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marketcalls/Market Profile.afl

Created December 22, 2014 14:46
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Market Profile
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Market Profile.afl
_SECTION_BEGIN("Market Profile");
SetChartOptions(0,chartShowArrows|chartShowDates);
GfxSetOverlayMode(0);
GfxSetTextAlign( 6 );// center alignment
GfxSetTextColor( ParamColor("Text Color", ColorHSB( 98, 119, 112 ) ));
GfxSetBkMode(0); // transparent
GfxSelectFont("Verdana", Status("pxheight")/20 );
GfxTextOut( Name(), Status("pxwidth")/2, Status("pxheight")/14 );
GfxSelectFont("Arial", Status("pxheight")/27 );
GfxTextOut( "http://www.justfintech.com", Status("pxwidth")/2, Status("pxheight")/1.15);
_SECTION_END();
PlotOHLC(O,H,L,C,"Price",IIf(C>O,colorGreen,colorRed),styleCandle);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
_SECTION_BEGIN( "MPLite" );
// - there was a plot limit call introduced after 5.41.0 beta
// i.e. "•Warning 502: Calling Plot()/PlotOHLC over 500 times is displayed in indicator in runtime to prevent abuse"
// - uses GFX for major calls of plot only if AB version newer than 5.40 - this only delays reaching the plot limit
// - see also the toggle parameter "use_original_version"
//PlotOHLC( O, H, L, C, "Price", IIf( C > O, colorGreen, colorRed ), styleCandle );
function Lastthursday()
{
Daysinmonth = IIf( Month() == 1 OR Month() == 3 OR Month() == 5 OR Month() == 7 OR Month() == 8 OR Month() == 10 OR Month() == 12, 31, 30 );
Daysinmonthfeb = IIf( Year() % 4 == 0 AND Year() % 100 != 0, 29, 28 );
Daysinmonthfinal = IIf( Month() == 2, Daysinmonthfeb, Daysinmonth );
returnvalue = IIf( Daysinmonthfinal - Day() < 7 AND DayOfWeek() == 4, 1, IIf( Daysinmonthfinal - Day() < 8 AND DayOfWeek() == 3 AND Ref( DayOfWeek(), 1 ) != 4 AND Day() != Daysinmonthfinal , 1, 0 ) );
return returnvalue;
}
procedure PlotlinewithGFXinit()
{
global AB_Miny, AB_Maxy, AB_lvb, AB_fvb;
global AB_pxchartleft, AB_pxchartwidth, AB_pxchartbottom, AB_pxchartheight;
global AB_TotalBars, AB_penwidth;
RequestTimedRefresh(1);
GfxSetOverlayMode( 0 );
AB_penwidth = 2;
AB_Miny = Status( "axisminy" );
AB_Maxy = Status( "axismaxy" );
AB_lvb = Status( "lastvisiblebar" );
AB_fvb = Status( "firstvisiblebar" );
AB_pxchartleft = Status( "pxchartleft" );
AB_pxchartwidth = Status( "pxchartwidth" );
AB_pxchartbottom = Status( "pxchartbottom" );
AB_pxchartheight = Status( "pxchartheight" );
AB_TotalBars = AB_Lvb - AB_fvb;
}
procedure Plot_horizon_line_with_GFX( ix0, ix1, iy, icolor )
{
global AB_Miny, AB_Maxy, AB_lvb, AB_fvb;
global AB_pxchartleft, AB_pxchartwidth, AB_pxchartbottom, AB_pxchartheight;
global AB_TotalBars, AB_penwidth;
local ix0, ix1, iy, icolor;
local x_px, y_px, y_scale;
GfxSelectPen( icolor, AB_penwidth, 0 );
x_px = AB_pxchartleft + ( ix0 - AB_fvb ) * AB_pxchartwidth / ( AB_TotalBars + 1 );
y_scale = AB_pxchartheight / ( AB_maxy - AB_miny );
y_px = AB_pxchartbottom - floor( 0.5 + ( iy - AB_Miny ) * y_scale );
GfxMoveTo( x_px, y_px );
x_px = AB_pxchartleft + ( ix1 - AB_fvb ) * AB_pxchartwidth / ( AB_TotalBars + 1 );
GfxLineTo( x_px, y_px );
}
FirstVisibleBar = Status( "FirstVisibleBar" );
Lastvisiblebar = Status( "LastVisibleBar" );
totalVisible = Lastvisiblebar - FirstVisibleBar;
