## Copyright (C) 2020 dekalog
##
## This program is free software: you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program. If not, see
## .
## -*- texinfo -*-
## @deftypefn {} {@var{retval} =} market_profile_plot (@var{cross}, @var{n_bars})
##
## Plot a Market Profile Chart of CROSS of the last N_BARS.
##
## @seealso{}
## @end deftypefn
## Author: dekalog
## Created: 2020-05-11
function market_profile_plot( curr_cross , n_days )
pkg load statistics ;
cd /path/to/data/folder ;
price_name = tolower( curr_cross ) ;
if ( strcmp( price_name , 'aud_jpy' ) || strcmp( price_name , 'eur_jpy' ) || strcmp( price_name , 'gbp_jpy' ) || ...
strcmp( price_name , 'usd_jpy' ) )
tick_size = 0.001 ;
round_digit = 3 ;
elseif ( strcmp( price_name , 'xau_usd' ) )
tick_size = 0.1 ;
round_digit = 1 ;
elseif ( strcmp( price_name , 'xag_usd' ) )
tick_size = 0.01 ;
round_digit = 2 ;
else
tick_size = 0.0001 ;
round_digit = 4 ;
endif
## 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_days * 144 + 18 ) , 0 , lines_in_file , 21 ] ) ;
## get the earliest London open on a Sunday, if any
sun_open_ix = find( ( price_data( : , 11 ) == 1 ) .* ( price_data( : , 9 ) == 22 ) .* ( price_data( : , 10 ) == 0 ) ) ;
## get weekday closes
end_ix = find( ( price_data( : , 15 ) == 16 ) .* ( price_data( : , 16 ) == 50 ) ) ;
delete_ix = unique( [ sun_open_ix ; end_ix ] ) ;
## delete uuwanted data
price_data( 1 : delete_ix( 1 ) , : ) = [] ; end_ix = end_ix .- delete_ix( 1 ) ; open_ix = end_ix .+ 1 ;
end_ix( end_ix == 0 ) = [] ; end_ix( end_ix > size( price_data , 1 ) ) = [] ;
open_ix( open_ix == 0 ) = [] ; open_ix( open_ix > size( price_data , 1 ) ) = [] ;
## give names to data
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 ;
upper_val = high ; lower_val = low ;
## 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 ;
## create container
all_vp = zeros( n_days , numel( y_ax ) ) ; all_mp = all_vp ;
if ( n_days == 1 )
[ all_vp(1,:) , vp_val ] = pcolor_background( y_ax , high , low , vol , tick_size ) ;
vp_z = repmat( all_vp( 1 , : ) , numel( high ) + end_x_ax_freespace , 1 ) ;
lower_val( : ) = vp_val( 1 ) ; upper_val( : ) = vp_val( 2 ) ;
elseif ( n_days >= 2 )
vp_z = zeros( numel( high ) + end_x_ax_freespace , size( all_vp , 2 ) ) ;
for ii = 1 : numel( end_ix )
[ all_vp(ii,:) , vp_val ] = pcolor_background( y_ax , high(open_ix(ii):end_ix(ii)) , low(open_ix(ii):end_ix(ii)) , ...
vol(open_ix(ii):end_ix(ii)) , tick_size ) ;
vp_z(open_ix(ii):end_ix(ii),:) = repmat( all_vp(ii,:)./max(all_vp(ii,:)) , numel( high(open_ix(ii):end_ix(ii)) ) , 1 ) ;
lower_val( open_ix(ii) : end_ix(ii) ) = vp_val( 1 ) ; upper_val( open_ix(ii) : end_ix(ii) ) = vp_val( 2 ) ;
endfor
[ all_vp(end,:) , vp_val ] = pcolor_background( y_ax , high(open_ix(end):end) , low(open_ix(end):end) , ...
vol(open_ix(end):end) , tick_size ) ;
vp_z( open_ix( end ) : end , : ) = repmat( all_vp( end , : ) ./ max( all_vp( end , : ) ) , ...
numel( high( open_ix( end ) : end ) ) + end_x_ax_freespace , 1 ) ;
lower_val( open_ix( end ) : end ) = vp_val( 1 ) ; upper_val( open_ix( end ) : end ) = vp_val( 2 ) ;
endif
## create the background ( best choices - viridis and ocean? )
x_ax = ( 1 : 1 : numel( open ) + end_x_ax_freespace )' ;
colormap( 'viridis' ) ; figure( 10 ) ; pcolor( x_ax , y_ax , vp_z' ) ; shading interp ; axis tight ;
## plot the individual volume profiles
hold on ;
scale_factor = ( 1 / max(max(all_vp) ) ) * 72 ;
for ii = 1 : numel( open_ix )
figure( 10 ) ; fill( all_vp( ii , : ) .* scale_factor .+ open_ix( ii ) , y_ax' , [99;99;99]./255 ) ;
endfor
## plot candlesticks
figure( 10 ) ; candle_mp( high , low , close , open ) ;
## plot upper and lower boundaries of value area
hold on ; figure( 10 ) ; plot( lower_val , 'b' , 'linewidth' , 2 , upper_val , 'r' , 'linewidth' , 2 ) ; hold off ;
## Plot vertical lines for London open at 7am
london_ix = find( ( price_data( : , 9 ) == 7 ) .* ( price_data( : , 10 ) == 0 ) ) ;
if ( ~isempty( london_ix ) )
for ii = 1 : numel( london_ix )
figure( 10 ) ; vline( london_ix( ii ) , 'g' ) ;
