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Andytick

Building a VolumeProfile Indicator with EasyLanguage

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Hi,

reading here and there posts in the forum, from coding forum to trading indicators to array ecc... I've never found a code about Volume Profile.

Many codes about Market Profile (TPO) , market delta and something about Peak of Volume at Price (PVP) which is called "mode" in statistic language, but nothing about a good Volume profile accurate to the tick.

I've read posts from TAMS about ARRAY (very good and useful), code from DBantina about PVP (MODE) using tick chart, which could be a very good beginning, but nothing again about the Volume profile, so I've decided to create a new one searching someone who could help me.

This is my start and my steps:

(1)

I've a GKMarketProfileTL (see txt attached files) which uses trend lines, but it's a proxy and not accurate to the tick because it uses minutes chart (1 minute chart in the best way).

2qx6e1d.png

This indicator is not so useful because with trendlines, it's difficult to plot a volume profile for each day. Trend lines could be useful to plot a single Volume profile for the last day or for a cumulative profile made of more than one day. Then it's not so accurate (not to the tick ).

 

(2)

I've a second indicator which plots TPO MarketProfile (see txt attached below with its functions) which uses ASCII scripts as I'd like, but it calculates TPO and not Volume Profile. I've modified it to plot NOT only letters (put in inputs letters = false), but even ASCII scripts like "---".

soy4pg.png

af97id.png

The problem with this indicator is that it's very difficult to decode and modify for my experience. Maybe its functions are useful to plot ascii scripts instead of Trendlines.

 

So, watching these codes I'd like to create a Volume Profile code (indicator) which plots an histogram for each single day (session) using ASCII scripts instead of trendlines.

It should be accurate to the tick, so I MUST calculate it on a tick chart.

Doing this, I've copied a DBantina logic (code):

on a 1 tick chart based on Trade Volume, calculate a range of each day and reset it each day.

STEP ONE:

//I've made a counter for each tick of the chart reset each day

if date > Date[1] then begin

MyOpen = open;

MyHigh = High;

MyLow = low;

MyClose = close;

counter = 1;

end;

 

If Date = date[1] then begin

 

If high > MyHigh then

MyHigh = High;

If Low < MyLow then

MyLow = Low;

if time >= Sess1endtime then

MyClose = close;

If time < Sess1endtime and lastbaronchart then

MyClose = close;

counter = counter + 1;

end;

 

RangeDay = MyHigh - MyLow;

 

 

STEP TWO

Then I have to identify the lines for each day for each Volume profile Histogram:

 

TickScale = minmove/priceScale;

NLines = RangeDay /TickScale;

 

STEP Three

Now I've to create an ARRAY (dinamic) to identify the volume for each line of the histogram.

I Think that this is correct.

 

MyVol = iff(bartype < 2, Upticks + Downticks, volume);

Array: HISTO[](0);

 

if date > date[1] then begin

Array_SetMaxIndex(Histo, NLines); // resize the array each day

HISTO[iPrice] = 0; // rest to zero each day

TotalVolume = 0;

END;

 

STEP FOUR

Now I've to populate the array with volume for each line level on each tick (1 tick chart).

for iPrice = 0 to NLines

begin

Histo[iPrice] = 0;

end;

for jBar = 0 to (counter-1)

begin

jLow = (L[jBar] - MyLow)/TickScale);

jHigh = (H[jBar] - MyLow)/TickScale);

if ((jHigh - jLow) > 0) then begin

deltaVol = MyVol[jBar]/(jHigh - jLow);

for iPrice = jLow to jHigh

begin

Histo[iPrice] = Histo[iPrice] + deltaVol;

TotalVolume = TotalVolume + deltaVol;

end;

end;

 

NOW if my thoughts are correct, the array Histo[iPrice] should be the Volume profile data and I've to Plot them using a way that permit me to plot ASCII scripts as in the TPO indicator.

 

AM I correct ???

Could someone give me an help to coding Volume Profile

At this point I don't know how to go on :crap:

 

THANKS

AndyTick

GKMarketProfile TL.txt

TPO Pro5.0b.txt

nutpstr (function - numeric).txt

curletstr_AL (function - numeric).txt

curletstr (function - numeric).txt

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are you and Crazynasdaq the same person?

 

No.

Maybe you spoke about crazynasdaq for the post about ARRAY from which I've taken some stuff and ideas for my code, but I'm not the person You wrote about.

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here are my note:

 

1. pls wrap codes in code tags. the code tag is the # key at the top of the reply window

 

2. don't be so cheap with variables -- make the name more explicit. It doesn't cost anything, but will make debugging easier. e.g. I can't tell what jLow is.

