted along with Volume (Tick) Profiles. Delta bars are calculated based on the 'Up Tick versus Down Tick' rule (if Data Source = 'Tick Database').
Remember! Δ-bars have different meanings in different Data Source modes:
Obviously, the delta calculations by the 'Up Tick vs Down Tick' technique is impossible when the chosen data source is 'Minute' data. So, in this case the volume of Up (bullish) 1-minute bars will be considered as positive and the volume of Down (bearish) 1-minute bars will be considered as negative in delta calculations.
Developing and Naked Value Area Levels can be plotted for both Periodic and Custom Range Profiles.
VWAP with Standard Deviation Bounds can be plotted along with both Periodic and Custom Range Profiles.
High/Low Volume Nodes (or High/Low Tick Nodes for Tick Profile) can be plotted along with Composite Profile.
Custom Range Profiles are adjustable: the boundaries and many other settings are easily adjustable by mouse.
Draw as many adjustable Custom Range Profiles on a chart as you wish.
Locations and other settings of plotted Custom Range Profiles are savable (as indicator Default settings, with Chart Template or Workspace).
Volume Filtering: RVP is able to plot volume profiles based on ticks filtered by Trade Size.
Filtering modes available: 'Greater Than Or Equal', 'Less Than Or Equal' and 'In Between'. Filtering works only when Data Source = 'Tick Database'.
RVP is able to cache real-time incoming tick data to disk. The caching system is user-transparent. This makes RVP much more usable during trading hours (you no more need to use Ninja's "Reload All Historical Data" function).
In the "Data Source = Tick Database" mode Range Volume Profile works directly with NinjaTrader's historical tick database to ensure high accuracy flavoured with high performance.
Hence, it is essential that the historical tick data is loaded for your instrument. Fortunately, in the most cases NinjaTrader automatically will load and save tick data, especially when you use such Period Types as Tick, Range or Renko. Just because NinjaTrader itself requires data with tick-granularity to plot bars or candles of such kinds.
However if you prefer to use Minute-based charts solely you can face the fact that NinjaTrader is too lazy to load tick data in its database, instead it will load data with 1-minute granularity. Just because 1-minute data is all that is needed for NinjaTrader to construct 15-minute or Hour bars, for instance.
To be sure that you have tick data for your instrument you can use the following two ways:
1) the easiest — just reload your chart using any of the tick-based intraday timeframes (Range or Tick Bars, for example) or,
2) or use Historical Data Manager (Tools → Historical Data Manager… → Edit tab).
If you find an absence of tick data for a required period use 'Download' feature of the Historical Data Manager (Tools → Historical Data Manager… → Download tab).
RVP has the "Path to NT tick data files" parameter that allows users to specify alternate path to NinjaTrader's "tick" folder (by default it is something like C:\Users\YourName\Documents\NinjaTrader 7\db\tick\).
This is the folder where NinjaTrader collects tick data files.
There is no necessity for most users to modify the "Path to NT tick data files" parameter.
Both General and Appearance Settings groups are generic to all kinds of profiles (Custom Range, Periodic, Composite). Therefore if you wish to use diferent 'Tolerance Interval' or 'Filter by Size' parameters for different kinds of profiles, then you should use two instances of RVP indicator with different settings on a chart.
Click on [+] sign at the left of parameter name to expand all general settings:
Tolerance Interval, %. Tolerance interval defines the Value Area — a price range within which the specified percentage of total volume (or total number of trades, for Tick Profiles) is distributed. The value of about 70% (which represents one standard deviation of the mean in a Normal distribution) is the mostly used one.
Data Source. Sets data type to be used for building the profiles. Notice that specified data source will be used to build al kinds of profiles.
Tick Database — the indicator will use the data of tick-level granularity obtained directly from NinjaTrader tick data files or cache files. Use 'Tick Database' for highest accuracy.
Notice also that Range Volume Profile indicator needs some time to read and prepare tick data on start up. This loading time is imperceptible in the most cases, however when you use very large "Days to load" parameter value for your chart the time delay on start up may be noticeable.
Minute — the indicator will use data of 1-minute granularity (like 1-minute bars). The 'Minute' data source provides less accurate volume profiles but significanlty reduces loading time. Therefore it is particularly useful when working with long-term charts.