endfor
endif
endfunction ## Copyright (C) 2020 dekalog
##
## This program is free software: you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program. If not, see
## .
## -*- texinfo -*-
## @deftypefn {} {@var{vp_z}, @var{vp_val} =} pcolor_background (@var{y_ax}, @var{high}, @var{low}, @var{vol}, @var{tick_size})
##
## @seealso{}
## @end deftypefn
## Author: dekalog
## Created: 2020-05-13
function [ vp_z , vp_val ] = pcolor_background ( y_ax , high , low , vol , tick_size )
vp_z = zeros( 1 , numel( y_ax ) ) ; ##tpo_z = vp_z ;
vol( vol <= 1 ) = 2 ; ## no single point vol distributions
vp_val = zeros( 2 , 1 ) ;
for ii = 1 : numel( high )
## the volume profile, vp_z
ticks = norminv( linspace(0,1,vol(ii)+2) , (high(ii) + low(ii))/2 , (high(ii) - low(ii))*0.25 ) ;
ticks = floor( ticks( 2 : end - 1 ) ./ tick_size .+ 0.5 ) .* tick_size ;
unique_ticks = unique( ticks ) ;
if ( numel( unique_ticks ) > 1 )
[ N , X ] = hist( ticks , unique( ticks ) ) ;
[ ~ , N_ix ] = max( N ) ; tick_ix = X( N_ix ) ;
[ ~ , centre_tick ] = min( abs( y_ax .- tick_ix ) ) ;
vp_z(1,centre_tick-N_ix+1:centre_tick+(numel(N)-N_ix)) = vp_z(1,centre_tick-N_ix+1:centre_tick+(numel(N)-N_ix)).+ N ;
elseif ( numel( unique_ticks ) == 1 )
[ ~ , centre_tick ] = min( abs( y_ax .- unique_ticks ) ) ;
vp_z( 1 , centre_tick ) = vp_z( 1 , centre_tick ) + vol( ii ) ;
endif
endfor
[ ~ , vp_val_centre_ix ] = max( vp_z ) ;
sum_vp_cutoff = 0.7 * sum( vp_z ) ;
count = 1 ;
while ( count ~= 0 )
sum_vp_z = sum( vp_z( max( vp_val_centre_ix - count , 1 ) : min( vp_val_centre_ix + count , numel( vp_z ) ) ) ) ;
if ( sum_vp_z >= sum_vp_cutoff )
vp_val( 1 , 1 ) = y_ax( max( vp_val_centre_ix - count , 1 ) ) ; ## lower
vp_val( 2 , 1 ) = y_ax( min( vp_val_centre_ix + count , numel( vp_z ) ) ) ; ## upper
count = 0 ;
else
count = count + 1 ;
endif
endwhile
endfunction function hhh=vline(x,in1,in2)
% function h=vline(x, linetype, label)
%
% Draws a vertical line on the current axes at the location specified by 'x'. Optional arguments are
% 'linetype' (default is 'r:') and 'label', which applies a text label to the graph near the line. The
% label appears in the same color as the line.
%
% The line is held on the current axes, and after plotting the line, the function returns the axes to
% its prior hold state.
%
% The HandleVisibility property of the line object is set to "off", so not only does it not appear on
% legends, but it is not findable by using findobj. Specifying an output argument causes the function to
% return a handle to the line, so it can be manipulated or deleted. Also, the HandleVisibility can be
% overridden by setting the root's ShowHiddenHandles property to on.
%
% h = vline(42,'g','The Answer')
%
% returns a handle to a green vertical line on the current axes at x=42, and creates a text object on
% the current axes, close to the line, which reads "The Answer".
%
% vline also supports vector inputs to draw multiple lines at once. For example,
%
% vline([4 8 12],{'g','r','b'},{'l1','lab2','LABELC'})
%
% draws three lines with the appropriate labels and colors.
%
% By Brandon Kuczenski for Kensington Labs.
% brandon_kuczenski@kensingtonlabs.com
% 8 November 2001
if length(x)>1 % vector input
for I=1:length(x)
switch nargin
case 1
linetype='r:';
label='';
case 2
if ~iscell(in1)
in1={in1};
end
if I>length(in1)
linetype=in1{end};
else
linetype=in1{I};
end
label='';
case 3
if ~iscell(in1)
in1={in1};
end
if ~iscell(in2)
in2={in2};
end
if I>length(in1)
linetype=in1{end};
else
linetype=in1{I};
end
if I>length(in2)
label=in2{end};
else
label=in2{I};
end
end
h(I)=vline(x(I),linetype,label);
end
else
switch nargin
case 1
linetype='r:';
label='';
case 2
linetype=in1;
label='';
case 3
linetype=in1;
label=in2;
end
g=ishold(gca);
hold on
y=get(gca,'ylim');
h=plot([x x],y,linetype);
if length(label)
xx=get(gca,'xlim');
xrange=xx(2)-xx(1);
xunit=(x-xx(1))/xrange;
if xunit<0 .8="" code="" color="" else="" end="" g="=0" get="" h="" handlevisibility="" hhh="h;" hold="" if="" label="" nargout="" off="" set="" tag="" text="" vline="" x-.05="" x="" xrange="" y="">
Further examples are last 10 days
1 comment:
thanks for this
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