 

3. you need to write out your logical operation in finer resolution.

you were doing well... until step 4.

Step 4 is the most involved -- you have loops and assignments and matchings...

you need to break down step 4 into more coherent thoughts.

Draw a flow chart... with lines and arrows illustrating data flow

 

try this too... plot out exactly which data goes into which slot:

 

14750d1257019257-array-easylanguage-1d_array.gif

 

 

4. put PRINT statements before and after every variable assignment...

this is the best way to track the data flow

see here for more information on print.

http://www.traderslaboratory.com/forums/f56/print-easylanguage-6000.html

 

 

have fun...

Edited by Tams

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Ok TAMS, I'll be more clear in my posts.

Now I've a Big question in my mind.

 

I need a 1 dimensional array or a 2 dimensional array made of 2 columns and N lines ?

 

2d9y02.png

 

I ASK an help on this because the logic tells me that I need a 2 dimensional array as showed in the image, but the DBntina code about PVP (calculate the mode and the volume of the mode ) uses a 1 dimensional array to calculate Volume and level price of the mode. http://www.traderslaboratory.com/forums/f56/ts-tick-tick-pvp-plotted-vwap-3647.html#post32650

Look at the code:

 

   
vars:         MyVolume(0),
	PriceDiff(0),
	StartPrice(0),
	PVPPrice(0),
	PVPVolume(0),
	V2VolLevel(0);	

Array:
	PVPVolArray[10000] (0);

MyVolume = Volume;

if date > date[1] then begin
	StartPrice = AvgPrice;
	For Value1 = 0 to 10000 Begin
		PVPVolArray[Value1] = 0;
	End;
	PVPVolArray[5000] = MyVolume;
	PVPPrice = AvgPrice;
	PVPVolume = MyVolume;
end;

If date = date[1] And StartPrice > 0 Then Begin
	Value2 = AvgPrice - StartPrice;
	V2VolLevel = 5000+(Value2*(1/(minmove/pricescale)));
	PVPVolArray[V2VolLevel] = PVPVolArray[V2VolLevel] + MyVolume;

	If PVPVolArray[V2VolLevel] > PVPVolume Then Begin
		PVPVolume = PVPVolArray[V2VolLevel];
		PriceDiff = 5000-V2VolLevel;
		PVPPrice = StartPrice - (PriceDiff*(minmove/pricescale));
	End;

End;

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

END;

 

This code calculate the PVPVolume (numbers of contracts/shares) and the PVPPrice (level of price with the biggest Volume). So, its' possible to calculate Volume at price with a single dimensional array. He simply calculates one level price and the volume of that single price.

It uses a single dimensional array, but the logic behind it is not so clear to me.

Could someone help me to understand the logic behind ? Here are my dubts:

1 - he declare an array with a max dimension of 10000, but when he start to calculate, he splits the dimension from 10000 to 5000 and equal the array to Volume. Why ?

Array:  PVPVolArray[[b][color="Blue"]10000[/color][/b]] (0);

MyVolume = Volume;

if date > date[1] then begin
	StartPrice = AvgPrice;
	For Value1 = 0 to [b][color="blue"]10000[/color][/b] Begin
		PVPVolArray[Value1] = 0;     // OK !! He reset each day the array
	End;

	PVPVolArray[[b][color="Red"]5000[/color][/b]] = MyVolume;   // Why splits the array dimension ?
	PVPPrice = AvgPrice;
	PVPVolume = MyVolume;
end;

21j3cas.png

 

Now he populates the array and identifies the V2VolLevel for each price of the day, but always from half the dimension of the inital array dimension. Why half the dimension again ?

If date = date[1] And StartPrice > 0 Then Begin
	Value2 = AvgPrice - StartPrice;
	V2VolLevel = [b][color="red"]5000[/color][/b]+(Value2*(1/(minmove/pricescale)));
	PVPVolArray[V2VolLevel] = PVPVolArray[V2VolLevel] + MyVolume;
END;

 

Now my question at this point is:

Is the PVPVolArray[V2VolLevel] the array which contains all the volume at price Volumes ?

Or it's the array which contains ONLY the PVP Volume ?

Using this logic, is it possible to loop it to calculate the Volume at price for each single level of the day's range price ?

