Volume Profile

[pinonirvana 10]

Dear friends,

 

I have Volume Profile coded for Ninja Trader.

Is someone able to translate it into TradeStation Easy Language please??????

 

Thank you...

PriceVolumeHistogram.zip

[shrike 10]

Hi Pino

 

I think you are searching this :

 

[LegacyColorValue = TRUE];


input:compress(1),len(30),letter1(1),txtcolr(7),opncol(6),closcol(6),lastcol(6),VAprcnt(.70),Valcol(5),
Valsize(3),Stime(Sess1StartTime),passwrd("dxlgkgk79ds8sncdk");

vars:lett("ABCDEFGHIJKLMNOPQRSTUVWXYZabcdefghijklmnopqrstuvwxyz"),t1(0),vsize(0),cpt(0),dl(0),
lcount(1),fp(0),daynum(0),d0(0),mid(0),dlo(0),pc(0),pc2(0),skp(0),labl(0),vala(0),vap(0),cp(0),t0(0),nuflag(0),
hh(0),ll(0),x(0),et(0), clet(""),curtxt(""),th(0),tl(0),tpstr("00"),tot(0),va(0),d2p(0),oldclet(""),
barhi(0),barlo(0),mintick(0),xpts(0),price(0),up(0),dn(0),oldup(0),olddn(0),flag(0),flag2(0) ;

array:pri[10000](0),tpo[10000](0),pristr[10000]("");


nuflag=0;
if t0 <= Sess1EndTime and t > Sess1EndTime and Sess2StartTime <> 0 then nuflag=1;
if d <> d0 and Sess2StartTime = Sess2EndTime then nuflag=1;
if t0=sess1endtime then nuflag=1;
if  currentbar=1  or nuflag=1   then begin
if currentbar=1 then begin
	vap=VAprcnt;
	x=currentdate;
	if x < 991001 and x > 250101 and passwrd ="bngjdfjru57er" then value98=1; 
	if x < 991231 and x > 250101 and passwrd ="dxlgkgk79ds8sncdk" then value98=1; 
	if BlockNumber <> 32474  then value98=1;	
	value97= 1/value98;
	vsize=mod(valsize+7,7);        
	if vsize < 2  then value88=5 else value88=vsize;
	mintick = 1 point * minmove * compress; 
	xpts=500*mintick;
end;
lcount=letter1;
if currentbar > 1 then begin
	if valcol <> 0 and flag2=0 then begin
		mid=0;value23=0;
		cpt=tl;cp=tl + (th-tl)/2; {center of dist.}
		for x = tl to th begin 
			if pristr[x] <> "" then begin
				pristr[x]=nutpstr(tpo[x],pristr[x],pri[x]);
				value23=value23 + tpo[x]; {total tpo count}
				if tpo[x]=mid and x <= cp then cpt=x;
				if tpo[x]=mid and x>cp and(x-cp) < AbsValue(cp-cpt) then cpt=x;
				if tpo[x] > mid then begin
					cpt=x;
					mid = tpo[x];
				end;
			end;
		end;
		va=value23 * vap;

		x=mid;up=cpt;dn=cpt;
		while x < va begin
			value19=tpo[up+1]+tpo[up+2];  value20=tpo[dn-1]+tpo[dn-2];
			if value19 >= value20 then begin
				if x+tpo[up+1] >= va then begin
					x=x+tpo[up+1]; up=up+1;
				end else begin
					x=x+value19;  up=up+2;
				end;
			end else begin
				if x+tpo[dn-1] >= va then begin
					x=x+tpo[dn-1]; dn=dn-1;
				end else begin
					x=x+value20;  dn=dn-2;
				end;				
			end;
		end;	
		if up > th then up=th; if dn < tl then dn=tl;	
		up= fp+((up-500)*mintick);
		dn=fp+((dn-500)*mintick);
		value62=fp+((cpt-500)*mintick);
		labl= text_new(d2p,t1,dl-mintick,"VA:"+mp_str32(dn)+" "+mp_str32(up));
		TEXT_SETSTYLE(labl,0,2);	
		TEXT_SETCOLOR(labl,valcol);
		vala=TL_New(d2p,t1,up,d2p,t1,dn);
		TL_SetColor(vala,valcol);
		TL_SetSize(vala,vsize);

