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!
The black line is the underlying cyclic price and the red, blue and green lines are the mean weight model probabilities for cyclic peaks, troughs or neither respectively. Points where the peak/trough probabilities exceed the neither probabilities are marked by the red and blue vertical lines. Similarly, we have prices trending up in a cyclic fashion
and also trending down
In the cases of the last two trending markets only the swing highs and lows are indicated. The reason for this is that during training, based on my "expert knowledge" of the cyclic tau features used, it is unreasonable to expect these features to accurately capture the end of an up leg in a bull trend or the end of a down leg in a bear trend - hence these were not presented as a positive class during training.