The choice of data source has an effect on how the volume delta is being calculated. The use of the 'Up Tick vs Down Tick' technique of delta calculations is impossible when the chosen data source is 'Minute'. So, in this case a simple rule will be applied — the volume of Up (bullish) minute bars will be considered as positive and the volume of Down (bearish) minute bars will be considered as negative in delta calculations.
The usage of Tick Profiles and ATS Histograms makes sense only when the selected data source is 'Tick Database'.
The filtering functionality (Filter By Trade Size) is also unavailable when the chosen Data Source is 'Minute'.
Filter: Mode. Sets the mode of filtering by Trade Size. The filtering functionality is available only when the selected data source is 'Tick Database'.
Filter settings has an effect on all kinds of profiles. Use multiple indicator instances on one chart to use different filtering settings with different profiles.
Greater Than Or Equal
Less Than Or Equal
Example of using on long-term chart. E-mini S&P 500 Futures, continuous contract, Daily Bar chart.
Data Source = 'Minute' (using of 1-minute-granularity historical data).
Appearance Settings are generic to all kinds of profiles (Custom Range, Periodic, Composite).
Ascetic Mode — enabling this mode hides some of rarely used interactive buttons and summary info. In this way the enhancing the readability of a chart is achieved.
Note that enabling Ascetic mode affects not only Custom Range Profiles but also Periodic Profiles.
Default shortcut key to toggle Ascetic mode: "/" on numeric keypad
Other Frame Settings are self explanatory enough:
Volume Profile, Tick Profile and ATS Profile
Volume Profile and Tick Profile have similar appearance settings. These settings specify the appearance of histogram bars and Value Area levels.
ATS Profile is a simple visualization of Average Trade Size at Price histogram, so it has no Value Area levels.
How can you make your histograms to be semitransparent?
Actually, in NinjaTrader you can use transparent colors.
The common way to specify a Color property in NinjaTrader is to select one of the named colors from the list. However, you can set the color manually by typing in the color value as A,R,G,B where A is Alpha (use Alpha = 0 for fully transparent color, 255 for fully opaque color). For example, if you need semitransparent Red color then just type the "128, 255, 0, 0" in the corresponding field.
What if a histogram overlaps candlestick chart?
In NinjaTrader you can change the z-order of price bars, indicator plots and other chart objects relatively to each other. So you can bring the candlestick chart to the forefront using "Shift + Mose Wheel" — select price chart or chart object, hold down the Shift key and roll the mouse scroll wheel to adjust the z-order.
VWAP Appearance Settings
Since build 126.96.36.199 RVP has the capability to plot VWAP with Standard Deviation Bounds along with both Coustom Range and Periodic Profiles. It doesn't matter which kind of profile you use to plot VWAP — all will use the same appearance settings.
Summary Info block provides very basic summary information related to a particular profile (whether Periodic or Custom Period Profile).
Here are expansions of the shorthand notations.
- ∑V — Total Volume (number of contracts) traded over the period.
- ΔV — Volume Delta over the period — the difference between total “buying volume” and total “selling volume” *.
- Pseudo-ΔV — Volume Pseudo-Delta over the period — the difference between total volume of “bullish” minute intervals and total volume of “bearish” minute intervals.
- ∑T — Total Trades (number of trades, also known as fills, filled orders, ticks, transactions, order executions,…) executed over the period.
- ΔT — Tick Delta over the period — the difference between the total num of “buying trades” and total num of “selling trades”.
- Pseudo-ΔT — Tick Pseudo-Delta over the period — the difference between the count of “bullish” minute intervals and the count of “bearish” minute intervals.
- Additional Buying%-Selling% numbers (disabled by default) show the percentage of “buying” volume or ticks vs “selling” volume or ticks (e.g. 49%:51%).
- ATS — Average Trade Size — Average number of contracts per trade traded during the period.
- ↕ — Price Range in $ value (as well as in price ticks in parentheses) = High price minus Low price.
H — High — Highest price of the period.
L — Low — Lowest price of the period.
O — Open — Opening price (price of the most first trade) of the period.
C — Close — Close price (price of the last trade) of the period.
It is possible to turn on/off various parts of Summary Info block easily on-the-fly through the RVP Control Panel -> [*] tab:
* — Every trade has always two participants — buyer and seller. Thus the “buying volume” and “selling volume” are the terms related to initiative side of trade which is defined by chosen Delta estimation technique: "Bid vs Ask" or "Up Tick vs Down Tick".
Delta meaning when Data Source is "Minute Series": Notice that RVP will calculate “Pseudo-Delta” instead of the common Delta if the 'Data Source' core option is set to "Minute Series".
