Realtime 5D Profile [LucF]

2021年10月23日

█ OVERVIEW

This indicator displays a realtime profile that can be configured to visualize five dimensions: ​volume, price, time, activity and age. For each price level in a bar or timeframe, you can display total or delta ​volume or ticks. The tick count measures activity on a level. The thickness of each level's line indicates its age, which helps you identify the most recent levels.


█ WARNING

The indicator only works in real time. Contrary to TradingView's line of volume profile indicators, it does not show anything on historical bars or closed markets, and it cannot display ​volume information if none exists for the data feed the chart is using. A realtime indicator such as this one only displays information accumulated while it is running on a chart. The information it calculates cannot be saved on charts, nor can it be recalculated from historical bars. If you refresh the chart, or the script must re-execute for some reason, as when you change inputs, the accumulated information will be lost.

Because "Realtime 5D Profile" requires time to accumulate information on the chart, it will be most useful to traders working on small timeframes who trade only one instrument and do not frequently change their chart's symbol or timeframe. Traders working on higher timeframes or constantly changing charts will be better served by TradingView's ​volume profiles. Before using this indicator, please see the "Limitations" section further down for other important information.


█ HOW TO USE IT

Load the indicator on an active chart (see here if you don't know how).

The default configuration displays:
 • A double-sided ​volume profile showing at what price levels activity has occurred.
 • The left side shows "down" ​​volume, the right side shows "up" ​volume.
 • The value corresponding to each level is displayed.
 • The width of lines reflects their relative value.
 • The thickness of lines reflects their age. Four thicknesses are used, with the thicker lines being the most recent.
 • The total value of down/up values for the profile appears at the top.

To understand how to use profiles in your trading, please research the subject. Searches on "volume profile" or "market profile" will yield many useful results. I provide you with tools — I do not teach trading. To understand more about this indicator, read on. If you choose not to do so, please don't ask me to answer questions that are already answered here, nor to make videos; I don't.


█ CONCEPTS

Delta calculations
​Volume is slotted in up or down slots depending on whether the price of each new chart update is higher or lower than the previous update's price. When price does not move between chart updates, the last known direction is used. In a perfect world, Pine scripts would have access to bid and ask levels, as this would allow us to know for sure if market orders are being filled on upticks (at the ask) or downticks (at the bid). Comparing the price of successive chart updates provides the most precise way to calculate ​volume delta on TradingView, but it is still a compromise. Order books are in constant movement; in some cases, order cancellations can cause sudden movements of both the bid and ask levels such that the next chart update can occur on an uptick at a lower price than the previous one (or vice versa). While this update's ​volume should be slotted in the up slot because a buy market order was filled, it will erroneously be slotted in the down slot because the price of the chart's update is lower than that of the previous one. Luckily, these conditions are relatively rare, so they should not adversely affect calculations.

Levels
A profile is a tool that displays information organized by price levels. You can select the maximum quantity of levels this indicator displays by using the script's "Levels" input. If the profile's height is small enough for level increments to be less than the symbol's tick size, a smaller quantity of levels is used until the profile's height grows sufficiently to allow your specified quantity of levels to be displayed. The exact position of levels is not tethered to the symbol's tick increments. Activity for one level is that which happens on either side of the level, halfway between its higher or lower levels. The lowest/highest levels in the profile thus appear higher/lower than the profile's low/high limits, which are determined by the lowest/highest points reached by price during the profile's life.

Level Values and Length
The profile's vertical structure is dynamic. As the profile's height changes with the price range, it is rebalanced and the price points of its levels may be recalculated. When this happens, past updates will be redistributed among the new profile's levels, and the level values may thus change. The new levels where updates are slotted will of course always be near past ones, but keep this fluidity in mind when watching level values evolve.

The profile's horizontal structure is also dynamic. The maximum length of level lines is controlled by the "Maximum line length" input value. This maximum length is always used for the largest level value in the profile, and the length of other levels is determined by their value relative to that maximum.