		value60=TL_New(d2p,t1,value62+mintick/15,d2p,t1,value62-mintick/15);				
		TL_SetColor(value60,valcol);
		TL_SetSize(value60,value88);
	end;
	pc2=0;
	for value4=tl to th begin
		price=fp+((value4-500)*mintick) ;					
		if price <= pc  then pc2=value4;  
	end;
	if pc2=0 then pc2=barlo;
	curtxt=pristr[pc2];
	if RightStr(curtxt,1) <> "<" then begin
		 text_setstring(pri[pc2],curtxt+" <");
		Text_SetColor(pri[pc2],closcol);
	end;
end; 
t1=t;
d2p=d;
labl=0;vala=0;
for value1=tl to th begin
	pristr[value1]="";
	tpo[value1]=0;
end;
clet=curletstr(stime,len,letter1);
oldclet=clet;
dlo=l;
fp=o; 
tpo[500]=1;
th=500;tl=500;
flag=0;                                   
pri[500]= text_new(d,t1,o,"   >"+clet);
pristr[500]="   >"+clet;
TEXT_SETSTYLE(pri[500],0,2);	
TEXT_SETCOLOR(pri[500],opncol);
hh=o;ll=o;mid=1;tot=1;value22=currentbar;
dl=l;
if d= JulianToDate(LastCalcJDate) then flag2=1;
end; 
clet=curletstr(stime,len,letter1) ;
t0=t;d0=d;pc=c;
barhi=intportion((xpts+h-fp+(mintick/10))/mintick);
barlo=ceiling((xpts+l-fp-(mintick/10))/mintick);
if barhi > th then th=barhi;
if barlo < tl then tl=barlo;
if l < dl then dl=l;
IF datacompression=0 and  currentbar  > value22 then begin
lcount=lcount+1;
if lcount=53 then lcount=1;
clet=midstr(lett,lcount,1) ;
hh=o;ll=o;flag=flag+1; 
end;
value22=currentbar;
IF datacompression = 1 and oldclet <> clet  then begin
hh=o;ll=o;flag=flag+1;
end;