//if(totalVisible<1500){
use_original_version = ParamToggle("MP version", "GFX code(only if AB > 5.40)|original code", 0);
//Den = Param("Density", 1, 0.1, 10, 0.1);
percent = Param( "Value Area", 70, 1, 100, 1 );
Type = ParamList( "Type", "Price Profile|Volume Profile" );
Period = ParamList( "Base", "Hourly|Daily|Weekly|Monthly|Lastthursday|Yearly", 1 );
x_scale = Param( "Horizontal_scale", 2, 0, 10, 0.1 );
EnMP2 = ParamStyle( "Style", styleLine | styleNoLabel, maskAll );
styleLines = styleDots;
EnIB = ParamToggle( "Show Initial Balance", "No|Yes", 0 );
IBBars = Param( "Initial Balance Bars", 2, 1, 10, 1 );
ViewYvalues = ParamToggle( "Show Yesterdays Values", "No|Yes", 1 );
ViewVlines = ParamToggle( "Show Vertical Base Lines", "No|Yes", 1 );
Viewvalues = ParamToggle( "Show Values", "No|Yes", 0 );
ViewVpoc = ParamToggle( "Show Virgin POC", "No|Yes", 1 );
ViewTPO = ParamToggle( "Show TPO Count", "No|Yes", 0 );
Color_Above_VA = ParamColor( "Color_Above_VA", colorGrey40 );
Color_VA = ParamColor( "Color_VA", colorBlueGrey );
Color_Below_VA = ParamColor( "Color_Below_VA", colorGrey40 );
Color_POC_line = ParamColor( "Color_POC_Line", colorYellow );
color_YVAH = ParamColor( "YVAH", colorWhite );
color_YVAL = ParamColor( "YVAL", colorWhite );
color_YPOC = ParamColor( "YPOC", colorYellow );
IBColor = ParamColor( "IB Color", colorWhite );
IBstyle = ParamStyle( "IB style", styleLine, maskAll );
Color_Virgin_POC = ParamColor( "Virgin Poc Color", colorYellow );
Color_Base_Line = ParamColor( "Base Line Color", colorDarkGrey );
if ( Period == "Hourly" )
{
BarsInDay = BarsSince( Hour() != Ref( Hour(), -1 ) );
Bot = TimeFrameGetPrice( "L", inHourly, 0 );
Top = TimeFrameGetPrice( "H", inHourly, 0 );
Vol = TimeFrameGetPrice( "V", inHourly, 0 );
}
if ( Period == "Daily" )
{
//OR Interval()==3600
BarsInDay = BarsSince( Day() != Ref( Day(), -1 ) ) ;
Bot = TimeFrameGetPrice( "L", inDaily, 0 );
Top = TimeFrameGetPrice( "H", inDaily, 0 );
Vol = TimeFrameGetPrice( "V", inDaily, 0 );
}
if ( Period == "Weekly" OR Interval() == 24 * 3600 )
{
BarsInDay = BarsSince( DayOfWeek() < Ref( DayOfWeek(), -1 ) );
bot1 = ValueWhen( BarsInDay == 0, L, 1 );
Bot2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2 , LLV( L, BarsInDay ), 0 );
bot = Min( bot1, bot2 );
top1 = ValueWhen( BarsInDay == 0, H, 1 );
Top2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2, HHV( H, BarsInDay ), 0 );
top = Max( top1, top2 );
Vol = TimeFrameGetPrice( "V", inWeekly, 0 );
}
if ( Period == "Monthly" )
{
BarsInDay = BarsSince( Month() != Ref( Month(), -1 ) );
Bot = TimeFrameGetPrice( "L", inMonthly, 0 );
Top = TimeFrameGetPrice( "H", inMonthly, 0 );
Vol = TimeFrameGetPrice( "V", inMonthly, 0 );
}
if ( Period == "Lastthursday" )
{
BarsInDay = BarsSince( Lastthursday() == 0 AND Ref( Lastthursday(), -1 ) == 1 );
bot1 = ValueWhen( BarsInDay == 0, L, 1 );
Bot2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2 , LLV( L, BarsInDay ), 0 );
bot = Min( bot1, bot2 );
top1 = ValueWhen( BarsInDay == 0, H, 1 );
Top2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2, HHV( H, BarsInDay ), 0 );
top = Max( top1, top2 );
Vol = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2 , Sum( V, BarsInDay ), 0 );
}
if ( Period == "Yearly" )
{
BarsInDay = BarsSince( Year() != Ref( Year(), -1 ) );
