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Market Profile for Amibroker (AFL)

Rating:
5 / 5 (Votes 1)
Tags:
market profile, amibroker, intraday

Calculate the market profile.

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Indicator / Formula

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_SECTION_BEGIN("MarketProfile");
//------------------------------------------------------------------------------
//
//  Formula Name:    Market Profile 
//
// Use with 5/15min chart
// Originial - From AFL library
// Edited by - Milind / KAKA

//Market Profile 10/12/2009


//------------------------------------------------------------------------------
// This is a modified version of afl date 09/19/2009 as listed above
// Contains a couple changes:
// 1) a more correct (but not complete) calculation of POC.
// 2) attempt to avoid the out of bound runtime error that
//    sometimes occurs. See below:
//
// Here are changes to emulate the arrays x[] and total[] so
// that the array size are not limited by Barcount.
// Now one probably should not get the out of bound error even
// if the density or ticksize is smaller. Of course, there will
// be more overhead in calculation.
// johncw 20091010
// Wrapper start
_N(VarKey = NumToStr(GetChartID(), 1.0, False) + "_");
_N(VarTotal = "V_T" + VarKey);
_N(VarX = "V_x" + VarKey);

function L_StaticVarSet(L_name, L_value)
{
	local L_name, L_value;
	StaticVarSet(L_name + VarKey, L_value); 
}

function L_StaticVarGet(L_name)
{
	local L_name;
	return(StaticVarGet(L_name + VarKey));
}

function x_g(L_idx)
{
	local L_idx;
	return VarGet(VarX + L_idx);
}

function x_s(L_idx, L_value)
{
	local L_idx, L_value;
	VarSet(VarX + L_idx, L_value);
}

function total_g(L_idx)
{
	local L_idx;
	return VarGet(VarTotal+L_idx);
}

function total_s(L_idx, L_value)
{
	local L_idx, L_value, L_name;
	VarSet(VarTotal+L_idx, L_value);
}
// Wrapper end
//------------------------------------------------------------------------------


PlotOHLC(O,H,L,C,"Price",IIf(C>O,colorGreen,colorRed),styleCandle);


EnMP2= ParamList("MarketProfile","Solid|Lines|Letters");
styleLines = ParamStyle("Style", styleLine, maskAll);

Type=ParamList("Type","Price Profile|Volume Profile");
Period= ParamList("Base","Hourly|Daily|Weekly|Monthly",1);

Den = Param("Density", 1, 0.25, 100, 0.25); // Resolution in terms of $
percent=Param("Value Area", 70, 1, 100, 1);
ViewTPOCount= ParamToggle("Show TPO Count", "No|Yes",1);
Viewvalues= ParamToggle("Show Values", "No|Yes",1);

ViewPREVIOUS = ParamToggle("Previous Values", "No|Yes",1);

ViewVALVAH = ParamToggle("Show VAL VAH Line", "No|Yes",1);
Viewfill = ParamToggle("Show VA Fill", "No|Yes",0);
Colorpoc=ParamColor("Color POC", colorYellow);
Colorfill=ParamColor("Color Fill", ColorRGB(20,40,60));


EnIB = ParamToggle("Show Initial Balance", "Yes|No");
IBBars = Param("Initial Balance Bars", 2, 0, 10, 1);

if(Period=="Daily"){
BarsInDay = BarsSince(Day() != Ref(Day(), -1));
Bot = TimeFrameGetPrice("L", inDaily, 0);
Top = TimeFrameGetPrice("H", inDaily, 0);
Vol = TimeFrameGetPrice("V", inDaily, 0);
}

if(Period=="Hourly"){
BarsInDay = BarsSince(Minute() != Ref(Minute(), -1));
Bot = TimeFrameGetPrice("L", in5Minute, 0);
Top = TimeFrameGetPrice("H", in5Minute, 0);
Vol = TimeFrameGetPrice("V", in5Minute, 0);
}

if(Period=="Weekly"){
BarsInDay = BarsSince(DayOfWeek() < Ref( DayOfWeek(), -1 ));
Bot = TimeFrameGetPrice("L", inWeekly, 0);
Top = TimeFrameGetPrice("H", inWeekly, 0);
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);
}

