//+------------------------------------------------------------------+
//| ay-MarketProfile.mq4 |
//| Copyright © 2010, MetaQuotes Software Corp. |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2011, [email protected]"
#property link "[email protected]"
#property indicator_chart_window
/*
v1.1 cleaning the code
add ShowOpenCloseArrow
add VATPOPercent
v1.2 use 1 pip for pricing step and tpo calculating
v1.3 add Volume Profile feature
v1.31 add DayStartHour, ShowPriceHistogram, ShowValueArea, ShowVAHVALLines
v1.31.rev1 add Ticksize, VolAmplitudePercent
bug fix :
- Profile High and Low misscalculated when high or low of the day
occured at first m30 candle.
- Open and Close Arrow Location
- profile missing when DayStartHour not exist on the chart
like Hour 0 not exist on some days on #YMH1 chart (fxpro);
*/
#define PRICEIDX 0
#define TPOIDX 1
#define VOLIDX 2
//---extern vars
extern int LookBack = 6;
extern bool UseVolumeProfile = true;
extern string ProfileTimeframeInfo = "use D, W, or M";
extern string ProfileTimeframe = "D";
extern int DayStartHour = 0;
extern double VATPOPercent = 70.0;
extern int TickSize = 1;
extern int ExtendedPocLines = 5;
extern string spr0 = "on/off settings..";
extern bool ShowPriceHistogram = true;
extern bool ShowValueArea = true;
extern bool ShowVAHVALLines = true;
extern bool ShowOpenCloseArrow = true;
extern string spr1 = "design & colors..";
extern double VolAmplitudePercent = 40.0;
extern int HistoHeight = 2;
extern color HistoColor1 = C'55,100,135';
extern color HistoColor2 = C'45,90,125';
extern color OpenColor = DarkGreen;
extern color CloseColor = Peru;
extern color POCColor = Peru;
extern color VirginPOCColor = Yellow;
extern color VAColor = C'16,16,16';
extern color VALinesColor = C'64,64,64';
extern color InfoColor = Lime;
extern string spr2 = "Profile Data.............";
extern int DailyProfileDataTf = 5;
extern int WeeklyProfileDataTf = 60;
extern int MonthlyProfileDataTf = 1;
//---global vars
string gsPref = "ay.mp.";
double fpoint
, gdOneTick
, gdHistoRange;
int fdigits
, giStep
, giProfileTf = PERIOD_D1
, giDataTf = 0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
giDataTf = Period(); //default
if (Point == 0.001 || Point == 0.00001)
{ fpoint = Point*10; fdigits = Digits - 1; }
else
{ fpoint = Point; fdigits = Digits; }
if (ProfileTimeframe == "M" )
{
gsPref = gsPref + "2.0." + ProfileTimeframe + ".";
giProfileTf = PERIOD_H4;
HistoHeight = MathMax(HistoHeight, 8);
giDataTf = MonthlyProfileDataTf;
}
else if (ProfileTimeframe == "W" )
{
gsPref = gsPref + "3.0." + ProfileTimeframe + ".";
giProfileTf = PERIOD_W1;
HistoHeight = MathMax(HistoHeight, 3);
giDataTf = WeeklyProfileDataTf;
}
else //default D1
{
gsPref = gsPref + "4.0." + ProfileTimeframe + ".";
giProfileTf = PERIOD_D1;
HistoHeight = MathMax(HistoHeight, 1);
giDataTf = DailyProfileDataTf;
}
//----
HistoHeight = MathMax(HistoHeight, TickSize);
gdOneTick = TickSize/(MathPow(10,fdigits));
gdHistoRange = HistoHeight/(MathPow(10,fdigits));
giStep = HistoHeight;
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
delObjs();
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
if ( !isOK() ) return(0);
LookBack = MathMin( LookBack, iBarShift(NULL, giProfileTf, Time[Bars-1]) - 1 );
LookBack = MathMin( LookBack, iBarShift(NULL, giProfileTf, iTime(NULL, giDataTf, iBars(NULL, giDataTf) - 1)) );
int ibar.proftf = 0, endbar.proftf = 0;
//---create all profile on startup/new tfsrc bar
//---and then only update the last tfsrc profile
if ( newBarProfileTf() ) { delObjs(); endbar.proftf = LookBack-1; }
double aprice.step[][3] // [ 3-->{price, count tpo, count vol} ]
, hh, ll // profile
, maxvol
, vah // Value Area High
, val // Value Area Low
, totaltpo // Total TPO
, totalvol; // Total Vol
datetime dt.proftf;
int startbar // startbar on giDataTf
, endbar // endbar on giDataTf
, countps
, vahidx
, validx
, maxtpo
, maxtpoidx
, maxvolidx;
//---main loop --> day by day, week by week, month by month...