As historical tick data isn't utilized in this mode the Delta is calculated on the historical data with 1-minute granularity as the following:
[Volume Pseudo-Δ] = [Volume of Bullish 1-Min intervals] minus [Volume of Bearish 1-Min intervals] for the period of the profile.
Profile Imbalance: The Summary Info also includes Volume- and Tick-based Profile Imbalances shown as Ratio
(simple arithmetical fraction 'Volume above POC : Volume below POC') which is much easily readable than long numeric values.
That is, RVP prints approximate ratio "5 : 9", "1 : 6", ... which can be more easily processed by human brain and visualized mentally than long values of volume or ticks
(read as “1 part of total volume above vs 6 parts of total volume below vpoc”):
Three kinds of profiles:
adjustable Custom Range Profiles, classic Periodic Profiles and Composite Profile
RVP Periodic Profiles can be used for building classic Daily or Weekly Volume Profiles, for example.
Periodic Profiles can work in real-time as incoming real-time data is used to dynamically update current (unfinished) Profile.
Most of the switchers are available through toolbar→drop-down menu. Drop-down menu provides quick access to high-usage settings in such a way that any changes will take immediate effect so you no more need to get into "Indicators" settings window. For example, you can change the mode of Periodic Profiles from 'Volume-based' to 'Tick-based' or turn off the plotting of Periodic Profiles at all just in a click.
Is there a way to separate Overnight session from Regular session (Open Outcry on full-sized contract) to get independent profiles for each on the same chart?
Actually, the "Sessional" periodicity (set by default) of Periodic Profiles is the most generic periodicity option as it enables RVP to use selected Trading Hours template when building Periodic Profiles
(see '2. Periodic Profiles' settings section -> expand 'Periodic Profiles' expandable parameter -> set 'Periodicity' to "Sessional".)
Thus, the use of a custom Trading Hours template allows to solve this task. In NinjaTrader you can create quite complex session templates. This is powerful capability: for example, it is easy to split trading day to "Overnight" and "Pit" trading hours and combine the both sessions in one template. This will allow to display Pit and Overnight volume profiles separately on the same chart:
The following Trading Hours template is used here:
So well, you can download sample “CME US Equity Index Futures ON+RTH” Trading Hours template (in .zip archive) or create custom template for your traded instrument if necessary: go to 'Tools' -> 'Trading Hours' menu of NinjaTrader Control Center.
In order to install the provided sample template unpack and move the "CME US Index Futures ON+RTH.xml"
file into "<Your PC>\Documents\NinjaTrader 8\templates\TradingHours" folder.
Then restart NinjaTrader. The “CME US Equity Index Futures ON+RTH” Trading Hours will become available to set in Data Series settings window:
Custom Range Profiles
Short video tutorial
Example: Composite Volume Profile, ESM5, 4H
Use All Bars — all data available on the chart will be used to build Composite Profile.
Specify Start Date And Time — the data older than the specified date and time will be left out of account when building Composite Profile.
Update Real-Time. If enabled then Composite Profile will be updated real-time using incoming tick data. (Off by default.)
Low and High Volume Nodes (LVN and HVN)
How to install or update the add-on:
It is recommended to use the standard way to remove/install add-ons in NinjaTrader. The most recent versions of all add-ons are always available to download from the homepage.
Remove previous assembly if you have one installed:
- Run your NinjaTrader, go to the 'Tools' menu and click 'Remove NinjaScript Assembly…' menu item.
- In the list of installed assemblies appeared select the indicator you wish to update and press 'Remove' button.
Download the latest assembly (.zip file) from this description page, from the homepage or request a direct link by email.
Install downloaded assembly:
- Go to "Tools" → "Import" → "NinjaScript…", select downloaded .zip file and press "Open". Then if the installation was correct you will see the success message.
- Restart NinjaTrader!
Note: Various Dt add-ons are relying on the same "DiscoTrading.Common.dll" library. The new build contains the most recent version of the library, so you have to click 'Yes' when asked for replacement of the file during installation.
Remember, it is required to restart NinjaTrader after add-on installation before you can add installed indicator to a chart.
If you are new to NinjaTrader please watch these two short videos on how to download and install add-ons:
Part I — How to install an indicator in NinjaTrader.
Part II — Purchasing and license generation.
Please, download and try the add-on before buying. Evaluation period is 12 days.