Volume Profile and Market Profile a new wave of market picture

Happy_Singh · Aug 11, 2016

Below is the Amibroker (AFL)

Code:

_SECTION_BEGIN("MarketProfile");
SetChartOptions(0,chartShowArrows|chartShowDates);
//------------------------------------------------------------------------------
//
//  Formula Name:    Market Profile 
//
// Use with 5/15min chart
// Originial - From AFL library
// Edited by - Milind / KAKA
// AFL Modified by Rajandran- code works good in 5min, 15min, 30min timeframe
// Code is Compatible with Amibroker 5.8 and above
// Letter A now repeats for first 30 min, Letter B next 30 min so on
// Multiple Repeating Alphabets Horizontally to be fixed in 5min and 15min

//Market Profile 9/12/2009

PlotOHLC(Ref(O,-1),Ref(H,-1),Ref(L,-1),Ref(C,-1),"Price",colorblack,stylenoline);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g", Ref(O,-1), Ref(H,-1), Ref(L,-1), Ref(C,-1) ));


EnMP2= ParamList("MarketProfile","Letters|Solid|Lines");
styleLines = ParamStyle("Style", styleLine, maskAll);

Type=ParamList("Type","Price Profile|Volume Profile");
Period= ParamList("Base","Hourly|Daily|Weekly|Monthly",1);


Den = Param("Density", 3, 0.25, 100, 0.25); // Resolution in terms of $
percent=Param("Value Area", 70, 1, 100, 1);
ViewTPOCount= ParamToggle("Show TPO Count", "No|Yes",1);
ViewPOC = ParamToggle("Show POC", "No|Yes",1);
ViewVALVAH = ParamToggle("Show VAL VAH Line", "No|Yes",1);
Viewfill = ParamToggle("Show VA Fill", "No|Yes",1);
Colorpoc=ParamColor("Color POC", colorYellow);
Colorfill=ParamColor("Color Fill", ColorRGB(20,40,60));


EnIB = ParamToggle("Show Initial Balance", "Yes|No");
IBBars = Param("Initial Balance Bars", 2, 0, 10, 1);

if(Period=="Daily"){
BarsInDay = BarsSince(Day() != Ref(Day(), -1));
Bot = TimeFrameGetPrice("L", inDaily, 0);
Top = TimeFrameGetPrice("H", inDaily, 0);
Vol = TimeFrameGetPrice("V", inDaily, 0);
}

if(Period=="Hourly"){
BarsInDay = BarsSince(Minute() != Ref(Minute(), -1));
Bot = TimeFrameGetPrice("L", in5Minute, 0);
Top = TimeFrameGetPrice("H", in5Minute, 0);
Vol = TimeFrameGetPrice("V", in5Minute, 0);
}

if(Period=="Weekly"){
BarsInDay = BarsSince(DayOfWeek() < Ref( DayOfWeek(), -1 ));
Bot = TimeFrameGetPrice("L", inWeekly, 0);
Top = TimeFrameGetPrice("H", inWeekly, 0);
Vol = TimeFrameGetPrice("V", inWeekly, 0);
}

if(Period=="Monthly" ){
BarsInDay = BarsSince(Month() != Ref(Month(), -1));
Bot = TimeFrameGetPrice("L", inMonthly, 0);
Top = TimeFrameGetPrice("H", inMonthly, 0);
Vol = TimeFrameGetPrice("V", inMonthly, 0);
}

CurTop = HHV(H,BarsInDay+1);
Curbot = LLV(L,BarsInDay+1);
Range = Highest(Top-Bot);
TodayRange = Top - Bot;

AveRange = Sum(Top-Bot,30)/30;
LAveRange = AveRange[BarCount-1];

// Initialization
baseX = 0;
baseY = floor(Bot[0]/Den)*Den;
relTodayRange = 0;
firstVisBar = Status("firstvisiblebar");
lastVisBar = Status("lastvisiblebar");

