makit0

Volume Profile [Makit0]

VOLUME PROFILE INDICATOR v0.5 beta

Volume Profile is suitable for day and swing trading on stock and futures markets, is a volume based indicator that gives you 6 key values for each session: POC , VAH , VAL , profile HIGH, LOW and MID levels. This project was born on the idea of plotting the RTH sessions Value Areas for /ES in an automated way, but you can select between 3 different sessions: RTH , GLOBEX and FULL sessions.
Some basic concepts:
- Volume Profile calculates the total volume for the session at each price level and give us market generated information about what price and range of prices are the most traded (where the value is)
- Value Area ( VA ): range of prices where 70% of the session volume is traded
- Value Area High ( VAH ): highest price within VA
- Value Area Low ( VAL ): lowest price within VA
- Point of Control ( POC ): the most traded price of the session (with the most volume )
- Session HIGH, LOW and MID levels are also important

There are a huge amount of things to know of Market Profile and Auction Theory like types of days, types of openings, relationships between value areas and openings... for those interested Jim Dalton's work is the way to come
I'm in my 2nd trading year and my goal for this year is learning to daytrade the futures markets thru the lens of Market Profile

For info on Volume Profile: TV Volume Profile wiki page at https://www.tradingview.com/wiki/Volume_...
For info on Market Profile and Market Auction Theory: Jim Dalton's book Mind over markets (this is a MUST)

BE AWARE: this indicator is based on the current chart's time interval and it only plots on 1, 2, 3, 5, 10, 15 and 30 minutes charts.
This is the correlation table TV uses in the Volume Profile Session Volume indicator (from the wiki above)
Chart Indicator
1 - 5 1
6 - 15 5
16 - 30 10
31 - 60 15
61 - 120 30
121 - 1D 60
This indicator doesn't follow that correlation, it doesn't get the volume data from a lower timeframe, it gets the data from the current chart resolution.

FEATURES
- 6 key values for each session: POC (solid yellow), VAH (solid red), VAL (solid green), profile HIGH (dashed silver ), LOW (dashed silver ) and MID (dotted silver ) levels
- 3 sessions to choose for: RTH , GLOBEX and FULL
- select the numbers of sessions to plot by adding 12 hours periods back in time
- show/hide POC
- show/hide VAH & VAL
- show/hide session HIGH, LOW & MID levels
- highlight the periods of time out of the session ( silver )
- extend the plotted lines all the way to the right, be careful this can turn the chart unreadable if there are a lot of sessions and lines plotted

SETTINGS
- Session: select between RTH (8:30 to 15:15 CT ), GLOBEX (17:00 to 8:30 CT ) and FULL (17:00 to 15:15 CT ) sessions. RTH by default
- Last 12 hour periods to show: select the deph of the study by adding periods, for example, 60 periods are 30 natural days and around 22 trading days. 1 period by default
- Show POC (Point of Control): show/hide POC line. true by default
- Show VA (Value Area High & Low): show/hide VAH & VAL lines. true by default
- Show Range (Session High, Low & Mid): show/hide session HIGH, LOW & MID lines. true by default
- Highlight out of session: show/hide a silver shadow over the non session periods. true by default
- Extension: Extend all the plotted lines to the right. false by default

HOW TO SETUP
BE AWARE THIS INDICATOR PLOTS ONLY IN THE FOLLOWING CHART RESOLUTIONS: 1, 2, 3, 5, 10, 15 AND 30 MINUTES CHARTS. YOU MUST SELECT ONE OF THIS RESOLUTIONS TO THE INDICATOR BE ABLE TO PLOT
- By default this indicator plots all the levels for the last RTH session within the last 12 hours, if there is no plot try to adjust the 12 hours periods until the seesion and the periods match
- For Globex/Full sessions just select what you want from the dropdown menu and adjust the periods to plot the values
- Show or hide the levels you want with the 3 groups: POC line, VA lines and Session Range lines
- The highlight and extension options are for a better visibility of the levels as POC or VAH / VAL

THANKS TO
@watsonexchange for all the help, ideas and insights on this and the last two indicators (Market Delta & Market Internals) I'm working on my way to a 'clean chart' but for me it's not an easy path
@PineCoders for all the amazing stuff they do and all the help and tools they provide, in special the Script-Stopwatch at that was key in lowering this indicator's execution time
All the TV and Pine community, open source and shared knowledge are indeed the best way to help each other

