quote:

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Received today by email:

First off , thanks for a terrific site loaded with great
information...my question for you is about todays Value area for the
S&P.....I was wondering if you use all sessions in your calculations...?
The reason I ask is because Ann Todisco of off the charts is showing
1203.10 - 1211.90 for Value today (from fridays trading)...I have a
question into her also regarding this discrpency........Did you use the
March contract for the numbers you posted on Thursday? That's question
number two.....thanks so much I appreciate your help...

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You're welcome.

Today's VA for S&P is based on the RTH for the June contract for Friday.

On Thursday the VA numbers were from the June contract but this was changed just before the start of trading and before that they were the March contract so it depends on when you looked at the Daily Notes. I'm working on making the site more uniform and including that sort of information to avoid confusion in the future.

If you have a 30 minute bar chart for the S&P for the RTH session you should be able to calculate the VA by hand if you are ever unsure about the figures published.

Hi Guy,

Say, I would like to check the VA and POC numbers occasionally and have the 30 min bars available. I don't know the method or formulas used to calculate those numbers though. Could you help with this?

Thank you,
Evergreen

quote:

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Originally posted by Evergreen

Hi Guy,

Say, I would like to check the VA and POC numbers occasionally and have the 30 min bars available. I don't know the method or formulas used to calculate those numbers though. Could you help with this?

Thank you,
Evergreen

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Hi Evergreen,

Each tick represents a letter depending on the 30 minute bracket that it was formed in but these letters are irrelevant if you are calculating the POC and VA.

What you need to do is create a profile graphic that shows the shape of the profile like this:

110 X
109 XX
108 XXX
107 XXXX
106 XXXX
105 XXXXX
104 XXXX
103 XXX
102 XX
101 X
100 X

Each line has an X for each 30 minute time bracket that the market traded at that price.

The POC is the line with the most X's. If 2 lines have the same 'most' X's then chose the one nearest the center. If those two are both in the center then choose the line which is on the side which has more X's. If they have equal number of X's on each side then choose the line closer to the closing price.

From the POC you work your way outwards counting X's until you reach 70% of the total X's printed. Always move in the direction of the price with the most number of X's.

The X's are known as TPO's or Time Price Oportunities.

I hope this helps.

Hi Guy,

Well shoot.. I thought there might be a way to easily drop something into excel and "Poof" there would be some magic Market Profile numbers. Guess I'll have to get out my pencil and graph paper to check.

Thanks so much for taking the time on this... very nice overview on how these numbers are derived.

Evergreen

After I typed in that reply I tried to create an Excel spreadsheet to do exactly that. I got it about half finished but couldn't solve the final part. My objective was to do it all with cell functions and not use a macro. I came a bit unstuck using the DCount() function and couldn't get it to do exactly what I wanted but almost got it there. If I get a chance to solve it then I'll finish it off. I'm sure that it's possible - perhaps someone else out there has seen a spreadsheet like this?