I ask this, because it seems to me that this logic is the most accurate and less CPU intensive to calculate, and then the code seems quicker and easier once you have understand the logic behind (not me now !!! :crap: )

 

PLEASE, could someone help me to understand

 

Then last step he identifies the volume level price and constrains the PVPVolume, always using half the intial dimension

If PVPVolArray[V2VolLevel] > PVPVolume Then Begin
		PVPVolume = PVPVolArray[V2VolLevel];
		PriceDiff = [b][color="red"]5000[/color][/b]-V2VolLevel;
		PVPPrice = StartPrice - (PriceDiff*(minmove/pricescale));
END;

 

AndyTick

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Andytick and/or Crazynasdaq

you are a criminal CRACKER!

 

 

The TPO Pro5.0b.txt indicator is a commercial

indicator: you have stolen the work of others !

(see password in the code)

 

Tams

and all the honest persons in this forum

be careful with these lawbreakers.

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Ok TAMS, I'll be more clear in my posts.

Now I've a Big question in my mind.

 

I need a 1 dimensional array or a 2 dimensional array made of 2 columns and N lines ?

 

I ASK an help on this because the logic tells me that I need a 2 dimensional array as showed in the image, but the DBntina code about PVP (calculate the mode and the volume of the mode ) uses a 1 dimensional array to calculate Volume and level price of the mode...

 

 

I believe DBntina uses the mid point of the array as starting point...

 

1. he can save one dimension in the array... because array takes up memory !

2. faster operation

3. opening tick is the starting point... all subsequent ticks are as a plus or minus of the previous tick... therefore no need for the price data.

 

 

CLEVER !

Edited by Tams

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Andytick and/or Crazynasdaq

you are a criminal CRACKER!

 

 

The TPO Pro5.0b.txt indicator is a commercial

indicator: you have stolen the work of others !

(see password in the code)

 

Tams

and all the honest persons in this forum

be careful with these lawbreakers.

 

Brownmar,

I'm not a CRIMINAL CRACKER as you say......

if I was the person able to crack a code, you think that I would need an help coding an indicator like Volume profile ?

I've found it on the web in a forum like this as many others have done before me and will do after me. I didn't know that it was a commercial code. Simply I downloaded it when I found it.

If you are so clever to understand that I'm a "CRIMINAL CRACKER" without knowing me at all, try to use google and search "MARKET PROFILE TPO"...........after some first links, you will find this Forums - Free Market Profile for Tradestation.

This is the web and if I find a useful stuff without doing anything illegal in searching it, I don't think to be a CRIMINAL, so be quiet with some words and use your brain in a more clever way instead of insult people you don't know at all.

Google could be a great thing for someone and a very bad thing for others, don't forget it !!!

Maybe you have to use a different tone and different words speaking about people you don't know at all, like me.

And an other time..........I don't know who crazynasdaq is, but I'm not him or her, whoever he/she is.

Edited by Andytick

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I believe DBntina uses the mid point of the array as starting point...

 

1. he can save one dimension in the array... because array takes up memory !

2. faster operation

3. opening tick is the starting point... all subsequent ticks are as a plus or minus of the previous tick... therefore no need for the price data.

 

 

CLEVER !

 

Great TAMS !!!

So a 1 dimensional array is a clever and better solution.

Now my question is:

is the PVPVolArray[V2VolLevel] the array with all the volume at price data ? Or I've to create a new Loop to find it using the same logic ?

 

AndyTick

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Brownmar,

try to use google and search "MARKET PROFILE TPO"...........after some first links, you will find this [url=http://www.elitetrader.com.

 

Tradestation has blocked that link because is illegal.

Try the link now.

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Great TAMS !!!

So a 1 dimensional array is a clever and better solution.

Now my question is:

is the PVPVolArray[V2VolLevel] the array with all the volume at price data ? Or I've to create a new Loop to find it using the same logic ?

 

AndyTick

 

 

see step #4 in post #4

 

try

numtostr( V2VolLevel, 0 )

text( PVPVolArray[ V2VolLevel ] )

text( StartPrice )

text( MyVolume )

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Tradestation has blocked that link because is illegal.

Try the link now.

 

Surely it's illegal, but it was there until I wrote the post for everyone who search it and it is still there. The link is not blocked and it's still reachable there.

I'm sorry about tradestation, but the fault is not mine and I'm still waiting for your apology about your words.

 

Andytick

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You have picked a good place to start with that code. Mind you I would say that I re-wrote it and sent it to Dbtina! :)

 

The way to do things is construct an array of volume and use a tick's price to index it (after suitable scaling so each change in price is '1'). That is exactly what I wrote and runs efficiently enough to process every tick. All the previous code I have seen uses messy, slow and inefficient loops. My intention was always to expand it to plot a volume profile though never got round to it.

