ThinkScripter » Volume profile

Volume Profile – Intraday Period

ThinkScripter — Wed, 05 Jan 2011 14:57:10 +0000

I’ve been getting a steady stream of emails from members who are still using my various volume profile scripts. Included among these has been a regular request for a version which will show a volume profile for an intraday timeframe. I suspect TOS will add this to their own volume profile at some point but until then, here is a new version that will do just that. It is designed to work on today’s chart only and will allow the user to specify the start and end time of the volume profile. The profile will build in the right extension space real-time and then slide left with the chart once it has been completed.
Notes:
1) Since time does not exist right of the last bar on a tick chart, there is no real-time profile capability on tick charts. Use a time based chart for real-time capability.
2) As with all of my various profile scripts, this one is resource intensive.

(Pro Members can expect an update this Sunday)

Volume Profile - Intraday Period

Volume Profile – User Defined Period

ThinkScripter — Tue, 07 Dec 2010 16:26:04 +0000

By request, here is yet another variation on my old Volume Profile indicator. Please note, I wholly recommend using the TOS native profiles where applicable. However, as of this writing, the TOS profiles cannot be restricted to a user defined date range. This indicator is designed to fill this need until the TOS profiles have such a capability. The user simply specifies the start and end date for profiling. In the chart below, I have four instances of the indicator with the quarterly dates entered. (Pro Members: This will be added to this weekend’s update)

Period Volume Profile

Volume/TPO Profile Updates

ThinkScripter — Sat, 21 Nov 2009 19:22:00 +0000

In an effort to reduce the processor load incurred by these studies I have separated the daily version of the Volume and TPO Profiles into separate studies for 1) today only and 2) all historical days. The update is posted in the PRO Subscriber area of the forum as usual. Here is an updated video on how to set up the now three variations of the studies.

[See post to watch QuickTime movie]

Daily Volume and TPO Profiles

ThinkScripter — Sun, 25 Oct 2009 13:58:58 +0000

UPDATE MARCH 2010: The various profile studies (Volume/TPO) have been implemented natively by TOS and replace my thinkScript versions. I will leave these studies in the PRO bundle for those interested in looking at the code but I recommend using the new TOS versions henceforth. – Eric

After numerous subscriber requests, I put together a daily version of both the Volume Profile and TPO Profile scripts. Whereas the original profile studies total all data displayed on the current TOS chart, the new versions will display only one day’s data and the associated profile. The daily volume point of control (VPOC) is shown as the yellow bar. I have modified the original Volume and TPO Profile studies to allow the user to move them further to the right to mitigate the overlap when running concurrently with the new daily version. Note: Subscriber update has been posted to the forum along with setup instructions.

Daily Volume Profile

Daily TPO Profile

ThinkScripter Volume Profile

ThinkScripter — Sun, 06 Sep 2009 02:11:58 +0000

ThinkScripter Volume Profile

It can’t be done. That’s what I told myself along with tens of readers who requested some variation of volume by price, market profile, or volume profile. ThinkScript lacks the basic tools necessary to easily accomplish such a study: iterative looping and indexed array variables (Guido: hint, hint…). Limitations be damned, I decided to give this beast at least the college effort. The volume of trades is depicted in the chart horizontally at price intervals. This “Volume by Price” can be used to understand which prices cause the largest activity and volume. This is useful in defining where the majority of historical trading volume happened and help find significant support and resistance lines. (Edit: FuturesTrader71 has an excellent video “Context and Trade Entries” discussing profiles and their use. See it here).

A few notes on setting this beast up. It plots in the bars to the right of the current price bar. As such, you need to set your style settings accordingly. The default bar length is 45 periods. So, you need to set your bars right at 50 since there is a 5 bar buffer between the volume profile and the current bar. Should you decide to use more bars for a larger histogram, you’ll need to set the barLength parameter to 5 less than the amount of right bars you choose. You will note that the highest volume bar is painted yellow and there is a dashed magenta VWAP line as well. All the bars are plotted relative to the highest volume bar and scaled accordingly. The profile is based on all the data plotted on the current chart so you can tailor it to meet your needs from a tick chart up to monthly. I tried numerous methods for sorting the volume into the various levels and settled for an equipartition model whereby any bar’s volume is divided equally between the high and the low of the bar. This is not exact but sans time and sales data in thinkScript, this seems to produce the best results. I am working on a variation that uses the market profile method of creating the histogram based on time-price-opportunities (TPOs).

This has been published to the PRO area of the forum in the current bundle.