CurTop = HHV(H,BarsInDay+1);
Curbot = LLV(L,BarsInDay+1);
Range = Highest(Top-Bot);
TodayRange = Top - Bot;

AveRange = Sum(Top-Bot,30)/30;
LAveRange = AveRange[BarCount-1];

// Initialization
baseX = 0;
baseY = floor(Bot[0]/Den)*Den;
relTodayRange = 0;
firstVisBar = Status("firstvisiblebar");
lastVisBar = Status("lastvisiblebar");

D=.0005;
//total=0;
totaldn=0;
totalup=0;
shiftup=0;
shiftdn=0;
startr=0;

i0 = 0;
i1 = 0;
for (i=0; i<BarCount; i++) {
  x_s(i, 0); // should not need this
  if (BarsInDay[i] == 0 AND i < firstVisBar) {
    i0 = i;
  }
  if (BarsInDay[i] == 0 AND i >= lastVisBar) {
    i1 = i;
  }
}

i1 = BarCount-1;
for (i=i0; i<=i1; i++) {
  if (BarsInDay[i] == 0) {
    baseX = i;
    baseY = floor(Bot[i]/Den)*Den;
    maxY = floor(Top[i]/Den)*Den;
    relTodayRange = (maxY-baseY)/Den;

    for (j=0; j <= relTodayRange; j++) {
		x_s(j, 0);
		
    }
  }
	
	range_x=lastVisBar-firstVisBar;
	spread = Param("X Space", 80, 1, 200, 1);
	tpl = Param("Time Per Letter (mins)", 30, 1, 360, 1);
	Intervalmin=Interval()/60;
	flt =Param("First Letter (Bars)", 1, 1, 60, 1);
	teb=ParamToggle("To Each Bar","No|Yes");
	Color=Param("Color Threshold",20,1,50,1);
	stopg=0;
	stopr=0;
	new=0;
	
	Voloumeunit=Vol[i]/LastValue(BarsInDay);


  if (EnMP2 == "Letters") {
    for (j=0; j<= relTodayRange; j++) {
      if (L[i] <= baseY+j*Den AND H[i] >= baseY+j*Den) {
		PlotText(StrExtract(" A , B , C , D , E , F , G , H ,  I  , J , K , L , M , N , O , P , Q , R , S , T , U , V , W , X , Y , Z, a , b , c , d , e , f , g , h , i , j , k , L , m , n ,o , p , q , r , s , t , u , v , w , x , y , z ",
		IIf(BarsInDay[i]<flt,0,ceil(BarsInDay[i]/(tpl/Intervalmin))-0)), baseX+IIf(teb==1,BarsInDay[i],x_g(j)*(range_x/spread)), baseY+j*Den, 
		colorWhite,ColorHSB(10+((ceil(BarsInDay[i]/(tpl/Intervalmin)))*Color),160,140));
		x_s(j, x_g(j)+1);

      }
    }
  }
	
  else if (EnMP2 == "Lines" OR EnMP2 == "Solid") {
    for (j=0; j<= relTodayRange; j++) {
     if (L[i] <= baseY+j*Den AND H[i] >= baseY+j*Den) {
		if(Type=="Price Profile"){x_s(j, x_g(j)+1);}
		else if(Type=="Volume Profile"){x_s(j, x_g(j)+round(V[i]/Voloumeunit));}
 	