Updates vs Ticks
Strictly speaking, a tick is the record of a transaction between two parties. On TradingView, these are detected on seconds charts. On other charts, ticks are aggregated to form a chart update. I use the broader "update" term when it names both events. Note that, confusingly, tick is also used to name an instrument's minimal price increment.

Volume Quality
If you use ​volume, it's important to understand its nature and quality, as it varies with sectors and instruments. My Volume X-ray indicator is one way you can appraise the quality of an instrument's intraday ​volume.


█ FEATURES

Double-Sided Profiles
When you choose one of the first two configuration selections in the "Configuration" field's dropdown menu, you are asking the indicator to display a double-sided profile, i.e., where the down values appear on the left and the up ones on the right. In this mode, the formatting options in the top section of inputs apply to both sides of the profile.

Single-Sided Profiles
The six other selections down the "Configuration" field's dropdown menu select single-sided profiles, where one side aggregates the up/down values for either ​volume or ticks. In this mode, the formatting options in the top section of inputs apply to the left profile. The ones in the following "Right format" section apply to the right profile.

Calculation Mode
The "Calculation" input field allows the selection of one of two modes which applies to single-sided profiles only. Values can represent the simple total of ​volume or ticks at each level, or their delta. The mode has no effect when a double-sided profile is used because then, the total is represented by the sum of the left and right sides. Note that when totals are selected, all levels appear in the up color.

Age
The age of each level is always displayed as one of four line thicknesses. Thicker lines are used for the youngest levels. The age of levels is determined by averaging the times of the updates composing that level. When viewing double-sided profiles, the age of each side is calculated independently, which entails you can have a down level on the left side of the profile appear thinner than its corresponding up side level line on the right side because the updates composing the up side are more recent. When calculating the age of single-sided profiles, the age of the up/down values aggregated to calculate the side are averaged. Since they may be different, the averaged level ages will not be as responsive as when using a double-sided profile configuration, where the age of levels on each side is calculated independently and follows price action more closely. Moreover, when displaying two single-sided profiles (​volume on one side and ticks on the other), the age of both sides will match because they are calculated from the same realtime updates.

Profile Resets
The profile can reset on timeframes or trend changes. The usual timeframe selections are available, including the chart's, in which case the profile will reset on each new chart bar. One of two trend detection logics can be used: Supertrend or the one used by LazyBear in his Weis Wave indicator. Settings for the trend logics are in the bottommost section of the inputs, where you can also control the display of trend changes and states. Note that the "Timeframe" field's setting also applies to the trend detection mechanism. Whatever the timeframe used for trend detection, its logic will not repaint.

Format
Formatting a profile for charts is often a challenge for traders, and this one is no exception. Varying zoom factors on your chart and the frequency of profile resets will require different profile formats. You can achieve a reasonable variety of effects by playing with the following input fields:
 • "Resets on" controls how frequently new profiles are drawn. Spacing out profiles between bars can help make them more usable.
 • "Levels" determines the maximum quantity of levels displayed.
 • "Offset" allows you to shift the profile horizontally.
 • "Profile size" affects the global size of the profile.
 • Another "Size" field provides control over the size of the totals displayed above the profile.
 • "Maximum line length" controls how far away from the center of the bar the lines will stretch left and right.

Colors
The color and brightness of levels and totals always allows you to determine the winning side between up and down values. On double-sided profiles, each side is always of one color, since the left side is down values and the right side, up values. However, the losing side is colored with half its brightness, so the emphasis is put on the winning side. When there is no winner, the toned-down version of each color is used for both sides. Single-sided profiles use the up and down colors in full brightness on the same side. Which one is used reflects the winning side.

Candles
The indicator can color candle bodies and borders independently. If you choose to do so, you may want to disable the chart's bars by using the eye icon near the symbol's name.

Tooltips
A tooltip showing the value of each level is available. If they do not appear when hovering over levels, select the indicator by clicking on its chart name. This should get the tooltips working.

Data Window
As usual, I provide key values in the Data Window, so you can track them. If you compare total realtime volumes for the profile and the built-in "Volume" indicator, you may see variations at some points. They are due to the different mechanisms running each program. In my experience, the values from the built-in don't always update as often as those of the profile, but they eventually catch up.