for value4=barlo to barhi begin
price=fp+((value4-500)*mintick);
curtxt=pristr[value4]; 
if curtxt = ""   then begin
	tpo[value4]=1;
	pri[value4]= text_new(d2p,t1,price,"    "+clet);
	pristr[value4]="    "+clet;
	TEXT_SETSTYLE(pri[value4],0,2);	
	TEXT_SETCOLOR(pri[value4],txtcolr);
end else begin
	if RightStr(curtxt,1) <> clet then begin
		text_setstring(pri[value4],curtxt+clet);
		pristr[value4]=curtxt+clet;
		tpo[value4]=tpo[value4]+1;
	end;
end;
end;
if h>hh then hh=h;
if l < ll then ll = l;
{------------------------------------------------------------------------------------------}
if valcol <> 0  and  lastbaronchart  then begin
mid=0;value16=0;value23=0;
cpt=tl;cp=tl + (th-tl)/2; {center of dist.}
for x = tl to th begin 
if pristr[x] <> "" then begin
	pristr[x]=nutpstr(tpo[x],pristr[x],pri[x]); 
	value23=value23 + tpo[x]; {total tpo count}
	if tpo[x]=mid and x <= cp then cpt=x;
	if tpo[x]=mid and x>cp and(x-cp) < AbsValue(cp-cpt) then cpt=x;
	if tpo[x] > mid then begin
		cpt=x;
		mid = tpo[x];
	end;
end;
end;
va=value23 * vap;
if l < dlo  then begin
dlo=l;
price=fp+((tl-501)*mintick);
if labl <> 0 then Text_SetLocation(labl,d2p,t1,price);
end;
if labl =0 then begin
price=fp+((tl-501)*mintick);
labl= text_new(d2p,t1,price,"-");
TEXT_SETSTYLE(labl,0,2);	
TEXT_SETCOLOR(labl,valcol);
end;
if va <> 0 then begin
value61=value18; 
x=mid;up=cpt;dn=cpt;
while x < va begin
value19=tpo[up+1]+tpo[up+2];  value20=tpo[dn-1]+tpo[dn-2];
if value19 >= value20 then begin
	if x+tpo[up+1] >= va then begin
		x=x+tpo[up+1]; up=up+1;
	end else begin
		x=x+value19;  up=up+2;
	end;
end else begin
	if x+tpo[dn-1] >= va then begin
		x=x+tpo[dn-1]; dn=dn-1;
	end else begin
		x=x+value20;  dn=dn-2;
	end;				
end;
end;	
if up > th then up=th; if dn < tl then dn=tl;	
value18=cpt;
oldup=up;
olddn=dn;
up= fp+((up-500)*mintick);
dn=fp+((dn-500)*mintick);
if flag=1 then value63=t;
if up > dn and flag > 1  then begin
if vala = 0 then begin
	vala=TL_New(d2p,t1,up,d2p,t1,dn);
	TL_SetColor(vala,valcol);
	TL_SetSize(vala,vsize);
	value62=fp+((value18-500)*mintick);
	value60=TL_New(d2p,t1,value62+mintick/15,d2p,t1,value62-mintick/15);
	TL_SetColor(value60,valcol);
	TL_SetSize(value60,value88);
end else begin
	if oldup <> up then TL_SetBegin(vala,d2p,t1,up);
	if olddn <> dn then TL_SetEnd(vala,d2p,t1,dn);
end;
end;
if {value61 <> value18 and} flag > 1  then begin
value62=fp+((value18-500)*mintick);
TL_SetBegin(value60,d2p,t1,value62+mintick/15);
TL_SetEnd(value60,d2p,t1,value62-mintick/15);
end;
Text_SetString(labl,"VA:"+mp_str32(dn)+" "+mp_str32(up));
end;
end;

if lastcol > 0   then begin
if value10 = 0 and currentbar=3 then begin
value10=tl_new(value50,value51,c,d,t,c);
tl_setcolor(value10,lastcol);
tl_setsize(value10,0);
TL_SetExtLeft(value10,true);
end else if currentbar > 3 and LastBarOnChart   then begin
tl_setend(value10,d,t,c);
tl_setbegin(value10,value52,value53,c);
end;
value52=value50;value53=value51;
value50=d;value51=t;
end;

plot1(l-mintick,"dummy");

 

P.S.

 

Juve or Toro ?

[pinonirvana 10]

Thank you Shrike for your reply, but I think this code is referring to Market Profile...while I am looking for Volume Profile... :-(

Do you have any idea where I can find it?

 

I need something like this:

 

Ps: Juve...! :-D Are you italian?

[Tams 20]

Thank you Shrike for your reply, but I think this code is referring to Market Profile...while I am looking for Volume Profile... :-(

Do you have any idea where I can find it?

 

I need something like this:

 

Ps: Juve...! :-D Are you italian?

 

 

can you describe the difference?

[shrike 10]

Thank you Shrike for your reply, but I think this code is referring to Market Profile...while I am looking for Volume Profile... :-(

Do you have any idea where I can find it?

 

I need something like this:

 

Ps: Juve...! :-D Are you italian?

 

Hi pino

 

take a look at the formula , it produces the same thing that you posted :\:helloooo:

 

yes i'm italian and i come from the city where you have stolen the game last sunday

:boxing:

[pinonirvana 10]

Thank to Tams too for his reply.