D=.0005;
total=0;
totaldn=0;
totalup=0;
shiftup=0;
shiftdn=0;
startr=0;

for (j=0; j <= 100; j++) {
  x[j] = 0;
}

i0 = 0;
i1 = 0;
for (i=0; i<BarCount; i++) {
  if (BarsInDay[i] == 0 AND i < firstVisBar) {
    i0 = i;
  }
  if (BarsInDay[i] == 0 AND i >= lastVisBar) {
    i1 = i;
  }
}

i1 = BarCount-1;
for (i=i0; i<=i1; i++) {
  if (BarsInDay[i] == 0) {
    baseX = i;
    baseY = floor(Bot[i]/Den)*Den;
    maxY = floor(Top[i]/Den)*Den;
    relTodayRange = (maxY-baseY)/Den;

    for (j=0; j <= relTodayRange; j++) {
      x[j] = 0;
    }
  }
	
	range_x=lastVisBar-firstVisBar;
	spread = Param("X Space", 112, 1, 200, 1);
	tpl = Param("Time Per Letter (mins)", 30, 1, 360, 1);
	Intervalmin=Interval()/60;
	flt =Param("First Letter (Bars)", 1, 1, 60, 1);
	teb=ParamToggle("To Each Bar","No|Yes");
	Color=Param("Color Threshold",20,1,50,1);
	stopg=0;
	stopr=0;
	new=0;
	
	Voloumeunit=Vol[i]/LastValue(BarsInDay);


  if (EnMP2 == "Letters") {
    for (j=0; j<= relTodayRange; j++) {
      if (L[i] <= baseY+j*Den AND H[i] >= baseY+j*Den) {
        PlotTextSetFont("", "Arial", 6, BarCount-1, Close[ BarCount - 3 ], colorGreen, colorDefault, -20 ); 
        PlotTextSetFont("C", "Arial", 40, 100, 100, colorGreen, colorDefault, -20 ); 
		PlotText(StrExtract(" A , B , C , D , E , F , G , H ,  I  , J , K , L , M , N , O , P , Q , R , S , T , U , V , W , X , Y , Z, a , b , c , d , e , f , g , h , i , j , k , L , m , n ,o , p , q , r , s , t , u , v , w , x , y , z ",
		IIf(BarsInDay[i]<flt,0,floor(BarsInDay[i]/(tpl/Intervalmin))-0)), baseX+IIf(teb==1,BarsInDay[i],x[j]*(range_x/spread)), baseY+j*Den, 
		colorWhite,ColorHSB(10+((floor(BarsInDay[i]/(tpl/Intervalmin)))*Color),160,140));
       x[j]++;
	PlotTextSetFont("", "Arial", 10, BarCount-1, Close[ BarCount - 3 ], colorGreen, colorDefault, -20 ); 
      }
    }
  }
	
  else if (EnMP2 == "Lines" OR EnMP2 == "Solid") {
    for (j=0; j<= relTodayRange; j++) {
     if (L[i] <= baseY+j*Den AND H[i] >= baseY+j*Den) {
		if(Type=="Price Profile"){x[j]=x[j]+1;}
		else if(Type=="Volume Profile"){x[j]=x[j]+round(V[i]/Voloumeunit);}
 	
	   }
    }
  }  

  // Draw Initial Balance after 11am bar is complete
  if (BarsInDay[i] == IBBars AND EnIB == 0) {
    Line1 = LineArray(i-2, curtop[i-1],i+7, curtop[i-1],0,True);
    Plot(Line1,"",colorLightGrey,styleLine+styleDashed|styleNoRescale);
    Line1 = LineArray(i-2, curbot[i-1],i+7, curbot[i-1],0,True);
    Plot(Line1,"",colorLightGrey,styleLine+styleDashed|styleNoRescale);
  }