█ LIMITATIONS

 • The levels do not appear exactly at the position they are calculated. They are positioned slightly lower than their actual price levels.
 • Drawing a 20-level double-sided profile with totals requires 42 labels. The script will only display the last 500 labels,
  so the number of levels you choose affects how many past profiles will remain visible.
 • The script is quite taxing, which will sometimes make the chart's tab less responsive.
 • When you first load the indicator on a chart, it will begin calculating from that moment; it will not take into account prior chart activity.
 • If you let the script run long enough when using profile reset criteria that make profiles last for a long time, the script will eventually run out of memory,
  as it will be tracking unmanageable amounts of chart updates. I don't know the exact quantity of updates that will cause this,
  but the script can handle upwards of 60K updates per profile, which should last 1D except on the most active markets. You can follow the number of updates in the Data Window.
 • The indicator's nature makes it more useful at very small timeframes, typically in the sub 15min realm.
 • The Weis Wave trend detection used here has nothing to do with how David Weis detects trend changes.
  LazyBear's version was a port of a port, so we are a few generations removed from the Weis technique, which uses reversals by a price unit.
  I believe the version used here is useful nonetheless because it complements Supertrend rather well.


█ NOTES

The aggregated view that ​volume and tick profiles calculate for traders is a good example of one of the most useful things software can do for traders: look at things from a methodical, mathematical perspective, and present results in a meaningful way. Profiles are powerful because, if the ​volume data they use is of good enough quality, they tell us what levels are important for traders, regardless of the nature or rationality of the methods traders have used to determine those levels. Profiles don't care whether traders use the news, fundamentals, Fib numbers, ​pivots, or the phases of the moon to find "their" levels. They don't attempt to forecast or explain markets. They show us real stuff containing zero uncertainty, i.e., what HAS happened. I like this.

The indicator's "VPAA" chart name represents four of the five dimensions the indicator displays: ​volume, price, activity and age. The time dimension is implied by the fact it's a profile — and I couldn't find a proper place for a "T" in there )

I have not included alerts in the script. I may do so in the future.

For the moment, I have no plans to write a profile indicator that works on historical bars. TradingView's ​volume profiles already do that, and they run much faster than Pine versions could, so I don't see the point in spending efforts on a poor ersatz.

For Pine Coders
 • The script uses labels that draw varying quantities of characters to break the limitation constraining other Pine plots/lines to bar boundaries.
 • The code's structure was optimized for performance. When it was feasible, global arrays, "input" and other variables were used from functions,
  sacrificing function readability and portability for speed. Code was also repeated in some places, to avoid the overhead of frequent function calls in high-traffic areas.
 • I wrote my script using the revised recommendations in the Style Guide from the Pine v5 User Manual.


█ THANKS

 • To Duyck for his function that sorts an array while keeping it in synch with another array.
  The `sortTwoArrays()` function in my script is derived from the Pine Wizard's code.
 • To the one and only Maestro, RicardoSantos, the creative ​volcano who worked hard to write a function to produce fixed-width, figure space-padded numeric values.
  A change in design made the function unnecessary in this script, but I am grateful to you nonetheless.
 • To midtownskr8guy, another Pine Wizard who is also a wizard with colors. I use the colors from his Pine Color Magic and Chart Theme Simulator constantly.
 • Finally, thanks to users of my earlier "Delta Volume" scripts. Comments and discussions with them encouraged me to persist in figuring out how to achieve what this indicator does.

2021年10月24日

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v2
• Minor fixes but no functional changes.
• Added an overview of the script's process in early comments.

2021年10月24日

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v3
• Improved a few variable names.
• Adjusted logic removing previously drawn versions of the current profile.

2021年10月27日

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v4
• I removed the HTF trend detection. It wasn't behaving as expected all the time. You can still use trend changes to reset the profile,
 but at the chart's timeframe. The matter is under investigation; I'll reinstate the feature when I'm sure it works 100%.

2021年11月27日

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v5
You can now specify a zero value in the "Max line length" field. This displays no level lines, so you get values only.

2022年1月2日

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v6
Streamlined a few sections of code. No functional changes.