Volume discrepancy question

[Anson]

I have just subscribed for Market Profile and enabled the Volume portion of the tool.

What I saw confused me. I have been using the Price/Volume feature of the Standard Chart for some time and noticed that the volume displayed here is different from the one shown in Market Profile (advanced chart).

Pls see attached screenshot.
Notice the extreme volume peak at 2829 in Price/Vol study while the peaks in Market Profile volume are at 2831 and 2834.

This is the ET M4-DT futures.
Can someone pls tell me why they are different and which is correct? They should be the same based on my understanding.

[Anson]

Confused and worried

A very Different story.

The peak voume on MP is now at 2836 while it remains at 2829 on Price/Vol standard chart.

Unless my understanding that both studies are the same is wrong... something is definitely not right here.

[Anson]

Is anyone from eSignal Tech Support even checking this? I went Liverep but was told that I was better off posting this here as it was too complicated for them.

I may be wrong about the whole Volume issue but if so... I'd appreciate being told that. What I'm afraid of... is that I'm right.

Then which Volume is correct? Hope I can get an answer as Mkt Profile is 1/2 as effective if you can't trust the volume.

[JayF]

Anson,

I suspect this discrepancy is due to either the Market Profile chart not having 24 hour Time Template setup to encompass the entire day's trading, or the Price/Volume chart not encompassing all 24 hours. Can you make sure we are comparing the same data sets?

---------------------
To change a Market Profile Chart to include 24 hours of trading, click on Chart Options --> Time Templates --> 24 Hour.

To change a Price/Volume chart to include 24 hours of trading, click on Chart Options --> Properties, the General tab, and change the Chart Times to 0:00 - 24:00.

[Anson]

Originally posted by JayF
Anson,

I suspect this discrepancy is due to either the Market Profile chart not having 24 hour Time Template setup to encompass the entire day's trading, or the Price/Volume chart not encompassing all 24 hours. Can you make sure we are comparing the same data sets?

---------------------
To change a Market Profile Chart to include 24 hours of trading, click on Chart Options --> Time Templates --> 24 Hour.

To change a Price/Volume chart to include 24 hours of trading, click on Chart Options --> Properties, the General tab, and change the Chart Times to 0:00 - 24:00.

Jayf,

Thanks for replying.

Actually, both are using the 3:00 to 14:00 EST template. ie. The Price/Vol chart and Mkt Profile.

But I'll add NQ versions using 24hr template here anyway.

[Anson]

Both are using 0:00 to 24:00 time configurations.

Look at 1492.5 on MP chart and then look at 1492.5 on Price/Vol chart. The vol peak is at 1492 on Price/Vol chart instead.

Also note the differences in volume when you look at the adjacent price levels and compare them to the peaks. The MP chart price levels seem to have vast differential in peak to adjacent price levels in volume.

This not the case on the Price/Vol chart.

Using the cursor function in MP, the price 1491.5 shows 0.12K volume right at this moment as I type this while the Price/Vol chart shows 5.83K vol.

Both are using the same time templates as you can see from my screenshot.

Any ideas what might be wrong here?
I can do more tests if you wish. I have observed this problem for a few days by now across different mkts.

Thanks!
Anson

[JayF]

Anson,

Thank you for the additional details and your reply. I was able to duplicate the problem and will forward this over to our QA Team to investigate further.

[Anson]

Originally posted by JayF
Anson,

Thank you for the additional details and your reply. I was able to duplicate the problem and will forward this over to our QA Team to investigate further.

Thank you, Jayf.
I only hope to do my best to help get this sorted out.

Here's an obvious current one of Eurostoxx50. Both are using the same time template as can be seen in screenshot.

Notice the different Peak Volumes... one at 2857 and the other at 2852/55. They do not agree at all. Price/Vol chart also has very different differentials in vol from one price to next compared to MP.

2857 has 20.8k vol on one while 3.8k on the other.

[JayF]

Anson,

I heard back on this issue, and there's two contributing factors.