  // Examine x[j]
  if ((i < BarCount - 1 AND BarsInDay[i+1] == 0) OR i == BarCount-1) {
    maxXj = 0;
	maxj = 0;
    for (j=0; j<= relTodayRange; j++) {
      if (maxXj < x[j]) {maxXj = x[j]; maxj = j; StaticVarSet("Maxj",j); new=j;
	  }
    }
	for ( n = 1; n <= relTodayRange; n++ ) {
       total[n]=x[n]+total[n-1];
        }
	Value_area=(total[relTodayRange]*percent)/100;

	for ( a = 1; a <= relTodayRange; a++ )
	 {
		if(Maxj-a>0 AND Maxj+a<relTodayRange)
		{
			if(MaxXj+total[Maxj+a]-total[Maxj]+total[Maxj-1]-total[Maxj-(a+1)]>=Value_area) {shiftup=a; shiftdn=a; break;}
	 	}	
		else if(Maxj-a<1 ) 
		{
			if(MaxXj+total[Maxj+a]-total[Maxj]+total[Maxj-1]>=Value_area){shiftup=a; shiftdn=maxj-1; break;}		
   		}
		else if(Maxj+a>relTodayRange ) 
		{
			if(MaxXj+total[relTodayRange]-total[Maxj]+total[Maxj-1]-total[Maxj-(a+1)] >=Value_area){shiftup=relTodayRange-maxj; shiftdn=a; break;}		
   		}
	 }

	Vah = LineArray(baseX, baseY+(maxj+shiftup)*Den, i, baseY+(maxj+shiftup)*Den,0,True);
	Val = LineArray(baseX, baseY+(maxj-shiftdn)*Den, i, baseY+(maxj-shiftdn)*Den,0,True);
	poc = LineArray(baseX, baseY+maxj*Den, i, baseY+maxj*Den,0,True);
	if(ViewVALVAH==1){Plot(Vah,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);
	Plot(Val,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);}
	if(ViewPOC==1){Plot(poc,"",Colorpoc,styleLine|styleNoRescale);}
	PlotText(""+(baseY+(maxj+shiftup)*Den),i-5,baseY+(maxj+shiftup)*Den,colorWhite);
	PlotText(""+(baseY+(maxj-shiftdn)*Den),i-5,baseY+(maxj-shiftdn)*Den,colorWhite);
	if(ViewTPOCount==1){PlotText(""+total[maxj],basex,bot[i]-(Top[i]-bot[i])*0.05,ParamColor("Color_VAL", colorLavender));
	PlotText(""+(total[relTodayRange]-total[maxj]),basex,Top[i]+(Top[i]*0.0005),ParamColor("Color_VAH", colorLavender));}



	if(ViewPOC==1){PlotText(""+(baseY+maxj*Den),i-5,baseY+maxj*Den,Colorpoc);}
  }
	
	if (i < BarCount - 1 AND BarsInDay[i+1] == 0 OR i == BarCount-1) {
	
	  for  (p = 1; p < relTodayRange+1; p++){
	  line = LineArray(baseX, baseY+p*Den, baseX+x[p], baseY+p*Den);
	  line2 = LineArray(baseX, baseY+(p-1)*Den, baseX+x[p-1], baseY+(p-1)*Den);

      if (EnMP2 == "Solid")
	  {
	  PlotOHLC( Line,  Line,  Line2, Line2, "",IIf(p>(maxj+shiftup),ParamColor("Color_VAH",  colorLavender),IIf(p<=(maxj+shiftup)AND p>(maxj-shiftdn),ParamColor("Color_VA", colorLightBlue),ParamColor("Color_VAL", colorLavender))) ,styleCloud|styleNoRescale|styleNoLabel);
	  }
	  if (EnMP2 == "Lines") 
	  {
     Plot(line,"",IIf(p>(maxj+shiftup),ParamColor("Color_VAH", colorLavender),IIf(p<=(maxj+shiftup)AND p>(maxj-shiftdn),ParamColor("Color_VA", colorLightBlue),ParamColor("Color_VAL",  colorLavender))) , styleLines|styleNoLabel);
     }
 	
   }
	 if(Viewfill==1){PlotOHLC(Vah,Vah,Val,Val,"",Colorfill,styleCloud|styleNoRescale|styleNoLabel);}