	   }
    }
  }  

  // Draw Initial Balance after 11am bar is complete
  if (BarsInDay[i] == IBBars+1 AND EnIB == 0) {
    Line1 = LineArray(i-2, curtop[i-1],i+7, curtop[i-1],0,True);
    Plot(Line1,"",colorLightGrey,styleLine+styleDashed|styleNoRescale);
    Line1 = LineArray(i-2, curbot[i-1],i+7, curbot[i-1],0,True);
    Plot(Line1,"",colorLightGrey,styleLine+styleDashed|styleNoRescale);
  }

  // Examine x[j]
  if ((i < BarCount - 1 AND BarsInDay[i+1] == 0) OR i == BarCount-1) {
    maxXj = 0;
	maxj = 0;
	midrange = int(relTodayRange/2)+1;
    for (j=0; j<= relTodayRange; j++) {
      if (maxXj < x_g(j)) {
			maxXj = x_g(j); maxj = j; L_StaticVarSet("Maxj",j); new=j;
	  } else if ( MaxXj == x_g(j)) {
			if (abs(midrange-j)  < abs(midrange-L_StaticVarGet("Maxj"))) {
				maxXj = x_g(j); maxj = j; L_StaticVarSet("Maxj",j); new=j;
			}
	  }
    }
	total_s(0, 0);
	for ( n = 1; n <= relTodayRange; n++ ) {
		total_s(n, x_g(n) + total_g(n-1));
        }

	Value_area=(total_g(relTodayRange)*percent)/100;

	for ( a = 1; a <= relTodayRange; a++ )
	 {
		if(Maxj-a>0 AND Maxj+a<relTodayRange)
		{
			if(MaxXj+total_g(Maxj+a)-total_g(Maxj)+(total_g(maxj)-MaxXj)-total_g(Maxj-(a+1))>=Value_area) {shiftup=a; shiftdn=a; break;}
	 	}	
		else if(Maxj-a<1 ) 
		{
			if(MaxXj+total_g(Maxj+a)-total_g(Maxj)+(total_g(maxj)-MaxXj)>=Value_area){shiftup=a; shiftdn=maxj-1; break;}		
   		}
		else if(Maxj+a>relTodayRange ) 
		{
			if(MaxXj+total_g(relTodayRange)-total_g(Maxj)+(total_g(maxj)-MaxXj)-total_g(Maxj-(a+1)) >=Value_area){shiftup=relTodayRange-maxj; shiftdn=a; break;}		
   		}
	 }

	Vah = LineArray(baseX, baseY+(maxj+shiftup)*Den, i, baseY+(maxj+shiftup)*Den,0,True);
	Val = LineArray(baseX, baseY+(maxj-shiftdn)*Den, i, baseY+(maxj-shiftdn)*Den,0,True);
	Vah1 = LineArray(i, baseY+(maxj+shiftup)*Den, i+BarsInDay[i], baseY+(maxj+shiftup)*Den,0,True);
	Val1 = LineArray(i, baseY+(maxj-shiftdn)*Den, i+BarsInDay[i], baseY+(maxj-shiftdn)*Den,0,True);
	poc = LineArray(baseX, baseY+maxj*Den, i, baseY+maxj*Den,0,True);
	poc1 = LineArray(i, baseY+maxj*Den, i+BarsInDay[i], baseY+maxj*Den,0,True);

	if(ViewVALVAH==1)
	{
		Plot(Vah,"",ParamColor("Color_VA",  colorBlueGrey),styleLine|styleNoRescale);
		Plot(Val,"",ParamColor("Color_VA",  colorLightBlue),styleLine|styleNoRescale);
		Plot(poc,"",Colorpoc,styleLine|styleNoRescale);
	}
	if(ViewPREVIOUS==1)
	{
		Plot(Vah1,"",ParamColor("Color_VA",  colorBlueGrey),styleDashed|styleNoRescale);
		Plot(Val1,"",ParamColor("Color_VA",  colorLightBlue),styleDashed|styleNoRescale);
		Plot(poc1,"",Colorpoc,styleDashed|styleNoRescale);
	}


