Discrepancies of volume profile

[shakib3585]

Discrepancies of volume profile at different aggregations with the same "Time per Profile"

I am seeing a strange issue with the volume profile in TOS. I have selected the volume profile study and selected "Week" as "time per profile". I applied for the ticker "POL". When the aggregation is "5D: 1m", I see the VAH, VAL, and POC being 7.4, 1.55, and 2.19. With the same study on a "Max: W" aggregation, I see 8.14, 1.12, and 5.98, respectively. I have attached the two images for reference. Is there a reason for this discrepancy? If so, is there a way to solve it?



Thank you

 

[MatthewA]

Yes many people have pointed out that Thinkscript Volume changes when you change timeframes and it differs somewhat from products like Sierra Charts and NinjaTrader...
I don't let this bother me as I use Volume "relative" to events and also I use "relative volume"

We should check with TD Ameritrade and Schwab again but I believe it has something to do with the tick nature of Thinkscript rather than a serious miscalculation.

 

[shakib3585]

Yes many people have pointed out that Thinkscript Volume changes when you change timeframes and it differs somewhat from products like Sierra Charts and NinjaTrader...
I don't let this bother me as I use Volume "relative" to events and also I use "relative volume"

We should check with TD Ameritrade and Schwab again but I believe it has something to do with the tick nature of Thinkscript rather than a serious miscalculation.

thank you for your reply @MatthewA . The biggest concern if you consider the previous period's VAH, VAL as pivots and if they keep on changing, that's a major concern. Also, if you choose to use them as reference in TOS scanners, that makes the problem even bigger

 

[MatthewA]

The biggest concern if you consider the previous period's VAH, VAL as pivots and if they keep on changing, that's a major concern. Also, if you choose to use them as reference in TOS scanners, that makes the problem even bigger

Okay yes, if you desire to use those techniques that would be an issue.

a major concern

Okay that is a major concern, I hadn't considered...

Some others in FinTech working with settling trust banks focused on the clocks that settle volumes.
I don't know every detail of this, I still haven't done a deep dive into how HighFrequencyTraders glean advantages from the complicated deceptions they play in the scale of nanoseconds...

Yet I remember some quant-engineers like Dale used events to define exact times to sort Volumes into...
https://www.trader-dale.com/
ThinkScript does have clean tick Volume Data like Dale uses and is not obviously manipulated like most of the MetaTrader scams and other unregulated crypto brokers...

Tomorrow morning I will have time to tighten the ThinkScript of the clock that sorts volumes.
Hoperfuly that will be useful to you my friend.
TY

 

[shakib3585]

Okay yes, if you desire to use those techniques that would be an issue.

Okay that is a major concern, I hadn't considered...

Some others in FinTech working with settling trust banks focused on the clocks that settle volumes.
I don't know every detail of this, I still haven't done a deep dive into how HighFrequencyTraders glean advantages from the complicated deceptions they play in the scale of nanoseconds...

Yet I remember some quant-engineers like Dale used events to define exact times to sort Volumes into...
https://www.trader-dale.com/
ThinkScript does have clean tick Volume Data like Dale uses and is not obviously manipulated like most of the MetaTrader scams and other unregulated crypto brokers...

Tomorrow morning I will have time to tighten the ThinkScript of the clock that sorts volumes.
Hoperfuly that will be useful to you my friend.
TY

Thanks brother