market profile

[gareth_leachman]

Has anyone written their own market profile?

[ckryza]

I have one that I plan to post but it is still a work in progress. If you are familiar with the Market Profile calculations/display requirements, I could use some help with it. Let me know. Thanks.

Chris

[Bob A.]

Market Profile

Hi Chris,
Great work on the Price Volume overlay. Thanks.
Re Market Profile requirements/examples please see Akiri's posts under BETA - "Sticky poll, Where do we go next?".

Also, check out Aspen Research's MP at

https://www.aspenres.com/Documents/AspenGraphics4.0/Aspen_Graphics_4.htm

Click on Aspen Graphics 4.0, then Subscription Features, and then Market Profile. It's the cleanest comprehensive implementation I've seen but they have no plans to support eSignal.

I still haven't been able to identify anyone in the eSignal hierarchy who's the key contact for a new integrated MP/Price Volume offering using Adv. Charts. Anybody know who?

Regards, Bob A.

[Ned]

Price Volume Study

Ok, I found the new price volume efs file written by Chris, I want to implement it but I've never done anything like that before.

Trying to right click & save the file never seemed to work. I couldn't download it to my pc no matter what I tried. I've done some snooping around but can't seem to find how to download & implement an EFS file.

The location where I found the files said to come here to post a bug.

Thanks if anyone is able to offer any assistance.

[Ned]

Can't find

I wanted to find 'akiri's comments' but couldn't find it as mentioned in Bob A.'s post. A link would be appreciated.

[Ned]

Price Voulme Looks Good

Chris,

I wanted to note that the graphics files of your efs studies look great!

The idea of putting physical volume both real time and cumulative is the best representation of what is helpful with the concept of market profile (IMHO). It is far more indicative of the nature of the market than TPO's as size - big orders, commercial action IS NOT always where the largest quantity of trades occur.

I trade treasury Futures and today is a perfect example. In zn h3 around 9:50 CST the POC was 114 175 and remained at 17.5 for the rest of the day. If you went back and looked at a bar chart or an official 'MP' chart based on letters I'm sure 114 20.5 or 114 20/32 would look like where the POC is. My point is huge size came in at 17.5 (I noted over 87,000 contracts in the 1 min interval tabular chart in 6 min. - normal volume would be maybe 10 - 25,000 contracts.) and a regular MP chart would never have picked that up.

I may not be the most seasoned pro but I don't think I have to explain too much more that once price broke away from the 17.5 area it would be a good trade to go long with 17.5 or just below as your stop versus waiting for a break from 20.5 which is what a letter based MP would've indicated to do. With the open outcry session ending at 28 or 28.5 that's at least an extra 3/32 *$30/32 = $100 per contract by using the real time price volume profile data to one's advantage.

Hope this helps in your direction as I noticed you were looking to refine your current work. Please consider keeping it as actual volume where possible and not a letter or TPO.

I'm not an expert on Aspen's product's but one thing I thought I noticed the last time Bob A. recommended reviewing their MP work was the fact that volume was colour coded in 1/2 hour segemnts. Now that would be the ultimate, the cadillac, the cutting edge! Add in the option of user defined opening and closing ranges (5 min, 10 min, 30 min, 60 min) versus mandating everything be looked at in 1/2 hour parcels and you have the makings of something really rewarding to our pocketbooks!

[ckryza]

Hi Ned:

Thanks much. The Market Profile study will be a separate script... I will definitely leave the Volume Profile scripts as they are.

Chris

[Bob A.]

Market Profile

Chris,

For Akiri's posts just click on the 'Beta" category on this Board. The first thread is titled "Sticky post- where do we go from here".
Just scroll down thru the posts and you will find several by Akiri on MP requirements and examples.

Hope you find them O.K.
Bob

[akiri]

My Market Profile and Volume Distribution Thread

Ned

Here is the link to my market profile and distribution thread. You probably forgot u made comments there.

http://forum.esignalcentral.com/showthread.php?s=&threadid=467

And the suggestions made to Todd

http://forum.esignalcentral.com/showthread.php?s=&threadid=152

Chris I would like to see the ability to see the profile based on tick volume. I know u have said at this time it is difficult. But when and if it can be done it would be of great help. Maybe the real time version can be done based on time and sales or something.

In that profile I would like the ability to see if we can filter out volume as greater than some number. So that one can only capture high volume. Which can then differentiate between "commercial" versus "retail" trades. Even normal volume profile charts cannot do that, unless one has the ability to seperate tick volume.

Kiri

[JW Liberman]

Market Profile Software

Take a look at http://www.windotrader.com for a look at our Market Profile Software. Our entire company is devoted to the advancement of Market Profile and it's concepts through great software and education. WINdoTRADEr works with eSignals real time data.

[futurenets]

a free copy of market profile for eSignal can be downloaded from www.futurenets.co.uk "Free Downloads"