Building a VolumeProfile Indicator with EasyLanguage

[Frank 10]

hey, that is great if can do it without loops, I stand corrected :applaud:

 

Historically, I have just let the raw numbers get fed into excel and just save it -- and then manipulate them that way -- I find that very customizable -- so if yesterdays or the day before data is out of the current range, I just hide those columns and present the data that way... or however you would like to do it. Having the raw numbers makes it so you can do anything you want easily.

[Andytick 10]

hey, that is great if can do it without loops, I stand corrected :applaud:

 

Historically, I have just let the raw numbers get fed into excel and just save it -- and then manipulate them that way -- I find that very customizable -- so if yesterdays or the day before data is out of the current range, I just hide those columns and present the data that way... or however you would like to do it. Having the raw numbers makes it so you can do anything you want easily.

 

Ok Frank, you have done a good thing........for you, but I'd like to do it in the easylanguage way and not excel. I'd like to have my informations all in 1 chart and not one in excel, the other in my platform, the other again in Multicharts and so on.

So the excel way is not in my interest. Sorry

Thanks for your contribution too.

 

I don't know if there will be loops or not, I have not to demonstrate nothing to anyone but what is in my interest is that the code could be useful to everyone who would like to have it, potentially light, quick loadable and accurate to the tick, so everyone who could bring his contribution to this work will be very appreciated

[BlowFish 10]

hey, that is great if can do it without loops, I stand corrected :applaud:

 

Historically, I have just let the raw numbers get fed into excel and just save it -- and then manipulate them that way -- I find that very customizable -- so if yesterdays or the day before data is out of the current range, I just hide those columns and present the data that way... or however you would like to do it. Having the raw numbers makes it so you can do anything you want easily.

 

If I could manage to get whet you manage to out of excel I'd probably do it like that too!

[Tams 20]

arrays are memory resident,

they can be a memory hog, if you have multi-multi-dimensional arrays.

but in terms of updating arrays, even in loops, should not pose a problem with today's computer.

 

one of my indicator has a 770x5 array.

it updates itself (loop) a couple of times per bar.

I am running this indicator in multiple charts,

I too was concerned with speed when first I implement this indicator,

so far I have not seen any CPU spikes.

Edited November 2, 2009 by Tams

[flyingdutchmen 10]

arrays are memory resident,

they can be a memory hog, if you have multi-multi-dimensional arrays.

 

so are a couple thousand variables, by trying not

forcing them into some weird function by having an "end;" statement in your script

if the same can be achieved by an "end else" and they are just fine, even with loops.

more important is to check the logic of the script once done and see if maybe somewhere

you could replace a loop by a simple counter and see if it doesnt force to much.

[Andytick 10]

I must be away for some days for a sudden emergency not foreseen.

I will think about some way to build the Volume profile histogram in this days.

I'll be back in 4 - 5 days.

 

Thanks again to all for your contribution

AndyTick

[BlowFish 10]

arrays are memory resident,

they can be a memory hog, if you have multi-multi-dimensional arrays.

but in terms of updating arrays, even in loops, should not pose a problem with today's computer.

 

one of my indicator has a 770x5 array.

it updates itself (loop) a couple of times per bar.

I am running this indicator in multiple charts,

I too was concerned with speed when first I implement this indicator,

so far I have not seen any CPU spikes.

 

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.

[Andytick 10]

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 10]

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),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 //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 10]

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 10]

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 20]

note: if you use the CODE TAG (the # icon) instead of QUOTE TAG...

you will preserve the code formating in the code window.

[Andytick 10]

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 10]

Not sure you really need a loop at all. Take another look at http://www.traderslaboratory.com/forums/56/building-volumeprofile-indicator-easylanguage-7073-2.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 10]

Not sure you really need a loop at all. Take another look at http://www.traderslaboratory.com/forums/56/building-volumeprofile-indicator-easylanguage-7073-2.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.

[BlowFish 10]

Just wonder why you want ascii? Is it simply a visual appeal thing. To be honest I am not familiar with line plot functions but don't they have higher 'resolution'. Can they plot to the pixel or only to the bar? I rather like lines over ascii. Each to there own though

[Andytick 10]

Just wonder why you want ascii? Is it simply a visual appeal thing. To be honest I am not familiar with line plot functions but don't they have higher 'resolution'. Can they plot to the pixel or only to the bar? I rather like lines over ascii. Each to there own though

 

There are 2 reasons why I prefer ASCII:

First I know that you can plot a limited numbers of lines (trendLines) in a chart, so if I'd like to plot a daily histogram on many days, it would limit my plot.

 

Second it's a personal preference and in my opinion ASCII mapping like "------------" is easier to save with ADE and quicker to load as indicator than TLines, but its just my opinion.

Here form the first post 2 different resolutions using lines and ASCII:

 

[Andytick 10]

Just wonder why you want ascii? Is it simply a visual appeal thing. To be honest I am not familiar with line plot functions but don't they have higher 'resolution'. Can they plot to the pixel or only to the bar? I rather like lines over ascii. Each to there own though

 

A third reason is becouse ASCII is referred to pixel and TL commands are reffered to bars.

[pinonirvana 10]

Dear friends, is someone able to translate this Ninja Trader code into TradeStation Easy Language???

 

Thank you...

PriceVolumeHistogram.zip

[tucciotrader 10]

so how did this end up??

[tucciotrader 10]

is there any Volume Profile version similar to this?

 

[bomberone1 10]

Hi Tucciotrader,

 

yes see the post number 42, is the same.

[gustavonmendes 10]

can you use the GKMarketProfileTL indicator to identify the PVP?

sorry if this sounds stupid but im new to easylanguage

 

thanks

[Tams 20]

can you use the GKMarketProfileTL indicator to identify the PVP?

sorry if this sounds stupid but im new to easylanguage

 

thanks

 

..... what is PVP?

 

how is it calculated?

[gustavonmendes 10]

peak volume price... its the price which has the most volume traded, or the peak of the volume profile...

however with the two codes posted here im not sure how or if you can refer to the pvp on a trading strategy