[Frank]

I am posting this in this forum in hopes someone can make the code more efficient. It runs in Open Ecry/Easylanguage --- but it won't run in Tradestation as it seems to be too "compute-intensive" for Tradestation in its current form.

The Idea is to create an estimate of the most heavily traded price of day so that you can chart it historically and see how the volume profile filled out. The concept comes from how VWAP is computed, which is really an estimate of VWAP if done on a chart -- but it is usually within less than 1 tick of actual vwap if you drop down to a 2-min chart or below.

here is the snapshot of the calculation -- note how the line that is created by the code closely matches the volume bars on the right and you can visualize how the volume profile would look if it were not included in the chart.

[Frank]

here is the hack-code I came up with. it needs some work ---

BEWARE to Tradestation users, your system might hang if you try to run this on a LTF chart. (and it won't calculate correctly if you run it on Higher Timeframe chart).

vars: firstbar(0), length(0);

if date > 1091015 then begin // <== this is in here so doesn't get locked up in loop looking back past 10/15/09

if date > date[1] then
firstbar=currentbar;
length=currentbar-firstbar;

value1 = (O+H+l+C)/4;
value2 = round2fraction(value1);

value4=mode(value2, length, -1); //the -1 finds the lowest of modes if more than 1 mode price exists

if value4>lowd(0) and time>330 then
plot1(value4);


end;