Market Profile Visible Range

2022年3月30日

Sup TV, 2 important points.
1) surprisingly, it's the first MP Visible Range script on TV;
2) This one doesn't use any bagging/binning*, instead each row represents the time spent on the actual minimal price steps (aka ticks).

The script will be further extended with usual market profile related functionally in future updates. At this point we have:
- Profile itself (each row represents how many bars touch the given price);
- Mode of the profile (called POC)**;

* Still it will be introduced in future when I will find / design the proper aggregating technique. It is vital for processing very wide price ranges (for example, 500 days on ES futures).
** The script correctly calculates POC by finding all the modes in the data & choosing the closest one to data's midrange.

For this kind of technical instrument finally it was more convenient to use Pine Script 5 (btw it's my first Pine 5).

Basically this script is a side-effect of another R&D I'm doing, the stuff is useful tho so let's go.
By choosing length we both specify the amount of data to be processed & the profile's location screen-wise. It's pretty cool and & useful, on my screen it's always almost touching the left side and still always visible.

The code is heavily commented in order to be understood fast, nothing fantastic, just a lil patience required this time.

Rationale
Market & volume profiles are well known concepts, lotta info available, the most important point of all that is that MP is just another way of visualizing data that lets you notice things you don't usually notice on sequential charts. From my side I can only add that it's better to use your own brain for thinking and reconsidering using volume profile in all the cases, especially on decentralized markets (unless you're aggregating ALL the volume data from everywhere, including options, OTC etc).


Here is it, for you

2022年4月1日

發行說明

New: tick-based rounding (ceiling) / aggregation was just added.

After a lil thought I decided to use ceiling function and then rounding by orders of magnitude. It makes sense, in case of using normal rounding or flooring we can end up with histogram building at zero price, just imagine what can happen if an asset trades close to zero... Then, the steps by orders of magnitude make sense as well, we don't introduce any arbitrary rounding and stick to math nature.

P.S.: huge thanks to QuantNomad for rounding function, thank god at least I didn't have to do even this myself xD

- Aggregate. When this checkbox is checked, no ceiling occurs, you see histogram tied to actual ticks.
- Digits. Allows you to turn in aggregation, minding you checked off the previously mention setting.

Tbf, I havn't tested it yet on assets with exotic tick sizes such as ZB, but cmon, otherwise it's all cool!

2022年4月2日

發行說明

Fixed:
- max_bars_back;
- aggregation formula;

New:
- Now the profile can be placed on the right side of the screen;
- Offset parameter will help to fine-tune the profile's' position.

2022年4月2日

發行說明

New: the amount of rows was increased from 500 to 1000... by utilizing 'both' lines and boxes to make drawings.
It terms of code, now every even row is a box, and every odd row is a line.

Has Slavic engineering gone too far this time?

4 天前

發行說明

Major Update guy (I recall I promised it years ago xd):

https://www.tradingview.com/x/UL9iONfM/
^^ looks very cool

Also pls read tooltips in script's settings.

Value area calculation is finna ici: that original curious algorithm that every1 follow, very much resembles High Density Intervals from Bayesian stats. I'd advise you to try 46.21% instead of classic 70%, but you ain't heard it from me if any1 asks. In style setting you can turn on history of developing VAH and VAL.

Improved resolution setting: now instead of that decimal orders of magnitude scaler you have One automatic method and Two manual method that multiplies native tick size by an integer of your choice, you can fine tune it any way you want.

Code: reworked code structure is very easy to borrow and use in your stuff

Misc: calculation speed improvement by using prefix sum algorithm (won't work in volume profile tho)