[Andytick]

Originally Posted by BlowFish »

If it is only updating a couple of times a day thats all fine and dandy! but for building accurate volume profiles you need to be updating the arrays every tick. Horses for courses I guess

For example because TS and MC dont have 'tick precise' technology where you can build indicators tick by tick on historical data I will simply use (for example) a week of single tick's to build a weekly picture. (I do this for VWAP and SD's sometimes) and also PVP.

An alternate way would be to use say 2 minute bars and only update every 2 minutes. You would average the volume from high to low of the 2 minute bar. This will give quite different results for the peak volume than a tick by tick approach which is why I developed this code.

Of course whatever works for you! But I can say all the existing VWAP and PVP code essentially locks up on a lot of bars! Maybe it would recover eventually when it catches up but it is horribly inefficient. Even the vol histogram code in the first post can take minutes to load on a couple of days of minute bars.

Hi guys, I'm back again.
I think that a 2 minute bar is not a good thing for an accurate Volume Profile Indicator. Even with PVP and VWAP it's not good so I usually use as Blowfish a tick chart to calculate a weekly PVP and VWAP.
A good way to calculte an History of Volume Profile indicator without increasing the CPU performance and time spending, could be using ADE.
You could save the yesterday Volume profile in a txt file and then call back every new day, so you have to calcultare only then new day Volume Profile Histogram and you have each past days stored as a txt file so it could be loaded faster than calculate and loading each day of the chart.
The volume profile is saved as a txt file in a specified directory and call back by the ADE.
I've not reached the way to calculate the Volume Profile, but we can try some ways and then evaluate the better way in terms of time to load and CPU usage. Then after creating a starting point we could improve it step by step.
This is my thought.

[Andytick]

Here is my last code based on the Blowfish/DBntina original code about PVP loaded in 1 tick chart (load more than 1 day to make it work).
Thinking about the original code in these days I've understood some things ( late is better than never).
1) They start in the middle of the array because the function on which the array is based, can't have a negative value (V2VolLevel can be negative). The code logic base the prices levels on the starting value adding or subtracting N tick factor and referring to each price level the Volume .
ORIGINAL CODE:

If date = date[1] And StartPrice > 0 Then Begin
Value2 = AvgPrice - StartPrice;
V2VolLevel = 5000+(Value2*(1/(minmove/pricescale))); //this value can be negative so they start the count in the positive middle of the array
PVPVolArray[V2VolLevel] = PVPVolArray[V2VolLevel] + MyVolume;

In this way the code is quick to load even in a tick chart because the price is + or - from the starting tick (AvgPrice) on each new tick .

Now the origianl code calculate very weell the single PVP Volume and single PVP price level, but I've to calculate the Volume to each price level so I need a Loop anyway.
"I've changed some names to the variables " and some logic in the code.

Vars: StartPrice(0),
minD(0),
MAXD(0),
iPrice(0),
jPrice(0),
iVolume(0),
PVPPrice(0),
PVPVolume(0),
MyVolume(0),
TickFactor(0),
TickDistance(0),
PriceDiff(0);

Array: VolArray[10000](0);

MyVolume = iff(bartype < 2, (upticks+Downticks),Volum e);

// Reset Each day at the first TICK
if Date > Date[1] then begin
StartPrice = AvgPrice;
minD = AvgPrice;
MAXD = AvgPrice;
iPrice = AvgPrice;

For Value1 = 0 to 10000 begin //reset the Array each day
VolArray[value1] = 0;
END;

PVPPrice = AvgPrice;
PVPVolume = MyVolume;
END;

// Calculate the value for the rest of the day past the first TICK
If Date = Date[1] and StartPrice > 0 then begin
Value2 = AvgPrice - StartPrice;
TickFactor = (minmove/PriceScale);
TickDistance = (Value2 / TickFactor);
iPrice = StartPrice + TickDistance; //this calculate each price fererred to the start price adding or subtracting N tick Factor
VolArray[iPrice] = VolArray[iPrice] + MyVolume; //this collects volume on each new tick and summ Volume with previous volume

// This is to identify the peak of Volume of the day and its Price level as Blowfish and DBntina coded first
if VolArray[iPrice] > PVPVolume then begin
PVPVolume = VolArray[iPrice];
PriceDiff = StartPrice - iPrice;
PVPPrice = StartPrice - (PriceDiff * TickFactor);
END;

