Price Volume Distribution and Market Profile.

[akiri]

I am trying to get the price volume distrubtion chart (now under intraday charts) and market profile chart into the advanced charts.

I would like to have the ability to see more than 1 and 3 days as seen in the present state.

Also the ability to add lines etc.

Here is a link of the type of price volume distribution I would like to see

http://www.activitybar.homestead.com/Intraday.html

There it is not only everysingle day, but also cummulative as seen on the right side.

Another link is like this.

http://www.linnsoft.com/tour/volumeprofilechart.htm

and the type of user defined inputs are

http://www.linnsoft.com/tour/prefs_volprof.htm

Not many software programs have volume profile. It will definitely add value to esignal, and I know will help my trading.

So I am hoping that esignal programmers make this a top priority, or anybody else would like to take a crack at it.

And the attached picture here may be helpful too.

[Ned]

MP

I use Market Profile as well and find it invaluable.

Who wouldn't want to know where volume was trading?

[akiri]

Add lines to market profile

I would like to see some horizontal lines so as to be able to read the levels off directly. They could be divided into major or minor lines like maybe every 5 or 10 intervals so as to be within context of the scale. Something like I show here.

Also can we also have the size and color of the blue arrows that define open and close be user defined.

-----------
Moderator Edit: Please keep the horizontal size down on attached pics. Thanks!

[akiri]

Using Market Profile and Price Volume Study

I would like people who use market profile to post here their ideas as to how esignal can improve on market profile and price volume studies. This is a very important part of trading for me, and those who use it. They should voice their opinion here. Keep adding to this thread.

My suggestions for quick implementation.

1. First make price-volume chart multiday just like the market profile chart.

2. I would also like to see the ability to overlay the market profile chart on price volume chart.

3. The ability to overlay the price-volume chart on price chart as shown in a previous post

[Bob A.]

Market Profile and Price Volume

Over the past few months I've been reading up on MP and working to integrate it into my trading tool set (primarily AGET RT with MESA and Jurik additions). The more I bring MP into the equation the more impressed I am with its contribution. I know now that improved eSignal MP/PV studies are essential to me to get at the full potential of MP.

In searching the web to find examples of what I'd like to see, IMHO the best so far is Aspen Research. As I haven't figured out yet how to post the images, here are a set of links that illustrate the kind of graphics I'd like to see, hopefully in 7.3!?

The MP graphic itself, which can be set to timeframes other than 30 min. (eg I'd like to use a 15 min one on the eminis), is shown here (note the cursor box in the top left):

https://www.aspenres.com/Documents/AspenGraphics4.0/Market_Profile1.htm

The Cursor box contents are described here:

https://www.aspenres.com/Documents/AspenGraphics4.0/Market_Profile_Cursor.htm

Their Price/Volume graphic(called Spectrum Profile) is added to the montage here (note the effective use of color):

https://www.aspenres.com/Documents/AspenGraphics4.0/Spectrum_Profile.htm

Their Volume Scaling Option lets you display all this on top of a grid shown here:

https://www.aspenres.com/Documents/AspenGraphics4.0/Volume_Scaling.htm

Finally, there's a brief overview of auction market theory using Market Profile here:

https://www.aspenres.com/Documents/AspenGraphics4.0/Using_Market_profile.htm

In addition to the above functionality, I'd also like to be able to create single MPs that span timeframes other than a day: longer or shorter (eg Jones' multiday Overlay Demand Curve) .

I'd really like to hear about other's use of and experience with MP and their thoughts on effective graphics tools.

[Ned]

MP Suggstions

Akiri, I agree.

1. First make price-volume chart multiday just like the market profile chart.

2. I would also like to see the ability to overlay the market profile chart on price volume chart.

3. The ability to overlay the price-volume chart on price chart as shown in a previous post

Can I suggest point 4 - User defined section for open & closing ranges or some way to note that. I currently do it in Excel with no DDE - just manually.

[dloomis]

Is the following Tradestation code possible in eSignal

input: date1(0), time1(930), time2(1600), HistColor(darkgray), ValueArea(.6), ValueColor(blue);
input: EveryMins(15), MinsBack(15);
input: ShoHist(true);

{ This displays price histograms EveryMins. The lookback period is MinsBack.

It works for both minute and tick bars, even 1-tick bars. Try with S&P 1-minute bars
or S&P 1-tick bars.

Inputs:
date1 - draws histrograms for this date; all date if its 0
time1, time2 - draws histograms within this date range
HistColor - the color of the histogram
ValueColor - the color of the value area
ValueArea - portion of the prices that will be colored; range 0 to 1
EveryMins - draw a histogram every, say, 15 minutes
MinsBack - how far back to analyze prices, typically the same as EveryMins
ShoHist - if false, just the value area is plotted like a bar
}

array: v[5000](0);
var: base(10000);

var: ii(0), ij(0), hh(0), ll(0), cbStart(0), bb(0), maxv(0), han1(0), m1(0), m2(0);
var: mins(0), cb(0), cbPrev(0), targ(0), Sanity(false);
var: iivmax(0), totv(0), vmaxpc(0), vhh(0),vll(0), loop(0);

if currentbar = 1 then begin
hh = h;
ll = l;
end;
mins = EveryMins*intportion(timetominutes(time)/EveryMins);

if (date1 = date or date1 = 0) and ((time >= time1 and time <= time2) or time1 = 0 or time2 = 0) and
mins <> mins[1] then begin

{ plot1(c,"",red,default,5);}

{ clear v array }
for ii = ll * 10 - base to hh * 10 - base begin
v[ii] = 0;
end;