 

One important idea. Again do not use loops to plot just add volume at the appropriate level when a tick arrives. If that happens to be at the mode (PVP, peak, wahtever you call it) You may need to loop through the whole array just for that tick to rescale things to the new peak. This depends on how you choose to scale in the first place and is avoidable if you use a fixed scale of n volume per x axis unit.

 

I have been away from TL for quite a while and have a lot of catching up to do, Once I have I'll take a proper look at what you are up to :D

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You have picked a good place to start with that code. Mind you I would say that I re-wrote it and sent it to Dbtina! :)

 

The way to do things is construct an array of volume and use a tick's price to index it (after suitable scaling so each change in price is '1'). That is exactly what I wrote and runs efficiently enough to process every tick. All the previous code I have seen uses messy, slow and inefficient loops. My intention was always to expand it to plot a volume profile though never got round to it.

 

One important idea. Again do not use loops to plot just add volume at the appropriate level when a tick arrives. If that happens to be at the mode (PVP, peak, wahtever you call it) You may need to loop through the whole array just for that tick to rescale things to the new peak. This depends on how you choose to scale in the first place and is avoidable if you use a fixed scale of n volume per x axis unit.

 

I have been away from TL for quite a while and have a lot of catching up to do, Once I have I'll take a proper look at what you are up to :D

 

Thanks Blowfish, your contribution will be very appreciated as one of the first developer of the PVP code. :)

AndyTick

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As Tams points out the array index itself is used to derive the price. The days starting price starts in the middle of the array.

 

V2VolLevel = 5000+(Value2*(1/(minmove/pricescale)));

 

converts a tick to be an integer. So whether it is the ES (.25 tick) or DAX (.5 tick) this will convert it do an array index. (Don't ask me how I struggled with that!)

 

Edit: Another way of looking at this is V2VolLevel is an integer representing Where the tick is in the array compared to the opening tick at 5000. It's not a very well chosen name to be honest. Im not sure I have explained it well enough?

Edited by BlowFish

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If date = date[1] And StartPrice > 0 Then Begin
	Value2 = AvgPrice - StartPrice;
	V2VolLevel = 5000+(Value2*(1/(minmove/pricescale)));
	PVPVolArray[V2VolLevel] = PVPVolArray[V2VolLevel] + MyVolume;

             [i]  {Plot new volume level here volume is PVPVolArray[V2VolLevel]
                the level to plot at can be got from V2VolLevel}[/i]

	If PVPVolArray[V2VolLevel] > PVPVolume Then Begin
		PVPVolume = PVPVolArray[V2VolLevel];
		PriceDiff = 5000-V2VolLevel;
		PVPPrice = StartPrice - (PriceDiff*(minmove/pricescale));

[i]                        {If we are here then we have a new peak volume, you might need
                         to rescale the chart unless you used a 'fixed scaling'}
[/i]
	End;

End;


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If date = date[1] And StartPrice > 0 Then Begin

Value2 = AvgPrice - StartPrice;

V2VolLevel = 5000+(Value2*(1/(minmove/pricescale)));

PVPVolArray[V2VolLevel] = PVPVolArray[V2VolLevel] + MyVolume;

 

{Plot new volume level here volume is PVPVolArray[V2VolLevel]

the level to plot at can be got from V2VolLevel}

Ok, Now I've understood that V2VolLevel is my price map level sets as integer. That's ok !!!

Now I've to loop it to add new volume when price touches again a map price level.

Could be a way of doing that to create a range of the day sets as the map price level which identifies High and Low of the day sets as integer as V2VolLevel ?

In this way I could create a Loop For X = Low of the day range To High of the day range and ADD Volume each time prices touch a price of the range a new time.

Something like:

 

For X = LowRange To HighRange-1

PVPVolArray[X] = PVPVolArray[X] + MyVol;

 

 

This step is not simple for me and my programming experience.

Sorry !!! :(

 

If PVPVolArray[V2VolLevel] > PVPVolume Then Begin

PVPVolume = PVPVolArray[V2VolLevel];

PriceDiff = 5000-V2VolLevel;

PVPPrice = StartPrice - (PriceDiff*(minmove/pricescale));

 

{If we are here then we have a new peak volume, you might need

to rescale the chart unless you used a 'fixed scaling'}

End;

 

End;

 

 

 

This step is harder then previous !!!! Rescale...........how to rescale ? :crap:

I'm very sorry, but here come out all my limits in programming

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Well there is a way to avoid rescaling. Lets take the case that does need rescaling first. If you look at GKMarketProfileTL (this is from dim distant memory) there is a parameter for number of bars that the profile occupies. In other words there is a fixed space on the X axis of say or 100 'bars' (whatever you enter for that parameter). So the profile occupies first bar of the chart to the 100th bar of the chart. This means that whenever the peak profile gets longer you need to rescale with respect to that maximum value. This is acceptable as it only occurs if the peak surpasses its old value.

