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Matlab - creating Market and Volume Profile's
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Matlab - creating Market and Volume Profile's

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Matlab - creating Market and Volume Profile's

Will anyone share code for creating a Volume Profile in Matlab?

I did find this rather simplistic and outdated code for creating a market profile TPO, but it is not complete.

 
Code
% clear all
% clc;
% %assuming tick by tick data
% data = load('may01d.mat');
% ESdata = data.ESlast;
ESdata=close;

ESprices=unique(ESdata);
bars=20;
timertick=1;
periods=floor(size(ESdata,1)/(timertick*bars));
MP=zeros(size(ESprices,1),periods);
for i=1:periods
g=ESdata(timertick*bars*(i-1)+1:timertick*bars*i,1);
for m=1:size(g,1)
s=g(m);
s1=find(ESprices==s);
MP(s1,i)=i;
end
end

B = MP;%A(:,2:end) ;
B(B==0) = inf ;
B = sort(B,2) ; % sort each row
B(isinf(B)) = 0 ;

TPO=zeros(size(B));
for l=1:numel(B)
if B(l)~=0
TPO(l)=B(l)+64;
end
end


Final_MP={ESprices char(TPO)};
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I haven't used the tool myself, and most likely it requires some bug fixes but take a look at the following:

TechAnalTool - File Exchange - MATLAB Central

I am not certain if this version even includes the market profile but there is a button "Market Profile" so worth checking anyway

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