Help with creating a Historical BondVolumeProfile.efs

[paralleltrader]

I am trying to modify the VolumeProfile.efs to use for both ZB and US ( Bonds), however, I am getting a error message about period is undefined even though I have it set to 1 day increment.

1) I have set up a chart template for bond ( US) from 8:00 am to 3:00 pm. but need to have a separate chart time template for ZB. So, since ZB trades from 21:00 hours to 17:00 hours, how is a template set up for that? So far, Charting template does not like that type of hour ( Start/Stop) trading time configuration.

I have noticed that eSignal charting for the actual high/low prices are incorrect for intraday charting if using standard time template. They are correct if set to daily. I believe this is due to the start/stop time for the template, however, so far I have not been able to create a time template for ZB.

2) What would be the VPincrement for bonds? Since eSignal converts the bond price from decimal to tick,( by the way, how can we get that conversion formula for MSExcel?) do we use decimal or actual tick increment for the VPincrement setting, and if so, what would it be.. '.01' , '1.0' ?


Here is what I have so far, any recommendations are greatly appreciated.

============================================
//User Config defaults (most of these can be modified from within the
//eSignal Edit Studies feature)

var VPInterval = 1; //use 1 Minute Bar for Volume accumulation
var VPDays = 1; //Number of days to lookback (Max is probably 10)
var VPIncrement = .01; //smallest increment to record prices (e.g., 0.25 for ES, 0.10 might be right for a stock)
var VPOffset = 0; //Allows you to move back in time (by days) and see what the S/R Landscape looked like
var VPDaysize = 7; //6.5hrs is 9:30-4:00, 6.75hrs is 9:30-4.15; Set this based on your time template.
var VPDispOffset = 0; //bars to shift VP display to the right, if desired.
var VPProject = 0; //project study forward to next day
var VPPivot = 6; //bars on either side to define a peak or trough
var VPDispPrice = 1; //Display actual prices above S/R Lines?
var VPExtendLines = 0; //Extend older lines into current trading day
var VPCum = 1; //Is this a cumulative VP? If so, we print on right side of screen
var VPDetail = 1; //draw the detail price/volume lines?
var VPFractions = 1; //compute in 1/32nds or 1/64ths
var VPWarning = false; //a warning flag we can set if the increment is too low

==============================================

Bill.

[ckryza]

Bill:

The VP Historical script will work with bonds if you set the frFractions parameter to 1. You need to do this in Edit Studies, however, and not where you changed it in your example code. I just pulled up a ZB chart and it works just fine.

Remember that the VP script will only within the Time Template that is loaded with the chart. So if you have a TT set from 9:30am to 16:15pm and you have your frIncrement set to 1 (e.g., use 1-min bars for VP calculation), the script will only use 1-min bars from between the hours of 9:30 and 16:15 to perform the calcs. You cannot have the script operating off of one time template while the chart operates off of another.

I documented the script fairly well so you should be able to find all of the information you need (in terms of parameters, etc.) either at the top of the actual script or in the VPReadme file that can be found in my Specialty Scripts group in File Share.

Chris

[paralleltrader]

Thank you for the update and clarification. I got it to work.

Now, do you you have a solution for building a time template for a/c/e/ bonds which trade 21:00 hours start time to 17:00 hours ending time?

The template program does not seem to like that time frame reference.


Thanks in advance.

Bill.

[ckryza]

Bill:

I'm not sure about the Time Template issue... hopefully someone from eSignal will chime in with an answer to that. I do know, however, that the VP script will only work within 'regular' daily boundaries.

Chris

[ACM]

Bill
FWIW I am not seeing any problems in using 21:00-17:00 Time Template (in the image the vertical lines are set at 21:00)
Alex