 

An alternate way is that you have a parameter, N bars (or pixels or charcters) per X volume. That is an absolute scale. So for the ES you may have 1 'bar' (or ascii char) per 250,000 contracts. Using this method your chart simply 'grows' from the left. Every time the peak volume increases by 250,000 contracts you expand your chart 1 more 'chunk'. Of course this has the potential problem of the profile growing bigger than the screen but you could have a simple test to see if that has occurred and truncate it. The user would see that the bars are occupying the whole screen and could then manually change the scaling to say 1 'bar' per 400,000 contracts (or whatever). I like this approach.

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An alternate way is that you have a parameter, N bars (or pixels or charcters) per X volume. That is an absolute scale. So for the ES you may have 1 'bar' (or ascii char) per 250,000 contracts. Using this method your chart simply 'grows' from the left. Every time the peak volume increases by 250,000 contracts you expand your chart 1 more 'chunk'. Of course this has the potential problem of the profile growing bigger than the screen but you could have a simple test to see if that has occurred and truncate it. The user would see that the bars are occupying the whole screen and could then manually change the scaling to say 1 'bar' per 400,000 contracts (or whatever). I like this approach.

 

I like the second approach too.

It could be set by an input parameter in the Inputs panel, so if you enlarge your X axis to watch the chart wide, you could choose your input parameter to enlarge even your Volume profile or compress it if you'd like to watch the chart more tight.

The second approach is better :cool:

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all this CPU-intensive code is kind of just a pain in the ass...

 

from the 'keep it simple' school:

 

[ame=http://www.youtube.com/watch?v=mvjDZ3UH6D8]YouTube - Simple alternative to running CPU intensive Array loops[/ame]

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Actually my code is not intensive at all. Arrays are absolutely fine looping thorugh them isn't. I would go out on a limb and say there is no more efficient way to do things in El to that which I presented. None of the code I have submitted has a single loop in it except to initialise all data to zero. The sugestion i have made for histogram has not a single loop either. I also have non iterative code for VWAP & weighted SD's I decided not to share that as I believe it has commercial value (not that I have exploited that). Take a look I think it is a very elegant aproach (though of course I am biased).

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Actually my code is not intensive at all. Arrays are absolutely fine looping thorugh them isn't. I would go out on a limb and say there is no more efficient way to do things in El to that which I presented. None of the code I have submitted has a single loop in it except to initialise all data to zero. The sugestion i have made for histogram has not a single loop either. I also have non iterative code for VWAP & weighted SD's (many orders of magnitude faster than tradestations own, they get exponentially faster the more bars you load) I decided not to share that as I believe it has commercial value (not that I have exploited that). Take a look I think it is a very elegant aproach (though of course I am biased).

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all this CPU-intensive code is kind of just a pain in the ass...

 

from the 'keep it simple' school:

 

CPU intensive Array loops[/url]

 

Well Frank your chart is fine, and if I'm not wrong it's from Open & Cry platform.

I've tried it for the demo period months ago.

But what about yesterday Histogram with that pltaform ? and the day before ?

 

What I'm trying to do is a Volume profile histogram to plot on Multicharts or tradestation, something EL compatible, which plots not only today histogram, but could have an history of Volume profiles. Something that plot without using excel or other things, but simply charging data from my database and plotting it as a simple MACD or other indicators.

 

Blowfish codes That I use to plot PVP price (mode) is not CPU intensive at all and not seems to use loop at all, so my opinion is that Blowfish code is one of the best stuff from the 'Keep it simple' school.

If you have better ideas about this code, you are welcome. I would be very greatful to you if you have found a better way and you would share it with us, but at this time, Blowfish's code is the best I have to start and trying to improve.

AndyTick

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    • Actions for the 21st. 
    • Today had 3 trades, + 73 bps. The 2nd red dot on ALB was an error, somehow 1 share got executed at the lower price. I started new batch of trades today. The tweak was the exit is now based on trailing exit instead of manually calling it. I found it to be extremely uncomfortable as I sat through each retracement on DPZ. To see profit retrace back to zero or negative is associated with much pain. It feels as if it's a permanent loss. My goal is to execute my trading plan and not trade based on my emotions. I am very proud of the 2nd exit on DPZ for 170bps. I will do my best to continue this work. I do notice I may be giving back a bit too much on my losers, I will not change anything until the next batch of trades.   
    • I forgot to post yesterday. I was down 72 bps.  
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