Monday, 18 May 2020

A Volume Profile With Levels Chart

Just a quick post to illustrate the latest of my ongoing chart iterations which combines a levels chart, as I have recently been posting about, but with the addition of a refined methodology of creating the horizontal histograms to more clearly represent the volumes over distinct periods.
The main change is to replace the use of the Octave barh function with the fill function. A minimal working example of this plotting is given in the code box below.
## get price data of *_ohlc_10m
unix_command = [ "wc" , " " , "-l" , " " , [ price_name , '_ohlc_10m' ] ] ;
## the 'wc' with '-l' flag command counts the number of lines in [ price_name , '_ohlc_20m' ] } 
[ ~ , system_out ] = system( unix_command ) ;
cstr = strsplit( system_out , " " ) ; 
lines_in_file = str2double( cstr( 1 , 1 ) ) ;

## read *_ohlc_10m file
price_data = dlmread( [ price_name , '_ohlc_10m' ] , ',' , [ lines_in_file - n_bars , 0 , lines_in_file , 21 ] ) ;
open = price_data(:,18) ; high = price_data(:,19) ; low = price_data(:,20) ; close = price_data(:,21) ; vol = price_data(:,22) ;
high_round = floor( high ./ tick_size .+ 0.5 ) .* tick_size ;
low_round = floor( low ./ tick_size .+ 0.5 ) .* tick_size ;
max_tick_range = max( high_round .- low_round ) / tick_size ;

## create y and x axes for chart
y_max = max( high_round ) + max_tick_range * tick_size ;
y_min = min( low_round ) - max_tick_range * tick_size ;
y_ax = ( y_min : tick_size : y_max )' ;
end_x_ax_freespace = 5 ;

all_vp = zeros( 3 , numel( y_ax ) ) ;

all_vp( 1 , : ) = pcolor_background( y_ax , high(1:50) , low(1:50) , vol(1:50) , tick_size ) ;
all_vp( 2 , : ) = pcolor_background( y_ax , high(51:100) , low(51:100) , vol(51:100) , tick_size ) ;
all_vp( 3 , : ) = pcolor_background( y_ax , high(100:150) , low(100:150) , vol(100:150) , tick_size ) ;

vp_z = repmat( sum( all_vp , 1 ) , numel( high ) + end_x_ax_freespace , 1 ) ;

x_ax = ( 1 : 1 : numel( open ) + end_x_ax_freespace )' ;
colormap( 'viridis' ) ; figure( 20 ) ; pcolor( x_ax , y_ax , vp_z' ) ; shading interp ; axis tight ;

## plot the individual volume profiles
hold on ;
scale_factor = 0.18 ; 
fill( all_vp( 1 , : ) .* scale_factor , y_ax' , [99;99;99]./255 ) ; 
fill( all_vp( 2 , : ) .* scale_factor .+ 50 , y_ax' , [99;99;99]./255 ) ;
fill( all_vp( 3 , : ) .* scale_factor .+ 100 , y_ax' , [99;99;99]./255 ) ;

## plot candlesticks
candle_mp( high , low , close , open ) ;
hold off;
I hope readers find this new way of plotting profile charts useful - I certainly am pretty pleased with it.

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