Volume Profile and Market Profile a new wave of market picture

[XRAY27]

I also have same afl from KAKA.. But dont know how values are diff. then u

 

[manish9300]

For Initial balance we consider first 60 min range.Is this IB time bracket same for daily profile, weekly profile and monthly profile?

 

[manish9300]

Xrayji your levels seems correct to me as it nicely contain most of the last weeks price action.Can you please repost the afl (or afl link) that you are using.

 

[manish9300]

Market has tested IB(first 60 min range) high.Now if IB low breaks failed auction setup completes.Is this correct?

 

[XRAY27]

Xrayji your levels seems correct to me as it nicely contain most of the last weeks price action.Can you please repost the afl (or afl link) that you are using.

This is kaka afl... density should be 3

_SECTION_BEGIN("MarketProfile");
//------------------------------------------------------------------------------
//
//  Formula Name:    Market Profile 
//
// Use with 5/15min chart
// Originial - From AFL library
// Edited by - Milind / KAKA

//Market Profile 10/12/2009


//------------------------------------------------------------------------------
// This is a modified version of afl date 09/19/2009 as listed above
// Contains a couple changes:
// 1) a more correct (but not complete) calculation of POC.
// 2) attempt to avoid the out of bound runtime error that
//    sometimes occurs. See below:
//
// Here are changes to emulate the arrays x[] and total[] so
// that the array size are not limited by Barcount.
// Now one probably should not get the out of bound error even
// if the density or ticksize is smaller. Of course, there will
// be more overhead in calculation.
// johncw 20091010
// Wrapper start
_N(VarKey = NumToStr(GetChartID(), 1.0, False) + "_");
_N(VarTotal = "V_T" + VarKey);
_N(VarX = "V_x" + VarKey);

function L_StaticVarSet(L_name, L_value)
{
	local L_name, L_value;
	StaticVarSet(L_name + VarKey, L_value); 
}

function L_StaticVarGet(L_name)
{
	local L_name;
	return(StaticVarGet(L_name + VarKey));
}

function x_g(L_idx)
{
	local L_idx;
	return VarGet(VarX + L_idx);
}

function x_s(L_idx, L_value)
{
	local L_idx, L_value;
	VarSet(VarX + L_idx, L_value);
}

function total_g(L_idx)
{
	local L_idx;
	return VarGet(VarTotal+L_idx);
}

function total_s(L_idx, L_value)
{
	local L_idx, L_value, L_name;
	VarSet(VarTotal+L_idx, L_value);
}
// Wrapper end
//------------------------------------------------------------------------------


PlotOHLC(O,H,L,C,"Price",IIf(C>O,colorGreen,colorRed),styleCandle);


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

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

Den = Param("Density", 1, 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);
Viewvalues= ParamToggle("Show Values", "No|Yes",1);

ViewPREVIOUS = ParamToggle("Previous Values", "No|Yes",1);

ViewVALVAH = ParamToggle("Show VAL VAH Line", "No|Yes",1);
Viewfill = ParamToggle("Show VA Fill", "No|Yes",0);
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;

i0 = 0;
i1 = 0;
for (i=0; i<BarCount; i++) {
  x_s(i, 0); // should not need this
  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_s(j, 0);
		
    }
  }
	
	range_x=lastVisBar-firstVisBar;
	spread = Param("X Space", 80, 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) {
		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,ceil(BarsInDay[i]/(tpl/Intervalmin))-0)), baseX+IIf(teb==1,BarsInDay[i],x_g(j)*(range_x/spread)), baseY+j*Den, 
		colorWhite,ColorHSB(10+((ceil(BarsInDay[i]/(tpl/Intervalmin)))*Color),160,140));
		x_s(j, x_g(j)+1);

      }
    }
  }
	
  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_s(j, x_g(j)+1);}
		else if(Type=="Volume Profile"){x_s(j, x_g(j)+round(V[i]/Voloumeunit));}
 	
	   }
    }
  }  

  // Draw Initial Balance after 11am bar is complete
  if (BarsInDay[i] == IBBars+1 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;
	midrange = int(relTodayRange/2)+1;
    for (j=0; j<= relTodayRange; j++) {
      if (maxXj < x_g(j)) {
			maxXj = x_g(j); maxj = j; L_StaticVarSet("Maxj",j); new=j;
	  } else if ( MaxXj == x_g(j)) {
			if (abs(midrange-j)  < abs(midrange-L_StaticVarGet("Maxj"))) {
				maxXj = x_g(j); maxj = j; L_StaticVarSet("Maxj",j); new=j;
			}
	  }
    }
	total_s(0, 0);
	for ( n = 1; n <= relTodayRange; n++ ) {
		total_s(n, x_g(n) + total_g(n-1));
        }

