Previous day value area on NinjaTrader 8

Which prices the market agreed on yesterday, kept on the chart while today trades — and what counts as reaching them.

Setting names are shown in English because that is how they appear in the NinjaTrader indicator settings.

What the value area is

A session's volume profile counts how much traded at each price. The POC (point of control) is the price with the most volume. The value area is the band of prices around the POC that holds a set share of the session's volume (70% by default in OrderVane's session levels); its top is the VAH and its bottom the VAL.

Many traders carry yesterday's VAH, VAL and POC into today, because they mark where the previous session did most of its business.

What OrderVane NT Pro draws

Session levels are on by default:

• The previous session's volume profile, as a profile box over the hours it belongs to, labelled D-1 with its date.
• VAH, VAL and POC extended to the right, from the end of that session to the right edge of the chart, each labelled with its price. The POC line is dashed.
• A touch band around the VAH and VAL, a few ticks either side (Session levels: band ticks, 3 by default). Price rarely stops at an exact number, so the band is what "at the level" means in practice.
• An absorption mark when a touch is met with unusual effort and price barely penetrates the band, drawn as a short bar over the level for as long as the touch lasted.
• The current session shaded lightly from its open, with a dotted line marking where the next session begins.

Session levels are drawn by the range-profile layer, so Range profile on rectangles needs to be on as well (it is on by default).

Choosing the session

Which hours count as "the previous session" matters: a value area built over the full electronic session is not the same as one built over regular trading hours.

• Session levels: session hours (blank = auto) left blank uses the instrument's trading day as NinjaTrader reports it.
• To use regular trading hours instead, type them in exchange time, for example 08:00-13:30, or use the quick panel's Session hours, Session open and Session close rows.
• Session levels: value area (%) sets the value area share (70 by default).
• Session levels: sessions back (1 by default) draws more previous sessions. Older ones are fainter, labelled VAH-2, VAL-2 and so on, and have no touch band.

If you change the value area percentage or the session hours, the profile rebuilds.

The absorption mark is an observation

The mark says a lot of size traded at the level and price did not move through it. It is drawn after the touch ends, and only when price did not push through — so looking back, the marks always sit on touches the level held. That is how the mark is defined, not evidence that absorption makes a level hold. It is not a probability, a signal or a recommendation.

Common questions

Can I use regular trading hours instead of the full session?

Yes. Type the hours in Session levels: session hours (blank = auto), or set Session open and Session close in the quick panel.

Can it show more than one previous day?

Yes. Raise Session levels: sessions back; older sessions are drawn fainter.

Does it need tick data?

The profile is built from the tick data OrderVane NT Pro requests itself, so the instrument needs time & sales data from your connection.

Related

• OrderVane for NinjaTrader 8 — what else NT Pro draws, and the free trial
• Big trades on NinjaTrader 8 — the big prints that arrive at these levels
• Range volume profile on NinjaTrader 8 — the same profile for any range you draw
• Previous session levels (Quantower) — the same levels on Quantower
• Value area edges — a five-minute routine for reading these levels
• All docs