// Now I've to identify the price Range of the day in Tick Factor
//identify MAX of the day and min of the day in tickFactor
If iPrice >= MAXD then begin
MAXD = iPrice;
end;
If iPrice <= minD then begin
minD = iPrice;
end;

//Loop the Volume sum from the min of the day to the MAx of the day
For jPrice = minD to (MAXD-1) begin
if jPrice = iPrice then
VolArray[jPrice] = VolArray[iPrice]+ MyVolume;
end;
iVolume = VolArray[jPrice]; // This is the Volume at each iPrice level

//Here I create a Print log in a txt file to control the code (minD ; MAXD ; iVolume)

Print(File("C:/temp/VolumeProfile.txt")," ",numtostr(date, 0)," ", numtostr(time,0)," ",numtostr(iPrice,0), " ",numtostr(iVolume,0) );
Print(File("C:/temp/MAXD.txt")," ",numtostr(date, 0)," ", numtostr(time,0)," ",text(MAXD,0));
Print(File("C:/temp/minD.txt")," ",numtostr(date, 0)," ", numtostr(time,0)," ",text(minD,0));

END;

It seems to work fine, but from the print log txt file I can't have a single price level whith its single volume level. There are reduntant price levels and not a single price level for each price.
Where I'm wrong ?

[Andytick]

This seems better :

For iPrice = minD to (MAXD-1) begin

if AvgPrice = iPrice then
VolArray[iPrice] = VolArray[iPrice]+ MyVolume;

end;
iVolume = VolArray[iPrice]; // This is the Volume at each price level

Suggestions are well appreciated

[Andytick]

I Must take a step back and riconsider one thing analyzing the print log file in txt format.
I don't need a loop as posted in the last 2 post, because the original code do it itself.
On each price level the code sums new volume to past volume with each new tick comes.
SO now, how to have only the last cumulative volume on a single price level and not the sequence of each single volume from the first to the last ?
How can I separate the last cumulative volume of each price level ?
Here is the code:

Vars: StartPrice(0),
minD(0),
MAXD(0),
iPrice(0),
jPrice(0),
iVolume(0),
PVPPrice(0),
PVPVolume(0),
MyVolume(0),
TickFactor(0),
TickDistance(0),
PriceDiff(0);

Array: VolArray[10000](0);

MyVolume = Volume;

// Reset Each day at the first TICK
if Date > Date[1] then begin
StartPrice = AvgPrice;
minD = AvgPrice;
MAXD = AvgPrice;
iPrice = AvgPrice;

For Value1 = 0 to 10000 begin
VolArray[value1] = 0;
END;

PVPPrice = AvgPrice;
PVPVolume = MyVolume;
END;

// Calculate the value for the rest of the day past the first TICK
If Date = Date[1] and StartPrice > 0 then begin
Value2 = AvgPrice - StartPrice;
TickFactor = (minmove/PriceScale);
TickDistance = (Value2 *(1/ TickFactor));
iPrice = StartPrice + TickDistance;
VolArray[iPrice] = VolArray[iPrice] + MyVolume; //this collects volume at each new tick and sum Volume with previous volume on each price level

// The VolArray[iPrice] is the cumulative volume at price Array
// the sequence of cumulative Volume on each price
// Not only the last cumulative Volume, but the sequence to the last
// How to have only the LAST cumulative Volume ??

// This is to identify the peak of Volume of the day and its Price level
if VolArray[iPrice] > PVPVolume then begin
PVPVolume = VolArray[iPrice];
PriceDiff = StartPrice - iPrice;
PVPPrice = StartPrice - (PriceDiff * TickFactor);
END;


//identify MAX of the day and min of the day in tickFactor
If iPrice >= MAXD then begin
MAXD = iPrice;
end;
If iPrice <= minD then begin
minD = iPrice;
end;


Print(File("C:/temp/VolumeProfile.txt")," ",numtostr(date, 0)," ", numtostr(time,0)," ",numtostr(iPrice,0), " ",numtostr(VolArray[iPrice],0));


END;

Plot1(PVPPrice, "PVPPrice");
Plot2(PVPVolume, "PVPVolume");

Suggestion will be very appreciated, Please !!!
The code will be useful to many in the forum.