{ find start of interval }
cb = 0;
Sanity = true;
targ = timetominutes(time) - MinsBack;
while targ <= timetominutes(time[cb]) and Sanity begin
cb = cb+1;
if cb >= currentbar then Sanity = false;
if date[cb] <> date then Sanity = false;
if cb > 1000 then Sanity = false;
end;
cb = cb - 1;

{ add bars to list }
hh = h;
ll = l;
for ij = cb - 1 downto 0 begin
m1 = l[ij];
m2 = h[ij];
if hh < m2 then hh = m2;
if ll > m1 then ll = m1;
if m1 > c[ij+1] + .10 then m1 = c[ij+1] + .10
else if m2 < c[ij+1] - .10 then m2 = c[ij+1] - .10;
for ii = m1 * 10 - base to m2 * 10 - base begin
v[ii] = v[ii] + 1;
end;
end;

{ find value area }
maxv = 0;
totv = 0;
for ii = ll * 10 to hh * 10 begin
totv = totv + v[ii - base];
if maxv < v[ii - base] then begin
maxv = v[ii - base];
iivmax = ii;
end;
end;
vmaxpc = maxv;
vhh = iivmax;
vll = iivmax;
sanity = true;
loop = 0;
if maxV > 0 then
while sanity and vmaxpc / totv < ValueArea begin
loop = loop + 1;
if loop > 50 then sanity = false;
if v[vhh + 1 - base] > v[vll - 1 - base] then begin
vhh = vhh + 1;
vmaxpc = vmaxpc + v[vhh - base];
end else begin
vll = vll - 1;
vmaxpc = vmaxpc + v[vll - base];
end;
end;



{ display the list }
if ShoHist then
for ii = ll * 10 to hh * 10 begin
if maxV > 0 then begin
bb = v[ii - base] * (currentbar - cbPrev) / maxV;
if time[bb] <> time then begin
han1 = tl_new(date[bb],time[bb],ii*.1,date,time,ii*.1);
tl_setextleft(han1,false);
tl_setextright(han1,false);
tl_setcolor(han1,HistColor);
if ii >= vll and ii <= vhh then tl_setcolor(han1,ValueColor);
if ii = iivmax then tl_setcolor(han1,cyan);
end;
end;
end;
{ plot2(iivmax*.1,"",cyan,default,4);}
plot3(vhh*.1,"",ValueColor,default,0);
plot4(vll*.1,"",ValueColor,default,0);
cbPrev = currentbar;
end;





if false then begin
plot1(0,"");
plot2(0,"");
plot3(0,"");
plot4(0,"");
end;

[RNuckles]

RE: Reply to post 'Price Volume Distribution and Market Profile.'

I would also be interested in this as well since I trade using "market
profiles" too.

Thank you,

Ron


-----Original Message-----
From: [email protected] [mailto:[email protected]]=20
Sent: Monday, September 22, 2003 4:50 PM
To: [email protected]
Subject: Reply to post 'Price Volume Distribution and Market Profile.'

Hello RNuckles,

~~~~~~~~~~~~~~~~~~~~~~~~~~~~

[Himalaya]

Market Profile/ Volume Profile

This is a very good Market Profile EFS that allows you to place a market profile chart (Horizontal Histogram format) over the top of a price chart. The EFS allows you to make a 5,10,20 overlay demand curve simply by changing the variable in "Edit Studies"

http://www.futurenets.co.uk/downloads.htm

I'll try and post two screen shots. One of a 20 day overlay and the othe of individual profiles.

[Himalaya]

Individual Profiles

These are individual profiles on a 30 minute chart but they can be placed on a 5,15, etc. minute chart just as easy.

[kiki]

Himalaya's market profile chart posted

Hi Himalaya,
I have been looking for the market profile (or price histogram) efs..that look just like the one appeared on the chart you posted back in 9-23-2003 that you dowloaded free from futurenet. Barros had sent me that efs for price profile, but when i dowloaded it on my chart it has very little lines and can't seem to show the histogram profile as great as the one you have on your chart as posted. Since it's been a few years ago and now they don't have it on Esignal for whatever reason. I have to subscribe another charting software just for that price histogram. Can you please kindly tell me where i can dowload it or send me that efs you have. is there any way ? thank you so much Himalaya.
kiki

[ACM]

kiki
The reason it is displaying less lines could be due to the PriceTick setting which is too high for the symbol/interval you are charting. Select the Study Properties of MarketProfile (or PriceProfile depending on which version of the efs you have) and try using a lower value for the PriceTick setting. Once you have done that the profile should display more lines
Alex

[ACM]

kiki
Adding to my prior message. The enclosed image shows two charts for the same symbol/interval with each running a copy of MarketProfile. In the top chart the PriceTick setting is 5 while in the bottom one the setting is 1
Alex

[kiki]

Alexis' reply on Price volume histogram

Hi Alexis,
Thank you for your kind help. Yes, i reset it so to have a denser profile on histogram. What i really look for is that if eSignal can have an efs (or this one can be modified) to have a price histogram where the histogram appears right on top of every swing even on 5 min char (so there is many price histograms on top of price swing, not just one appears on the lefthand side like this one). This efs we have here gives us only ONE profile appears on chart on the left handside, whether on 30 min, 15min or 5min. Unlike some software like Linnsoft or ensign give the histogram right on tope of every swing on the chart so on 5 min or chart we can have many price histogram on it (not just one profile)...thank you Alexis.

[pigpen]

Where can I find this file

Could someone please post this Price Histogram file for download, I have not been able to find it.

Regards,
Nate