	if(Viewvalues==1)
	{
	PlotText(""+(baseY+maxj*Den),i-5,baseY+maxj*Den,Colorpoc);
	PlotText(""+(baseY+(maxj+shiftup)*Den),i-5,baseY+(maxj+shiftup)*Den,colorWhite);
	PlotText(""+(baseY+(maxj-shiftdn)*Den),i-5,baseY+(maxj-shiftdn)*Den,colorWhite);
	if(ViewTPOCount==1){PlotText(""+(total_g(maxj)-MaxXj)+" / "+(total_g(maxj-shiftdn-1)),basex,bot[i]-(Top[i]-bot[i])*0.05,ParamColor("Color_Below_VA",  colorGrey40));
	PlotText(""+(total_g(relTodayRange)-total_g(maxj))+" / "+(total_g(relTodayRange)-total_g(maxj+shiftup)),basex,Top[i],ParamColor("Color_Above_VA", colorGrey40));
	}



	}
	
  }
	
	if (i < BarCount - 1 AND BarsInDay[i+1] == 0 OR i == BarCount-1) {
	
	  for  (p = 1; p < relTodayRange+1; p++){
	  line = LineArray(baseX, baseY+p*Den, baseX+x_g(p), baseY+p*Den);
	  line2 = LineArray(baseX, baseY+(p-1)*Den, baseX+x_g(p-1), baseY+(p-1)*Den);

      if (EnMP2 == "Solid")
	  {
	  PlotOHLC( Line,  Line,  Line2, Line2, "",IIf(p>(maxj+shiftup),ParamColor("Color_Above_VA",   colorGrey40),IIf(p<=(maxj+shiftup)AND p>(maxj-shiftdn),ParamColor("Color_VA", colorBlueGrey),ParamColor("Color_Below_VA",  colorGrey40))) ,styleCloud|styleNoRescale|styleNoLabel);
	  }
	  if (EnMP2 == "Lines") 
	  {
     Plot(line,"",IIf(p>(maxj+shiftup),ParamColor("Color_Above_VA",  colorGrey40),IIf(p<=(maxj+shiftup)AND p>(maxj-shiftdn),ParamColor("Color_VA", colorBlueGrey),ParamColor("Color_Below_VA",   colorGrey40))) , styleLines|styleNoLabel);
     }
 	
   }
	 if(Viewfill==1){PlotOHLC(Vah,Vah,Val,Val,"",Colorfill,styleCloud|styleNoRescale|styleNoLabel);}

 } 
}


_SECTION_END();

2 comments

1. kelvinhand

Recently was looking into this AFL in TJ.

Found that there are bugs, not properly done and check before uploading to here.
1) On line 102-107 for hourly timeframe

  • => BarsInDay = BarsSince(Minute() != Ref(Minute(), -1));
    KH:Why hourly is using Minute() ?
  • => Bot = TimeFrameGetPrice(“L”, in5Minute, 0);
  • => Top = TimeFrameGetPrice(“H”, in5Minute, 0);
  • => Vol = TimeFrameGetPrice(“V”, in5Minute, 0);
    KH:Why use in5Minute and not inHourly

2) Hourly timeframe cannot be used.
=> Because the Plot()/PlotOHLC() were using in the huge looping, this will cause the amibroker raise the exception of more than 500 calls.
Therefore not suggest to use in hourly timeframe set.

3) The program seen to me there are bugs which not able to figure yet regardless of timeframe set. It keep plotting the Vah & Val, Vah1 & val1, and overwrite the plotting of Poc/Poc1 (Yellow color) and never appear.

Also I doubt the algorithm is correct.

Please kindly solve the problem.

If not, i don’t suggest anyone use this script in hourly

2. jayman2005

@kevinhand, actually it should not matter because when you use in5minute in TimeFrameSet when your current interval is inHourly, the timeframe will default to inHourly. AB will only act if you use a HIGHER TF than the one that is current while using TimeFrameSet.

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