Bot = TimeFrameGetPrice( "L", inYearly, 0 );
Top = TimeFrameGetPrice( "H", inYearly, 0 );
Vol = TimeFrameGetPrice( "V", inYearly, 0 );
}
CurTop = HHV( H, BarsInDay + 1 );
Curbot = LLV( L, BarsInDay + 1 );
Range = Top - Bot;
coverage = LastValue( Ref( ATR( 10 ), -1 ) );
den = ( coverage / 10 );
//den=1;
multiplier = IIf( round( totalVisible ) / 300 < 1, 1, round( totalVisible ) / 300 );
if ( ViewVlines == 1 )
{
Plot( BarsInDay == 0, "", Color_Base_Line, styleHistogram | styleOwnScale | styleLine | styleNoLabel );
}
relTodayRange = 0;
x = 0;
basey = 0;
basex = 0;
newday = 0;
total = 0;
shiftup = 0;
shiftdn = 0;
Line = Null;
Voloumeunit = 0;
PlotlinewithGFXinit();
for ( i = IIf( FirstVisibleBar - 100 > 1, FirstVisibleBar - 100, FirstVisibleBar ); i < Lastvisiblebar AND i < BarCount - 1 ; i++ )
{
if ( BarsInDay[i] == 0 )
{
t = BarsInDay[i-1];
if ( EnIB == 1 )
{
IBH = HHV( H, IBBars );
IBL = LLV( L, IBBars );
Line1 = LineArray( basex, IBH[basex+IBBars-1], i, IBH[basex+IBBars-1] );
Plot( Line1, "", IBColor, IBstyle );
Line2 = LineArray( basex, IBL[basex+IBBars-1], i, IBL[basex+IBBars-1] );
Plot( Line2, "", IBcolor, IBstyle );
}
//////////////////////////////////
poc = 0;
pocj = 0;
midrange = int( relTodayRange / 2 ) + 1;
for ( j = 1; j <= relTodayRange + 1 ; j++ )
{
if ( poc < x[j] )
{
poc = x[j];
pocj = j;
}
else
if ( poc == x[j] )
{
if ( abs( midrange - j ) < abs( midrange - pocj ) )
{
poc = x[j];
pocj = j;
}
}
}
for ( n = 1; n <= relTodayRange; n++ )
{
total[n] = x[n] + total[n-1];
}
Value_area = ( total[relTodayRange] * percent ) / 100;
for ( a = 1; a <= relTodayRange; a++ )
{
if ( pocj - a > 0 AND pocj + a < relTodayRange )
{
if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
{
shiftup = a;
shiftdn = a;
break;
}
}
else
if ( pocj - a < 1 )
{
if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) >= Value_area )
{
shiftup = a;
shiftdn = pocj;
break;
}
}
else
if ( pocj + a > relTodayRange )
{
if ( poc + total[relTodayRange] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
{
shiftup = floor( relTodayRange ) - pocj;
shiftdn = a + 1;
break;
}
}
}
if ( ViewVpoc == 1 )
{
Virginpoc = basey + pocj * den;
newi = Null;
for ( j = i; j <= ( BarCount - 1 ) ; j++ )
if ( L[j] < Virginpoc AND H[j] > Virginpoc )
{
newi = j;
break;
}
else
{
newi = BarCount;
}
Plot( LineArray( basex[i], basey + pocj*den, newi, basey + pocj*den ), "", Color_Virgin_POC, styleLine | styleNoRescale );
}
Vah = LineArray( baseX[i], baseY + ( pocj + shiftup ) * den, i, baseY + ( pocj + shiftup ) * den );
Val = LineArray( baseX[i], baseY + ( pocj - shiftdn ) * den, i, baseY + ( pocj - shiftdn ) * den );
pocline = LineArray( basex, basey + pocj * den, basex[i] + poc, basey + pocj * den );
Vahn = LineArray( i, baseY + ( pocj + shiftup ) * den, i + t, baseY + ( pocj + shiftup ) * den );
pocn = LineArray( i, baseY + ( pocj ) * den, i + t, baseY + ( pocj ) * den );
Valn = LineArray( i, baseY + ( pocj - shiftdn ) * den, i + t, baseY + ( pocj - shiftdn ) * den );
if ( Version() > 5.4 && !use_original_version )
{
// pocline
Plot_horizon_line_with_GFX( baseX, basex[i] + poc, basey + pocj * den, Color_POC_Line );
}
else
{
Plot( pocline, "", Color_POC_Line, styleLine | styleNoRescale | styleNoLabel );
}
if ( ViewYvalues == 1 )
{