 } 
}


_SECTION_END();

_SECTION_BEGIN("Gradient Backfill");
SetChartBkGradientFill( ParamColor("BgTop", ColorRGB( 0,0,0 )),

ParamColor("BgBottom", ColorRGB( 0,0,0 )),ParamColor("titleblock",ColorRGB( 192,192,192 ))); 
_SECTION_END();

Hi

For those who are looking for Plotting Yesterday's PoC & VH/VL Values on today's MP,
can make the following code modification to the AFL posted above

Code:

	if(ViewVALVAH==1){Plot(Vah,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);
	Plot(Val,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);}
	if(ViewPOC==1){Plot(poc,"",Colorpoc,styleLine|styleNoRescale);}

find the above code in the AFL and replace it with the one given below

Code:

//Shift for Yesterday's Values
	nobs = ceil(375/(Interval()/60));
	if(ViewVALVAH==1){
		Plot(Vah,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);
		Plot(Val,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);
		Plot(Val,"",colorLightGrey,styleDashed|styleNoRescale,0,0,nobs);
		Plot(Vah,"",colorLightGrey,styleDashed|styleNoRescale,0,0,nobs);
	}
	if(ViewPOC==1){
		Plot(poc,"",Colorpoc,styleLine|styleNoRescale);
		Plot(poc,"",colorYellow,styleDashed|styleNoRescale,0,0,nobs);
	}

Happy

amit2007gunjan · Aug 11, 2016

XRAY27 said:

Thanks. It was my misunderstanding.Wide initial balance is normally a characteristic of a "Normal Day" where the IB is not upset throughout the day.

And today's profile of Nifty future looks like Neutral Day ! Am i correct sir?

wisp · Aug 11, 2016

Happy_Singh said:

Wow!! awesome, thanks a LOT Happy_Singh :clapping::clapping:

XRAY27 · Aug 11, 2016

Happy_Singh said:

Thanks a lot sir !!!!

XRAY27 · Aug 11, 2016

amit2007gunjan said:

yes!!! a non trending day or we can say neutral day

Vipul_84 · Aug 11, 2016

The market opened at VA RANGE and remained their for next 2 bars of 30 mins. So 80% chance that it will be a balanced day. Is this right XRAY bro?

Vipul_84 said:

XRAY27 · Aug 11, 2016

Vipul_84 said:

Good going vipul bhai... perfect !!! :thumb:

you asked in the morning and i replied then itself !!!

http://www.traderji.com/advanced-tr...e-new-wave-market-picture-12.html#post1171834

Vipul_84 · Aug 11, 2016

Ha bhai, PRO or upcoming ka farak hai, at least EOD to samaz me aya

XRAY27 said:

Vipul_84 · Aug 11, 2016

So generally if market opens in range, should we simply wait for first one hour? If it stays in range like today, its tight day and look for range day techniques.
If market opens in range and moves one way( as it did on 10th that is yesterday, then simply look for pull back in the direction of ongoing trend.
Right?

XRAY27 · Aug 11, 2016

Vipul_84 said:

I'm also learner my dear not a PRO !!!

Vipul_84 said:

First of all weekly Profile is important ..then daily 10 th was a day which was already in down move for a target of 8610 and 8595 levels ,yesterday failed at PDVAH which is perfect area to short !!!

But today after reaching all targets in weekly we have to go by previous day va 's and dp so there we have to wait for 1st hour as it opened in range and 2 nd 30 mins was also closed in range...

Bottom line :Higher time frame rules...so we are just riding higher time frame profiles if not available then previous day is the only option !!

Hope this clears your doubt !!

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Volume Profile and Market Profile a new wave of market picture

Happy_Singh

Happy

amit2007gunjan

System Trader

wisp

Well-Known Member

XRAY27

Well-Known Member

XRAY27

Well-Known Member

Vipul_84

Well-Known Member

XRAY27

Well-Known Member

Vipul_84

Well-Known Member

Vipul_84

Well-Known Member

XRAY27

Well-Known Member

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