1) The Price/Volume chart (from the Standard Chart) is built from raw tick data, and has a x-axis labelling problem. If you click on the Green OK button to refresh the chart, the general shape of the chart will be the same, but the label along the bottom will change to a more reasonable level. Please note that it is unlikely we will correcting this bug anytime soon.

2) Another discrepancy is caused by the fact that the Market Profile chart is based on 1-minute data versus the tick level data of the Price/Volume chart. Since we don't know how much volume is attributed to each price point in the 1 minute interval, we take the mid price of the price points hit during the interval and assign the volume to that price. If the mid price isn't a valid price (in between 2 ticks), we always round up. When we looked at the way competitors handled this and also when we worked with Steidlmayer, everyone agreed that this was the best way to deal with the volume.

I hope these two explanations clear up what is seen in these two windows.

[Anson]

Jay,

Thanks for the reply. Pls see my questions below.

Originally posted by JayF
Anson,

I heard back on this issue, and there's two contributing factors.

1) The Price/Volume chart (from the Standard Chart) is built from raw tick data, and has a x-axis labelling problem. If you click on the Green OK button to refresh the chart, the general shape of the chart will be the same, but the label along the bottom will change to a more reasonable level. Please note that it is unlikely we will correcting this bug anytime soon.

Ok. So the labels along the bottom may be wrong... that's not so bad as long as the shape is correct as I mainly want to see the volume levels in each price and their differentials. But I have a question... do you mean that the volume is not actually volume but is displaying "ticks" instead?
Correct me if I'm wrong but "ticks" here would imply that the number at each price level is simply the number of times tha price traded?

2) Another discrepancy is caused by the fact that the Market Profile chart is based on 1-minute data versus the tick level data of the Price/Volume chart. Since we don't know how much volume is attributed to each price point in the 1 minute interval, we take the mid price of the price points hit during the interval and assign the volume to that price. If the mid price isn't a valid price (in between 2 ticks), we always round up. When we looked at the way competitors handled this and also when we worked with Steidlmayer, everyone agreed that this was the best way to deal with the volume.

Ok. I think I roughly get what you mean. One question again: I have price levels in the MP chart which show Zero volume. Is this correct as per the implementation? I mean logically speaking... prices can't have zero volume. I'm only worried about the accuracy of the volumes shown. Not trying to get picky if you know what I mean.

So in light of these 2 methods of displaying volume, I'm wondering which is the more accurate measure of volume traded at each price level!

Lastly, is it possible to expand the volume displays in Mkt Profile horizontally so that the volume bars look longer and thus clearer? Right now they're all pretty much squeezed up. Hard to try and identify the peaks sometimes.

[JayF]

To clarify what I meant by "the Market Profile chart is based on 1-minute data versus the tick level data of the Price/Volume chart," our Tick Server is structured in such a way where data can be accessed either on a tick by tick basis, which looks at every trade along with it's volume, or on a 1 minute basis, where you have an Open, High, Low, Close, and Volume of a 1 minute period of time.

The benefit of raw tick data is that you have the accuracy of seeing every trade and it's corresponding volume, thus providing the most accurate Price/Volume curve. The downside is that there is a large overhead in storing that amount of data, and at this time, it is limited to 10 days.

The benefit of 1 minute data is that it is far more compressed, we can more effectively store larger amounts on our servers, and thus make more available. Currently, we carry 120 days (about 6 months) of 1 minute data. The downside of 1 minute data is that you cannot "see" each trade and it's corresponding volume that makes up that bar or candle, thus making it more difficult to produce a volume curve.

We chose to go with the 1 minute data for our Market Profile chart per the feedback we received at the time that tool was created. Because of this and the fact that we take the midpoint of the 1 minute bar data to assign the volume, it is possible to see a price level on the Market Profile chart having a zero volume.

To sum this up, Price/Volume provides a more accurate "Volume Profile", while the Market Profile provides more breadth by going back 120 days at the cost described above.

Regarding your question about the Volume area in a Market Profile chart, this cannot be expanded at this point. I would suggest dropping a quick email to our Product Development Team with that suggestion.

[Anson]

Thanks you, Jay.
I guess I'll stick to the volume shown on the Price/Volume standard chart.