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Volume Profile
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Created: by TraderWalrus Attachments:0

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Volume Profile

  #1 (permalink)
Trading Apprentice
Bangkok Thailand
 
Futures Experience: Advanced
Platform: IB, MC, Python
Favorite Futures: Forex, CL, ES
 
Posts: 31 since May 2016
Thanks: 14 given, 10 received

Volume Profile

Is there a way to access volume profile from Easylanguage, running on Multicharts?

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

TraderWalrus,

no, it's not in case you are referring to the build in volume profile. You can only access the build in profile in Multicharts.NET, but not in Multicharts.

Regards,

ABCTG

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  #3 (permalink)
Trading Apprentice
Bangkok Thailand
 
Futures Experience: Advanced
Platform: IB, MC, Python
Favorite Futures: Forex, CL, ES
 
Posts: 31 since May 2016
Thanks: 14 given, 10 received


OK, but since all you need for Volume Profile is historical prices and volume (or tick) data, I guess it shouldn't be very difficult to implement a data structure that holds it as part of an EasyLanguage strategy. Plotting that on the chart is not absolutely necessary.

Next question is, before I go to write that from scratch, are there related scripts available?

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

TraderWalrus,

correct, you can write your own volume profile and use that in Easylanguage.

One problem that you will encounter is that you can't get the volume at a price on historical charts. So you will either have to use 1 tick data or make approximations about the volume that was traded at each price on a bar. The latter will require for you to come up with a logic on how to split the volume - most codes will equally divide the total volume in a bar by the ticks (from high to low) and therefore give each price the same volume.
Having said that it's clear that the accuracy varies with the underlying chart. On 1 minute bars this would be good enough (in my opinion), on 30 minute bars probably not.

By the way you can show your appreciation for a post on futures.io by clicking the "Thanks" button next to it.

Regards,

ABCTG

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  #5 (permalink)
Trading Apprentice
Bangkok Thailand
 
Futures Experience: Advanced
Platform: IB, MC, Python
Favorite Futures: Forex, CL, ES
 
Posts: 31 since May 2016
Thanks: 14 given, 10 received

Will appreciate examples / any links to related Easylanguage code.

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  #6 (permalink)
Market Wizard
Dallas, TX, USA
 
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ABCTG View Post
TraderWalrus,

no, it's not in case you are referring to the build in volume profile. You can only access the build in profile in Multicharts.NET, but not in Multicharts.

Regards,

ABCTG

Do you have any code on how to plot volume profile on data2 in MC.NET? My C# or VB programming skill are zero.

I am looking to plot volume profile on data2 where as data1 is of kind renko bars, since volume profile is not available to plot on this type charts, I am struggling to get what seems to be simple in Ninja and SC.

Appreciate your help.

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  #7 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
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bmtrading9,

I am sorry, but I don't have any code ready for that. I would suggest starting with the MC.NET Programming Guide. This might give you some ideas, too.

Regards,

ABCTG

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  #8 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

bmtrading9,

you can access the profile for a datastream via "VolumeProfileByDataStream(X)", where X is the datastream number.

Regards,

ABCTG

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  #9 (permalink)
Market Wizard
Dallas, TX, USA
 
Futures Experience: Advanced
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Broker/Data: IB
Favorite Futures: ES, YM, TF, CL, GC and ETF's
 
Posts: 1,789 since Mar 2013
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Thanks for your reply. I understand that but do you have any code sample? I am assuming it's done via indicator right?

Sent from my ONEPLUS A3000 using Tapatalk

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  #10 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary


bmtrading9,

the link I posted has sample code and you can find samples in the MC.NET Programming Guide.
There are also code examples in the official MC forum, but they would all require some code modifications most likely.

It can be done within an indicator.

Regards,

ABCTG

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