Wednesday, 20 May 2020

An Improved Volume Profile Chart with Levels

Without much ado, here is the code
## 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
which calls this
## 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
and this
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="">
and produces charts such as this,
which is a 10 minute ohlc chart of the last 3 days, including "today's" ongoing price action. The number of days is a function input, and the horizontal blue and red lines indicate the upper and lower extremes of the value area. The vertical green lines indicate the London opening bar (7am BST) and each set of levels ends at the New York closing bar (5pm EST).

Further examples are last 10 days
and last month
Enjoy!


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