	Value_area=(total_g(relTodayRange)*percent)/100;

	for ( a = 1; a <= relTodayRange; a++ )
	 {
		if(Maxj-a>0 AND Maxj+a<relTodayRange)
		{
			if(MaxXj+total_g(Maxj+a)-total_g(Maxj)+(total_g(maxj)-MaxXj)-total_g(Maxj-(a+1))>=Value_area) {shiftup=a; shiftdn=a; break;}
	 	}	
		else if(Maxj-a<1 ) 
		{
			if(MaxXj+total_g(Maxj+a)-total_g(Maxj)+(total_g(maxj)-MaxXj)>=Value_area){shiftup=a; shiftdn=maxj-1; break;}		
   		}
		else if(Maxj+a>relTodayRange ) 
		{
			if(MaxXj+total_g(relTodayRange)-total_g(Maxj)+(total_g(maxj)-MaxXj)-total_g(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);
	Vah1 = LineArray(i, baseY+(maxj+shiftup)*Den, i+BarsInDay[i], baseY+(maxj+shiftup)*Den,0,True);
	Val1 = LineArray(i, baseY+(maxj-shiftdn)*Den, i+BarsInDay[i], baseY+(maxj-shiftdn)*Den,0,True);
	poc = LineArray(baseX, baseY+maxj*Den, i, baseY+maxj*Den,0,True);
	poc1 = LineArray(i, baseY+maxj*Den, i+BarsInDay[i], baseY+maxj*Den,0,True);

	if(ViewVALVAH==1)
	{
		Plot(Vah,"",ParamColor("Color_VA",  colorBlueGrey),styleLine|styleNoRescale);
		Plot(Val,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);
		Plot(poc,"",Colorpoc,styleLine|styleNoRescale);
	}
	if(ViewPREVIOUS==1)
	{
		Plot(Vah1,"",ParamColor("Color_VA",  colorBlueGrey),styleDashed|styleNoRescale);
		Plot(Val1,"",ParamColor("Color_VA",  colorLightBlue),styleDashed|styleNoRescale);
		Plot(poc1,"",Colorpoc,styleDashed|styleNoRescale);
	}


	if(Viewvalues==1)
	{
	PlotText(""+(baseY+maxj*Den),i-5,baseY+maxj*Den,Colorpoc);
	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_g(maxj)-MaxXj)+" / "+(total_g(maxj-shiftdn-1)),basex,bot[i]-(Top[i]-bot[i])*0.05,ParamColor("Color_Below_VA",  colorGrey40));
	PlotText(""+(total_g(relTodayRange)-total_g(maxj))+" / "+(total_g(relTodayRange)-total_g(maxj+shiftup)),basex,Top[i],ParamColor("Color_Above_VA", colorGrey40));
	}



	}
	
  }
	
	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_g(p), baseY+p*Den);
	  line2 = LineArray(baseX, baseY+(p-1)*Den, baseX+x_g(p-1), baseY+(p-1)*Den);

      if (EnMP2 == "Solid")
	  {
	  PlotOHLC( Line,  Line,  Line2, Line2, "",IIf(p>(maxj+shiftup),ParamColor("Color_Above_VA",   colorGrey40),IIf(p<=(maxj+shiftup)AND p>(maxj-shiftdn),ParamColor("Color_VA", colorBlueGrey),ParamColor("Color_Below_VA",  colorGrey40))) ,styleCloud|styleNoRescale|styleNoLabel);
	  }
	  if (EnMP2 == "Lines") 
	  {
     Plot(line,"",IIf(p>(maxj+shiftup),ParamColor("Color_Above_VA",  colorGrey40),IIf(p<=(maxj+shiftup)AND p>(maxj-shiftdn),ParamColor("Color_VA", colorBlueGrey),ParamColor("Color_Below_VA",   colorGrey40))) , styleLines|styleNoLabel);
     }
 	
   }
	 if(Viewfill==1){PlotOHLC(Vah,Vah,Val,Val,"",Colorfill,styleCloud|styleNoRescale|styleNoLabel);}

 } 
}


_SECTION_END();

_SECTION_BEGIN("Title");
Title =
EncodeColor(colorCustom12)+ Title = Name () + " | " 
+EncodeColor(colorYellow) + Date() +" | " + Interval( 2 )+ " | " 
+EncodeColor(colorWhite)+ "OPEN : "+ EncodeColor(colorWhite)+ O + " | "
+EncodeColor(colorWhite)+ "HIGH : "+ EncodeColor(colorBrightGreen)+ H + " | "
+EncodeColor(colorWhite)+ "LOW : "+ EncodeColor(colorDarkRed)+ L + " | "
+EncodeColor(colorWhite)+ "CLOSE : "+ WriteIf(C> Ref(C, -1),EncodeColor(colorYellow),EncodeColor(colorGold))+ C + " | "
+EncodeColor(colorWhite)+  "Volume : " + WriteIf(V> Ref(V, -1),EncodeColor(colorGreen),EncodeColor(colorRed))+ WriteVal(V,1);
_SECTION_END();

 

[manish9300]

I have loaded reposted afl but still not getting levels as shown by you.

Lower pane is the reposted afl.

 

[niftytraps]

I have loaded reposted afl but still not getting levels as shown by you.

Lower pane is the reposted afl.

same issue here. can this be amibroker version issue. i m applying it on Amibroker 5.7rc1

 

[psvaja]

same issue here. can this be amibroker version issue. i m applying it on Amibroker 5.7rc1

I am also not getting value as per XRAY. I think, problem is of 25th Aug data. In case of XRAY, high of 25th Aug is above 8700, while in our case it is 8685. This is may be of expiry day & XRAY may be using Sep series data on expiry day

Pravin

 

[XRAY27]

Manish and niftytraps bhai !!!

i'm using 5.60 in this laptop and another one is of 6.10 ami version which has some issues and it is under repair...once repair is over ,then i will check it...but i'm using GFDL like many !!!

i'm using series wise study not continue data pls check the image once again which i have posted

 

[niftytraps]

Manish and niftytraps bhai !!!

i'm using 5.60 in this laptop and another one is of 6.10 ami version which has some issues and it is under repair...once repair is over ,then i will check it...but i'm using GFDL like many !!!

i'm using series wise study not continue data pls check the image once again which i have posted

Xray ji.. i m also with same GDF datafeed