Plot( Vahn, "", color_YVAH, styleDashed | styleNoRescale );
Plot( Valn, "", color_YVAL, styleDashed | styleNoRescale );
Plot( pocn, "", color_YPOC, styleDashed | styleNoRescale );
}
if ( ViewTPO == 1 )
{
nnn = HHV( H, BarsInDay );
PlotText( "" + ( total[relTodayRange] - total[pocj] ), basex[i], nnn[i], colorLightGrey );
PlotText( "" + ( total[pocj-1] ), basex[i], basey - den, colorLightGrey );
}
if ( Viewvalues == 1 )
{
PlotText( "" + ( ( basey + pocj*den ) ), baseX[i], basey + pocj*den, colorWhite, colorDarkGrey );
PlotText( "" + ( ( baseY + ( pocj + shiftup )*den ) ), baseX[i], baseY + ( pocj + shiftup )*den, colorWhite, colorDarkGrey );
PlotText( "" + ( ( baseY + ( pocj - shiftdn )*den ) ), baseX[i], baseY + ( pocj - shiftdn )*den, colorWhite, colorDarkGrey );
}
if ( Version() > 5.4 && !use_original_version )
{
for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
{
Plot_horizon_line_with_GFX( baseX, baseX + x[p], baseY + p * Den, IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup ) AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA )));
}
}
else
{
for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
{
if ( P > 0 )
{
line = LineArray( baseX, baseY + ( p ) * Den, baseX + x[p], baseY + ( p ) * Den );
}
Plot( line, "", IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup )AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA ) ) , EnMP2 );
}
}
///////////////////
basex = 0;
x = 0;
Basex = i;
baseY = Bot[i];
relTodayRange = Range[i] / Den;
Voloumeunit = Vol[i] / LastValue( BarsInDay );
}
for ( j = 0; j <= relTodayRange ; j++ )
{
if ( L[i] <= Bot[i] + j*Den AND H[i] >= Bot[i] + j*Den )
{
if ( Type == "Price Profile" )
{
x[j] = ( x[j] ) + x_scale;
}
else
if ( Type == "Volume Profile" )
{
x[j] = x[j] + round( V[i] / Voloumeunit ) + 1;
}
}
}
}
if ( EnIB == 1 )
{
IBH = HHV( H, IBBars );
IBL = LLV( L, IBBars );
Line1 = LineArray( basex, IBH[basex+IBBars-1], i, IBH[basex+IBBars-1] );
Plot( Line1, "", IBColor, IBstyle );
Line2 = LineArray( basex, IBL[basex+IBBars-1], i, IBL[basex+IBBars-1] );
Plot( Line2, "", IBColor, IBstyle );
}
//////////////////////////////////
poc = 0;
pocj = 0;
midrange = int( relTodayRange / 2 ) + 1;
for ( j = 1; j <= relTodayRange + 1 ; j++ )
{
if ( poc < x[j] )
{
poc = x[j];
pocj = j;
}
else
if ( poc == x[j] )
{
if ( abs( midrange - j ) < abs( midrange - pocj ) )
{
poc = x[j];
pocj = j;
}
}
}
for ( n = 1; n <= relTodayRange; n++ )
{
total[n] = x[n] + total[n-1];
}
Value_area = ( total[relTodayRange] * percent ) / 100;
for ( a = 1; a <= relTodayRange; a++ )
{
if ( pocj - a > 0 AND pocj + a < relTodayRange )
{
if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
{
shiftup = a;
shiftdn = a;
break;
}
}
else
if ( pocj - a < 1 )
{
if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) >= Value_area )
{
shiftup = a;
shiftdn = pocj;
break;
}
}
else
if ( pocj + a > relTodayRange )
{
if ( poc + total[relTodayRange] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
{
shiftup = floor( relTodayRange ) - pocj;
shiftdn = a + 1;
break;
}
}
}
Vah = LineArray( baseX[i], baseY + ( pocj + shiftup ) * den, i, baseY + ( pocj + shiftup ) * den );
Val = LineArray( baseX[i], baseY + ( pocj - shiftdn ) * den, i, baseY + ( pocj - shiftdn ) * den );
pocline = LineArray( basex, basey + pocj * den, basex[i] + poc, basey + pocj * den );
