Market Profile problems

[NowThen]

I am looking at the ZN U8 market profile on the standard 30 minute setting. My chart is fully extended so that I am looking at the volume bars at every half tick.
Yesterday the highest volume price for the profile dated 7/22 was 11316+.
Today the high volume price for that profile is 11317+.
What is going on? Why are the volume bars changing for historical data?
Even today, the high volume price for yesterday has changed from 11302 at 7am ET, to 11302+ as of right now.
As the high volume prices are crucial to my trading could someone please explain to me why the volume bars are changing and what I should make of these changes?
It makes no sense at all and yet I have observed it many times. HELP PLEASE!

[eSignal_AveryH]

Hi NowThen,

This can be a bit confusing because of the way data is collected and then stored. Market Profile Charts when built in real time uses Tick by Tick data. This creates a very accurate depiction of the price action. When the Market Profile Chart is recreated it can not call the tick by tick data, so it goes to the history server and creates the bars using Historical Bar Data. This can in some cases cause the chart to skew.

Sorry for any confusion or inconvenience this may cause. .


AveryH
eSignal Support

[NowThen]

Thank you for replying to my post Avery. Could you please clarify for me what you said (sorry if I am being slow). How is "tick volume" calculated? Is it by using actual contracts traded or is it some sort of estimate?
Also, if the data varies at a later date, how does it vary and is the data from the history server more accurate or less accurate than the tick data?

As you can see from my posts I think that there are a few basic improvements that could be made to the market profile set up. I did "make a suggestion" as advised by one of your colleagues but never received a reply.
I have made a number of phone calls to esignal but never have got to talk to someone that understands the market profile.
There are a few basic problems with the market profile as it is offered by esignal.
I have over 10 years experience trading with the profile and I would be happy to explain a person at esignal that could alter the set-up how a few basic changes would greatly improve the service offered.
If you can help me, or put me in touch with someone who can, let's talk and get this sorted out.

[ScottJ]

Thanks for the offer to provide feedback. With our latest improvements to MP, we directly dealt with J. Peter Steidlmayer on how we could strengthen our MP offering. At the end, his team was pretty impressed with our MP offering.

We do realize that MP is a complex topic so we're happy to hear more user input. We'll be in touch privately to discuss setting up a call.

Thanks.

[eSignal_AveryH]

Tick volume is calculated by actual contracts traded snf is the most accurate data for the Market Profile Chart when done in real-time. The reason being is that it plots each trade and adds the volume to each price point it hits.

The backfill data uses 1 minute bars. Here's an example of how the backfill is done:

Take a 1 minute bar that has traded 40 contracts/shares between the low price of 12 and the high price of 20. The midpoint between the two prices is 16. So all 40 Contracts/shares would be added to the midpoint. This is done 30 times for each 30 minute period, giving a maximum of 30 possible plots per period on the chart.

We did it in the fashion to allow for more backfill. If historical tick data were used it would limited you to only 10 days, require more bandwith to download the data and more processing time to build the chart.

Hopefully I explained it better this time and please let me know if I can answer any other questions.

AveryH
eSignal Support

[NowThen]

AveryH, Thank you for taking the time to explain to me how esignal works. From what I understand then, when the data changes, it becomes more accurate (Is that right?)
When I traded on Thursday 23rd Sep, most of my technical levels came from the day before. So in ZB Z8 I had a high volume price 117180 and in ZN Z8 I had a high volume price of 115055/115065. As the market did not reach these levels I did not initiate the relevant trades.
When I check the data today, the high volume prices for 09/24 are 118120 & 115050. These levels were the exact highs in both markets on Thursday.
Obviously I've missed two trades there which is disappointing.
I understand the way you calculate the tick volume and I'm sure that it is highly accurate statistically. However, I am missing trades such as these on a regular basis, say once every week or two weeks.
On that basis I will be bold enough to say that the data that I was relying on, on Thursday was not accurate enough for me.
Am I alone in giving you such feedback or is Market Profile a very little subscribed indicator on Esignal?
I hope that I don't appear overly critical -like I've said before I would happily help improve the Esignal set-up if possible.

[eSignal_AveryH]

Hey NowThen,

Actually the tick by tick data is most accurate so the best MP chart is going to be the current days chart opened in morning and not refreshed.

A chart that has closed or refreshed in the middle of the day would consist of minute bar data and Tick by Tick which can cause the volume of the chart to be skewed.

I have forwarded your offer to assist to the eSignal Project Manager and once I received word back from them I'll either PM you or post back here.

AveryH
eSignal Support