A Comparison of Charts

Earlier in May I posted about Market Profile with some charts and video. Further work on this has made me realise that my earlier post should more accurately be described as Volume Profile, so apologies to readers for that.

Another, similar type of chart I have seen described as a TPO chart (TPO stands for 'That Price Occurred' or ticked) and it is a simple matter to extend the code in the above linked post to create a TPO chart and below is the Octave function I have written to produce the backgrounds for both types of plot

## 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{background} =} pcolor_background (@var{y_ax}, @var{high}, @var{low}, @var{vol}, @var{tick_size})
##
## Creates a matrix, BACKGOUND, to be used by Market Profile plotting functions,
## which need a colour background matrix to be plotted by pcolor.
## 
## @seealso{}
## @end deftypefn

## Author: dekalog 
## Created: 2020-05-13

function [ vp_background , mp_background ] = pcolor_background ( y_ax , high , low , vol , tick_size )

vp_z = zeros( 1 , numel( y_ax ) ) ; mp_z = vp_z ;
vol( vol <= 1 ) = 2 ; ## no single point vol distributions

for ii = 1 : numel( high )

## the volume profile, vp_background
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

## the market profile, mp_background
[ ~ , ix_high ] = min( abs( y_ax .- high( ii ) ) ) ;
[ ~ , ix_low ] = min( abs( y_ax .- low( ii ) ) ) ;
mp_z( 1 , ix_low : ix_high ) = mp_z( 1 , ix_low : ix_high ) .+ 1 ;

endfor

vp_background = repmat( vp_z , numel( high ) , 1 ) ;
mp_background = repmat( mp_z , numel( high ) , 1 ) ;

endfunction

I have elected to still call the TPO plot a Market Profile plot as, from what I can make out, the tick count of the TPO is intended to be a surrogate for the original, cleared volume of Market Profile.

The above function is intended to provide a matrix input for the pcolor function, which internally scales the matrix to 0-1. Another idea I have had is to multiply the Volume Profile matrix and the Market Profile matrix together to get a normalised Combined Profile matrix. The animated GIF below shows all three.

It can be seen that there are subtle differences between them but that, on the whole, the results are similar.

More in due course.