 

Well, correct me if I'm wrong, but I know that there is an important difference: MP shows the POC (Point of Control), while VP shows the PVP (Peak Volume Price), that sometimes it is not the same value.

In VP the PVP is not necessarely the peak with the major persistence of volume, but it is the average of the prices times total volume.

 

So, I don't need to know how many times a specific price occurs (as indicated in MP), but I need to know how much volume occurs at every price level, because it is possible that price "X" occurs 10000 times (so that MP shows a peak at X price level) while peak of volume occures at "Y" price level (so that VP shows a peak at Y price level).

 

Sorry for my bad english, but I hope you understood me. ;-)

 

So Shrike, you are from Genova, right?

[pinonirvana 10]

Hi guys, I have 2 questions for you EasyLanguage guru that can be very helpful for a lot of readers. :-D

 

1)

Is it possible to plot the whole content of an array?

E.g, if I had a dinamic array declaration like PinonirvanaArray[999](0), where each element number (from 0 to 999) correspond to price, and each element value correspond to volume recorded for each price, could it be possible to plot all these values together on a chart?

 

2)

Is is possible to plot on a chart an indicator with different axis? I mean, is it possible to plot on a 5 minute chart an indicator that shows prices on Y axis and for example seconds on X axis?

As alternative, coming back to my aim to write down a Volume Profile code, on X axis I could plot volume for each price.

 

Thank you all...

:missy:

Edited February 17, 2010 by pinonirvana

[Tams 20]

Hi guys, I have 2 questions for you EasyLanguage guru that can be very helpful for a lot of readers. :-D

 

1)

Is it possible to plot the whole content of an array?

E.g, if I had a dinamic array declaration like PinonirvanaArray[999](0), where each element number (from 0 to 999) correspond to price, and each element value correspond to volume recorded for each price, could it be possible to plot all these values together on a chart?

 

yes, it is possible.

 

 

2)

Is is possible to plot on a chart an indicator with different axis? I mean, is it possible to plot on a 5 minute chart an indicator that shows prices on Y axis and for example seconds on X axis?

As alternative, coming back to my aim to write down a Volume Profile code, on X axis I could plot volume for each price.

 

Thank you all...

:missy:

 

yes with MultiCharts.

not sure with TradeStation.

[statsign 10]

snagged this pic from ebay

 

 

 

has volume blue and price purple

[bakrob99 11]

not sure why you say Price is Purple... The Purple lines must be either Volume at Time or Volume from another timeframe. Price is clearly shown on the Right Axis.

 

Could you post a link to the source of this image please.

 

Thanks

bakrob99

[bakrob99 11]

duplicated by error.

[statsign 10]

says

"show the price distribution in magenta and volume distribution in cyan"

 

Tradestation Profiler - eBay (item 320500614351 end time Mar-16-10 18:06:30 PDT)

[bakrob99 11]

says

"show the price distribution in magenta and volume distribution in cyan"

 

I believe that what he means by this is that the Magenta shows the TPO count or the That Price Occurred which means the amount of time the market spent in this price zone. Normally based on a 30 minute period.

 

The Cyan will reflect the volume at the price in all periods.

 

Both are volume measurements.

 

Why anyone would pay for this is beyond me. TradeStation (and most other platforms) have the volume distribution contained in their DOM and that uses much feweer resources than trying to update this. Notice that there is no axis to reference how much volume is in either the magenta or cyan bars.

[statsign 10]

This one interested me because it wasn't based on 30 min etc but the entire session. I haven't had time yet but will work with.

Not actual volume - percentage of by price.

Price is percentage as well by number of trades at instead of volume.

Why would anyone pay for anything instead of learning to code?

Just kidding.

I am chart only so that is why I would use - I don't open the matrix.

 

Anyway, posted pic in reply to ability to plot in axis of choice.