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Volume market profile - ThinkOrSwim platform only
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Volume market profile - ThinkOrSwim platform only

  #11 (permalink)
Elite Member
BOSTON, MA
 
Futures Experience: Advanced
Platform: Tradestation, TOS
Favorite Futures: commodities, TF
 
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tpo


DarkPoolTrading View Post
I've continued playing around with TOS and I still can't figure out how to make a composite profile. It seems as if it's not possible, but I thought id ask here just to make sure.

So for example say i've got a 60min chart up which goes back a month. I've then got an individual volume profile for each day. All good so far. What I need is to be able to create a composite profile for say, the last 3 days.

Anyone know if that is that possible?

@mfbreakout


I am not sure if this is what you mean. TOS help desk is excellent plus youtube have about 4-6 videos about TOS

VP etc. There are 3 inputs avaialable- Volume profile, Monkey bars and TPO profile. I am a big fan of Futuretrader71. These charts may not have accuracy to the tick but they work for me. It's interpretation of the data which

matters. I have thought several times about switching to another platform ( data feed etc) to get Volume Profile/TPO etc but have not found any key elements i am missing with TOS.



A friend of mine is really into making sure his data is accurate to the tick. He uses Ninja platform and some high quality data feed provider. The way he does slicing and dicing of data and interprest it is very subjective and

personal to him. For example he has charts with 5 years , 2 years of profile for every product he trades and so on. It takes quite an effort to get this data goining.

He and i day trade together sometimes. It amazes me what little value ( in my opnion) he gets out of his very extensive slicing and dicing of data. Too many levels for my taste. He has been for 10 years and he does not mind

but he agress that he has gone overboard in his quest for getting his data correct to the tick. Once he understood that for example for CL, ADR is 150 ticks. 80% of trading days CL will rotate within ADR from one end to the other.

Having all kinds of levels of this node and that node is confusing at best for day trading and swing trading- he took his foot of the peddle in his quest for drawing perfect charts and focused on trading.

With TOS it takes a second to switch between any product, any time frame etc. and it's always ON. I do agree data has to be correct. I just do not know how bad or far off TOS data is compared to others.


Note: I am not an extensive user of MP/TPO and thus have limited experience compared to other traders.

Attached Thumbnails
Volume market profile - ThinkOrSwim platform only-2014-05-14_0643_tpo.png   Volume market profile - ThinkOrSwim platform only-2014-05-14_0644_cl1.png  

Last edited by mfbreakout; May 14th, 2014 at 09:25 AM.
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  #12 (permalink)
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I've brought this up before in another thread at thinkscripter (and here) and it's something that needs attention

Pull up a volume profile on a fast moving product (/6E) when news is out or an event etc

Set chart to today M1

Set study to ticksize, time per profile day, multiplier 1, on expansion no

Zoom in enough so that the chart will show you the volume numbers within each node

You will notice that several nodes above and below price are adding volume simultaneously

Because ToS receives their data in blocks (not true tick data) it causes the nodes to do this

I've brought this up to ToS at least twice w/ no definitive answer

-Bill

P.S. I just did this on /ES M15 20 day and several nodes above and below price are adding volume - today here now

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  #13 (permalink)
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Trubchevsk
 
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Some time ago i've rewritten the tos native volume profile study to be able to draw the profile onto custom area.
Actually it's not the panacea and it has some limitations but at least it does the job i want it to do..

Actually there are two scripts....
The only way to reference some particular bar is to use it's number. There is Barnumber() function in thinkscript that does count bars on opened chart. The first bar you see on the chart has the number 1 etc....

To visualize theese numbers i've written simple piece of code

 
Code
                            
declare lower;
plot bn barnumber(); 
Name it Barnumber, save this new study and attach it to your chart. You'll see such picture:

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When you move the crosshair and point it on the candle (bar), this study show its number dynamically.

Ok...now we have numbers of each bar..

Copy this code and paste it as a new study. Name it and attach to your chart.

 
Code
                            
def d BarNumber();
input bar1 1;
input bar2 40;
def endbar HighestAll(BarNumber());
def cond <= bar1 or >= bar2;
input pricePerRowHeightMode = {default AUTOMATICTICKSIZECUSTOM};
input customRowHeight 1.0;
input multiplier 1;
def onExpansion no;
input profiles 2;
input showPointOfControl yes;
input showValueArea yes;
input valueAreaPercent 70;
input opacity 50;
def height;
switch (
pricePerRowHeightMode) {
case 
AUTOMATIC:
    
height PricePerRow.AUTOMATIC;
case 
TICKSIZE:
    
height PricePerRow.TICKSIZE;
case 
CUSTOM:
    