IF YOU REALLY LIKE THIS WORK, please send me a comment or a private message and TELL ME WHAT you trade, HOW you trade it and your FAVOURITE SETUP for pulling out money from the market in a consistent basis, I'm learning to trade (this is my 2nd year) and I need all the help I can get

GOOD LUCK AND HAPPY TRADING
Informacje o Wersji: VERSION UPDATE
*v0.5.1beta
- fixed the starting of globex and full sessions on sunday
Informacje o Wersji: VERSION UPDATE
*v0.5.2beta
- added Kolkata cash session
Informacje o Wersji: UPDATED VERSION: v0.5.3beta
- allow calculation only once per bar at barstate.isconfirmed
- fixed POC and VA calculations
- added version to short title
Informacje o Wersji: UPDATED VERSION: *v0.5.4beta
- fixed VA calculations at range extremes
Usuń z Ulubionych Skryptów Dodaj do Ulubionych Skryptów

Komentarze

fantastic work. thank you very much
Odpowiedz
Fantabulous! Thanks a ton for sharing this.
+1 Odpowiedz
All the 6 levels plotted are really helpful and the idea to choose to plot only the one we like is just great.

Some help needed:
1. How can we plot another line, lowest traded price? Just the opposite of POC, most traded price.
2. How can we plot yesterday's line today? As the levels will help in taking trading decisions. A little more info:
2.1 I would NOT like to see today's lines at all
2.2 Only yesterday's lines should be plotted in today session and so is the case when we look back (Just like Pivot Point Standard)

Again, great work here and thank you!
Odpowiedz
makit0 Niftyanalysis_Bhoomi
@Niftyanalysis_Bhoomi, Thanks for your words! I'm glad this can be useful for you! :D
In regard of the Low Volume Node levels, I'm including it in the TODO list, some time ago I thought about that too, to identify the LVNs for possible S/R but how do you do it? Only the Lowest VN inside the VA, or the Lowest VN of the full range discounting the top and bottom 20% or 25% of the range? If you don't put a limit on the zone for sure it will get as Lowest VN one of the extreme of the range... I would like your insights on this, here or for DM what you like more :D
And about the second point, it's on the TODO list too: "Check option to hide current session", some times I would like to hide the current session to be able to see clearly the previuos levels when the open is inside previous range.
I'm in my second year, learning and trying, and very glad of being useful :D
Thank you very much to you and all the people for your support!
Odpowiedz
This is a great indicator, very useful as well, just one question: how can I add the settlement of the RTH to the code, that would make this indicator my favorite ever, also do you think is possible to add the pivot points?
Thanks
Odpowiedz
makit0 SimpleTrendTrading
@SimpleTrendTrading, Thanks for your words, I really apreciate it :D
To add the settlement you need to get the close price for the day with the security function, the exchange after settling the price for the day, sends the data to (in this case) TradingView and this data is the close price for the daily candle. How can you do this in the code? I'm thinking of maybe getting the close for the day with 'security', getting the first candle after RTH close and in that iteration plot a shape or a char in the previous candle (last RTH candle) at the daily close level.
In regards of the pivot points, it can be coded indeed, but I think it's better for this indicator to not overcharge the code, it has a nested 'for' and the resources it consume are huge, you can see that in the time it takes to plot several 12 hours periods, so I think it's better to have another indicator to plot pivot points instead of having all funcionality in this one.
Thanks for your words and the settlement idea, I'm adding it in my TODO list: "mark daily open and close"
Odpowiedz
An interstate's in creating a TPO Script? Trading view said they would do this 3-4 years ago and never did. TPO/ order flow is the only way to trade. You mention Jim Dalton, but he is on record saying that volume alone POC, etc... he does not watch at all, but rather the 30 min time price opportunity is what is key. Thanks!
Odpowiedz
makit0 adag777
@adag777, Hi! I'm currently developing the update of my Squeeze_Pro implementation, and after that I have several projects on queue, a complete TPO Market Profile is not one of them but serveral will be based on Jim Dalton's work, that said, the data avaiable on Pine is limited, we don't have access to volume by tick data so all we can do as programmers is an aproximation taking volume by time and divide it by a determined number.
Maybe I could considet it after I finish all the other things, but my time is limited and I'm trying to dedicate more time to trading and less to coding...
Thanks for your interest! :D
Odpowiedz
Not working... Not showing any line.
Odpowiedz
makit0 bhavasarhemang
@bhavasarhemang, Hi, can you tell me the ticker you are using? Thanks!
Odpowiedz
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