VolumeProfile

4 feb

Library "VolumeProfile"
Analyzes volume and price and calculates a volume profile, in particular the Point Of Control and Value Area values.

new(rowSizeInTicks, valueAreaCoverage, startTime)
  Constructor method that creates a new Volume Profile
  Parameters:
    rowSizeInTicks (float): Internal row size (aka resolution) of the volume profile. Useful for most futures contracts would be '1 / syminfo.mintick'. Default '4'.
    valueAreaCoverage (int): Percentage of total volume that is considered the Value Area. Default '70'
    startTime (int): Start time (unix timestamp in milliseconds) of the Volume Profile. Default 'time'.
  Returns: VolumeProfile object

method calculatePOC(vp)
  Calculates current Point Of Control of the VP
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
  Returns: void

method calculateVA(vp)
  Calculates current Value Area High and Low of the VP
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
  Returns: void

method update(vp, h, l, v, t)
  Processes new chart data and sorts volume into rows. Then calls calculatePOC() and calculateVA() to update the VP. Parameters are usually the output of request.security_lower_tf.
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
    h (array<float>): Array of highs
    l (array<float>): Array of lows
    v (array<float>): Array of volumes
    t (array<int>): Array of candle times
  Returns: void

method setSessionHigh(vp, h)
  Sets the high of the session the VP is tracking
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
    h (float)
  Returns: void

method setSessionLow(vp, l)
  Sets the low of the session the VP is tracking
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
    l (float)
  Returns: void

method getPOC(vp)
  Gets the current Point Of Control
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
  Returns: Point Of Control (float)

method getVAH(vp)
  Gets the current Value Area High
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
  Returns: Value Area High (float)

method getVAL(vp)
  Gets the current Value Area Low
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)
  Returns: Value Area Low (float)

VolumeProfile
  Fields:
    rowSizeInTicks (series float)
    valueAreaCoverage (series int)
    startTime (series int)
    valueAreaHigh (series float)
    pointOfControl (series float)
    valueAreaLow (series float)
    sessionHigh (series float)
    sessionLow (series float)
    volumeByRow (map<float, float>)
    totalVolume (series float)
    pocRow (series float)
    pocVol (series float)

16 feb

Note di rilascio

v2:
- update session high/low while reading new data

1 giu

Note di rilascio

v3: use middle of area with same volume for point of control (especially important on first candle).

1 giu

Note di rilascio

v4: fix v3 and other bugs that mainly affected PoC and VA calculation when little data is available at the beginning of a VP session

1 giu

Note di rilascio

v5: hopefully the final bugfix release - I wish pine script made it easier to develop libraries

1 giu

Note di rilascio

v6: restore intended v3 functionality

15 ott

Note di rilascio

v7

Big update to improve accuracy.

Updated:
new(sessionTime, sessionTimezone, valueAreaSize, showVP)
  Parameters:
    sessionTime (string)
    sessionTimezone (string)
    valueAreaSize (int)
    showVP (bool)

method getPOC(vp)
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)

method getVAH(vp)
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)

method getVAL(vp)
  Namespace types: VolumeProfile
  Parameters:
    vp (VolumeProfile)

update(vp)
  Parameters:
    vp (VolumeProfile)

VolumeProfile
  Fields:
    sessionTime (series string)
    sessionTimezone (series string)
    valueAreaSize (series int)
    showVP (series bool)
    pointOfControl (series float)
    valueAreaHigh (series float)
    valueAreaLow (series float)
    volumeByPricePoint (map<float, float>)
    totalVolume (series float)
    pocVolume (series float)
    profileBoxes (array<box>)

15 ott

Note di rilascio

v8

Added:
updateVP(vp)
  Parameters:
    vp (VolumeProfile)

Removed:
update(vp)