[Tams]

note: if you use the CODE TAG (the # icon) instead of QUOTE TAG...
you will preserve the code formating in the code window.

[Andytick]

Originally Posted by Tams »

note: if you use the CODE TAG (the # icon) instead of QUOTE TAG...
you will preserve the code formating in the code window.

Sorry, You are right, I've clicked on the wrong icon and I've not noticed until now.
Sorry again

Vars: StartPrice(0),
      minD(0),
      MAXD(0),
      iPrice(0),
      jPrice(0),
      iVolume(0),
      PVPPrice(0),
      PVPVolume(0),
      MyVolume(0),
      TickFactor(0),
      TickDistance(0),
      PriceDiff(0);
      
Array: VolArray[10000](0);
       

MyVolume = Volume;

// Reset Each day at the first TICK
if Date > Date[1] then begin
StartPrice = AvgPrice;
minD = AvgPrice;
MAXD = AvgPrice;
iPrice = AvgPrice;

For Value1 = 0 to 10000 begin
    VolArray[value1] = 0;
    END;
    
    
PVPPrice = AvgPrice;
PVPVolume = MyVolume;
iVolume = MyVolume;
END;

// Calculate the value for the rest of the day past the first TICK
If Date = Date[1] and StartPrice > 0 then begin
    Value2 = AvgPrice - StartPrice;
    TickFactor = (minmove/PriceScale);
    TickDistance = (Value2 *(1/ TickFactor));
    iPrice = StartPrice + TickDistance;
    VolArray[iPrice] = VolArray[iPrice] + MyVolume; //this collects volume at each new tick and summ Volume with previous volume
    
    // Thsi is to identify the peak of Volume of the day and its Price level
    if VolArray[iPrice] > PVPVolume then begin
    PVPVolume = VolArray[iPrice];
    PriceDiff = StartPrice - iPrice;
    PVPPrice = StartPrice - (PriceDiff * TickFactor);
    END;
    
    
    //identify MAX of the day and min of the day in tickFactor
    If iPrice >= MAXD then begin
        MAXD = iPrice;
    end;
    If iPrice <= minD then begin
        minD = iPrice;
    end;
    
    
    If VolArray[iPrice] > VolArray[iPrice][1] then begin
       iVolume = VolArray[iPrice];         // This identify the last iVolume
    end;
    
    Print(File("C:/temp/VolumeProfile.txt"),"  ",numtostr(date, 0),"  ", numtostr(time,0),"  ",numtostr(iPrice,0),"  ",numtostr(iVolume,0));
    
    
END;
    
Plot1(PVPPrice, "PVPPrice");
Plot2(PVPVolume, "PVPVolume");

[BlowFish]

Not sure you really need a loop at all. Take another look at http://www.traderslaboratory.com/for...html#post79526

If you go for fixed scaling all you need to do is re-plot the appropriate histo bar of the array element you have just updated.

[Andytick]

Originally Posted by BlowFish »

Not sure you really need a loop at all. Take another look at http://www.traderslaboratory.com/for...html#post79526

If you go for fixed scaling all you need to do is re-plot the appropriate histo bar of the array element you have just updated.

Yes Blowfish you are right.
I already have what I need. Now I'd like to find a good way to plot it using ASCII mapping as symbol to plot in a sequence of symbols, as "------" or "*****" .
Each symbol must reflect a chunk. I'm tring a way to do this.
I'm also thinking about using ADE to save the previous days Histogram in a txt file in a directory. So I can load only a few tick data or days like 2 or 3 days to calculate the last day and retrieve the others old ones by ADE.
In this way I could calculate not only a daily volume histogram, but also a weekly volume histogram, saving the past days in a directory as Txt files using ADE.
It would be a great thing and it would use only a few resources of memory and cpu loading all in a few second or moments. It wouldn't take much time to load all using ADE and I could plot the daily histogram also on a 5 minutes or N volume chart, not only on a 1 tick chart. The tick chart could be used only to generate or calculate the daily histogram, then it could be plotted on a different resolution chart using ADE.
First I have to find a good way to plot it using ASCII mapping and not Trend lines as the GKmarketprofile in the first post.