if ( ViewTPO == 1 )
{
PlotText( "" + ( total[relTodayRange] - total[pocj] ), basex[i], top[i], colorLightGrey );
PlotText( "" + ( total[pocj-1] + x_scale ), basex[i], basey - den, colorLightGrey );
}
if ( Viewvalues == 1 )
{
PlotText( "" + ( ( basey + pocj*den ) ), baseX[i], basey + pocj*den, colorWhite, colorDarkGrey );
PlotText( "" + ( ( baseY + ( pocj + shiftup )*den ) ), baseX[i], baseY + ( pocj + shiftup )*den, colorWhite, colorDarkGrey );
PlotText( "" + ( ( baseY + ( pocj - shiftdn )*den ) ), baseX[i], baseY + ( pocj - shiftdn )*den, colorWhite, colorDarkGrey );
}
if ( Version() > 5.4 && !use_original_version )
{
for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
{
Plot_horizon_line_with_GFX( baseX, baseX + x[p], baseY + p * Den, IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup ) AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA )));
}
// pocline
Plot_horizon_line_with_GFX( baseX, basex[i] + poc, basey + pocj * den, Color_POC_Line );
}
else
{
for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
{
line = LineArray( baseX, baseY + p * Den, baseX + x[p], baseY + p * Den );
Plot( line, "", IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup )AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA ) ), EnMP2 );
}
Plot( pocline, "", Color_POC_Line, styleLine | styleNoRescale | styleNoLabel );
}
_SECTION_END();
_SECTION_BEGIN("Gradient Backfill");
SetChartBkGradientFill( ParamColor("BgTop", ColorRGB( 255,255,255 )),
ParamColor("BgBottom", ColorRGB( 255,255,255 )),ParamColor("titleblock",ColorRGB( 255,255,255 )));
_SECTION_END();
_SECTION_BEGIN("Volume At Price");
PlotVAPOverlay( Param("Lines", 500, 100, 1000, 1 ), Param("Width", 12, 1, 100, 1 ), ParamColor("Color", colorGrey40 ), ParamToggle("Side", "Left|Right" ) | 4*ParamToggle("Z-order", "On top|Behind", 0 ) );
_SECTION_END();
_SECTION_BEGIN("VWAP");
/*
The VWAP for a stock is calculated by adding the value traded for every transaction in that stock ("price" x "number of shares traded") and dividing the total shares traded. A VWAP is computed from the Open of the market to the market Close, AND is calculated by Volume weighting all transactions during this time period
*/
if(Period=="Daily" )
{//OR Interval()==3600
Bars_so_far_today = 1 + BarsSince( Day() != Ref(Day(), -1));
StartBar = ValueWhen(TimeNum() == 090000, BarIndex());
TodayVolume = Sum(V,Bars_so_far_today);
IIf (BarIndex() >= StartBar, VWAP = Sum (C * V, Bars_so_far_today ) / TodayVolume,0);
}
if(Period=="Weekly" OR Interval()==24 * 3600 )
{
Bars_so_far_today = 1 + BarsSince(DayOfWeek() < Ref( DayOfWeek(), -1 ));
StartBar = ValueWhen(TimeNum() == 090000, BarIndex());
Vol = TimeFrameGetPrice("V", inWeekly, 0);
TodayVolume = Sum(Vol,Bars_so_far_today);
IIf (BarIndex() >= StartBar, VWAP = Sum (C * Vol, Bars_so_far_today ) / TodayVolume,0);
}
if(Period=="Monthly" )
{
Bars_so_far_today = 1 + BarsSince(Month() != Ref(Month(), -1));
Vol = TimeFrameGetPrice("V", inMonthly, 0);
StartBar = ValueWhen(TimeNum() == 090000, BarIndex());
TodayVolume = Sum(Vol,Bars_so_far_today);
IIf (BarIndex() >= StartBar, VWAP = Sum (C * Vol, Bars_so_far_today ) / TodayVolume,0);
}
Plot (VWAP, "Vwap",colorYellow);
_SECTION_END();
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