Friday 26 March 2021

Market/Volume Profile and Matrix Profile

A quick preview of what I am currently working on: using Matrix Profile to search for time series motifs, using the R tsmp package. The exact motifs I'm looking for are the various "initial balance" set ups of Market Profile charts. 

To do so, I'm concentrating the investigation around both the London and New York opening times, with a custom annotation vector (av). Below is a simple R function to set up this custom av, which is produced separately in Octave and then loaded into R.

mp_adjusted_by_custom_av <- function( mp_object , custom_av ){
mp_object$av <- custom_av
class( mp_object ) <- tsmp:::update_class( class( mp_object ) , "AnnotationVector" )
mp_adjusted_by_custom_av <- tsmp::av_apply( mp_object )
return( mp_adjusted_by_custom_av )
This animated GIF shows plots of short, exemplar adjusted market profile objects highlighting the London only, New York only and combined results of the relevant annotation vectors.
This is currently a work in progress and so I shall report results in due course.