height customRowHeight;
}

profile vol VolumeProfile("startNewProfile" cond !=cond[1], "onExpansion" onExpansion"numberOfProfiles" profiles"pricePerRow" height"value area percent" valueAreaPercent);
def con CompoundValue(1onExpansionno);
def pc = if IsNaN(vol.GetPointOfControl()) and con then pc[1] else vol.GetPointOfControl();
def hVA = if IsNaN(vol.GetHighestValueArea()) and con then hVA[1] else vol.GetHighestValueArea();
def lVA = if IsNaN(vol.GetLowestValueArea()) and con then lVA[1] else vol.GetLowestValueArea();
def hProfile = if IsNaN(vol.GetHighest()) and con then hProfile[1] else vol.GetHighest();
def lProfile = if IsNaN(vol.GetLowest()) and con then lProfile[1] else vol.GetLowest();
def plotsDomain IsNaN(close) == onExpansion;
plot POC = if plotsDomain then pc else Double.NaN;
plot ProfileHigh = if plotsDomain then hProfile else Double.NaN;
plot ProfileLow = if plotsDomain then lProfile else Double.NaN;
plot VAHigh = if plotsDomain then hVA else Double.NaN;
plot VALow = if plotsDomain then lVA else Double.NaN;
DefineGlobalColor("Profile"GetColor(1));
DefineGlobalColor("Point Of Control"GetColor(5));
DefineGlobalColor("Value Area"GetColor(8));
vol.Show(GlobalColor("Profile"), if showPointOfControl then GlobalColor("Point Of Control") else Color.CURRENT, if showValueArea then GlobalColor("Value Area") else Color.CURRENTopacity);
POC.SetDefaultColor(GlobalColor("Point Of Control"));
POC.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
VAHigh.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
VALow.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
VAHigh.SetDefaultColor(GlobalColor("Value Area"));
VALow.SetDefaultColor(GlobalColor("Value Area"));
ProfileHigh.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
ProfileLow.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
ProfileHigh.SetDefaultColor(GetColor(3));
ProfileLow.SetDefaultColor(GetColor(3));
ProfileHigh.Hide();
ProfileLow.Hide(); 
To select custom area of your chart you have to know two numbers - the first bar of your area and the last one.

For example i want to draw volume profile of highlighted leg....At first i remember two numbers of bars 115 for first bar of that area and 151 for the last one.



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Input this values into bar1 and bar2 settings

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Click OK and now you have the volume profile of choosen area.

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Now about its limitations....you can see that there is another profile constructed from bar 151 to current bar....I've tried to get rid of it but it seems like it get worst than this version...so i'm using it as is...

So i hope that guys from thinkorswim team will fix it one day. I've also written alot of requests to tos team of to be able to see the number of bar into info panel instead of adding additional lower window.....

So ...hope it helps a lil

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  #14 (permalink)
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Statistics

What is the over and under on:

above 3676 having two nodes (chart is tick size) with identical volume,

above 3673 having three nodes (chart is tick size) with identical volume,

above 3669 having three nodes w/ identical volume,

above 3664 having two & three nodes w/ identical volume

above 3649 having three nodes w/ identical volume

etc etc

Answer: slim to none

Cheers, ride safe and keep the rubber side down

-Bill


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  #15 (permalink)
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This gap down on /ES is not showing on my Infinity DOM

-Bill

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  #16 (permalink)
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Please keep this thread focused on ThinkOrSwim code only.

This is not a Volume Profile discussion thread. That thread already exists:

https://futures.io/elite-circle/20727-volume-profile-footprint-discussion.html

Mike

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  #17 (permalink)
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DarkPoolTrading View Post
I've continued playing around with TOS and I still can't figure out how to make a composite profile. It seems as if it's not possible, but I thought id ask here just to make sure.

So for example say i've got a 60min chart up which goes back a month. I've then got an individual volume profile for each day. All good so far. What I need is to be able to create a composite profile for say, the last 3 days.

Anyone know if that is that possible?

@mfbreakout


In the settings, have you tried "DAY" and "3" for multiplier? I use basic Week, Chart, and DAY settings so not sure if that would work. just a thought.

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  #18 (permalink)
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haljordan View Post
In the settings, have you tried "DAY" and "3" for multiplier? I use basic Week, Chart, and DAY settings so not sure if that would work. just a thought.

Thanks @haljordan

In the end I have decided to use Sierra for both my swing trading alongside my existing intraday trading. The volume profile capabilities of TOS are unfortunately not adequate for my needs.

However I am planning on opening my swing trading account with TD Ameritrade, so ill use Sierra primarily but it will be nice to have TOS as a back up since they offer it free. TOS has some nice analytics which ill dig into.

TOS is certainly a powerful platform with a lot of great features, so im certainly not knocking it. Their focus is simply not on profiling capabilities which I rely on heavily.

Diversification is the only free lunch
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  #19 (permalink)
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Volume Profile Script

I just found this in case anyone is interested

Over at thinkscripter dot com

TS_VolumeProfileIntradayPeriod

It has time adjustment for start stop etc

It appears to only work on current day, time frame etc

Disclosure:

In no way am I promoting his website or script service this is FYI only. It is completely up to you if you want to join and for all I know it may be in/ on the free side of his website

-Bill_M

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  #20 (permalink)
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WilleeMac View Post
I'm not trying to be an ass,,,,

Compare ToS volume profile to @FuturesTrader71 /ES M15 during his morning trader bite

ToS is not accurate

-Bill


tos data is aggregated where FT is using DTN IQFeed tick by tick data...hence the discrepancy.

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