for (ibar.proftf = endbar.proftf; ibar.proftf >= 0; ibar.proftf--)
{
ArrayResize(aprice.step, 0);
getStartAndEndBar(ibar.proftf, startbar, endbar);
if (startbar == -1) continue;
getHHLL(startbar, endbar, hh, ll);
getPriceTPO
( startbar, endbar, hh, ll, aprice.step, countps, maxtpo,
maxtpoidx, totaltpo, maxvol, maxvolidx, totalvol );
//continue;
drawPriceHistoAndPOCLines
( startbar, endbar, ibar.proftf, countps, aprice.step, maxtpo,
maxtpoidx, maxvol, maxvolidx );
//continue;
getValueArea
( countps, aprice.step, maxtpo, maxtpoidx, totaltpo, maxvol,
maxvolidx, totalvol, vah, vahidx, val, validx );
//continue;
drawValueArea
( startbar, endbar, ibar.proftf, countps, aprice.step, vah,
vahidx, val, validx );
}//end for (ibartf = endbartf; ibartf >= 0; ibartf--)
//update time ExtendedPocLines
if (newBar())
{
for (int i=1; i<=ExtendedPocLines; i++)
{
ObjectSet(gsPref + "#" + i +".1.1.poc", OBJPROP_TIME2, Time[0] + 10*Period()*60 );
ObjectSet(gsPref + "#" + i +".1.0.poc.price", OBJPROP_TIME1, Time[0] + 13*Period()*60 );
}
}
drawInfo();
//---delay 5 seconds
Sleep(5000);
return(0);
}
//+------------------------------------------------------------------+
//| isOK |
//+------------------------------------------------------------------+
bool isOK()
{
switch (Period())
{
case PERIOD_M1:
case PERIOD_M5:
case PERIOD_M15:
if (giProfileTf == PERIOD_D1) return(true);
break;
case PERIOD_M1:
case PERIOD_M5:
case PERIOD_M15:
case PERIOD_M30:
if (giProfileTf <= PERIOD_W1) return(true);
break;
case PERIOD_M1:
case PERIOD_M5:
case PERIOD_M15:
case PERIOD_M30:
case PERIOD_H1:
return(true);
break;
case PERIOD_M1:
case PERIOD_M5:
case PERIOD_M15:
case PERIOD_M30:
case PERIOD_H4:
case PERIOD_D1:
if (giProfileTf >= PERIOD_W1) return(true);
break;
default:
return(false);
break;
}
return(false);
}
//+------------------------------------------------------------------+
//| getStartAndEndBar |
//+------------------------------------------------------------------+
void getStartAndEndBar(int ibar.proftf, int &startbar, int &endbar)
{
int i, j;
datetime dt.proftf;
datetime dt.proftf.next;
switch (giProfileTf)
{
case PERIOD_D1:
int oneday = PERIOD_D1*60;
int iday = -1;
datetime dt;
startbar = 0; endbar = 0;
if (DayStartHour == 0)
{
dt.proftf = iTime( NULL, giProfileTf, ibar.proftf );
dt.proftf.next = iTime( NULL, giProfileTf, ibar.proftf - 1 );
startbar = iBarShift ( NULL, giDataTf, dt.proftf);
endbar = iBarShift ( NULL, giDataTf, dt.proftf.next - (giDataTf * 60) );
//current day
if (dt.proftf.next < dt.proftf) endbar = 0;
// fix ibarshift on month\week start
if ( iTime(NULL, giDataTf, startbar) < dt.proftf ) startbar--;
if (TimeDayOfWeek(iTime( NULL, giDataTf, startbar )) == 0) startbar = -1;
break;
}
for (i=0; i=0; j--)
{
dt = iTime(NULL, giDataTf, j);
if (TimeHour(dt) == DayStartHour && TimeMinute(dt) == 0 )
{
endbar = j+1;
break;
}
}// end for j
}
}
else endbar = 0;
break;
}
}
}// end for i
if (iday == -1) {startbar = -1; endbar = -1;}
break;
default:
dt.proftf = iTime( NULL, giProfileTf, ibar.proftf );
dt.proftf.next = iTime( NULL, giProfileTf, ibar.proftf - 1 );
startbar = iBarShift ( NULL, giDataTf, dt.proftf);
endbar = iBarShift ( NULL, giDataTf, dt.proftf.next - (giDataTf * 60) );
//current week.Month
if (dt.proftf.next < dt.proftf) endbar = 0;
// fix ibarshift on month\week start
if ( iTime(NULL, giDataTf, startbar) < dt.proftf ) startbar--;
break;
}
}
//+------------------------------------------------------------------+
//| getHHLL |
//+------------------------------------------------------------------+
void getHHLL(int startbar, int endbar, double &hh, double &ll)
{
hh = iHigh ( NULL, giDataTf, iHighest(NULL, giDataTf, MODE_HIGH, (startbar - endbar)+1, endbar) );
ll = iLow ( NULL, giDataTf, iLowest (NULL, giDataTf, MODE_LOW, (startbar - endbar)+1, endbar) );
hh = NormalizeDouble(hh, fdigits);
ll = NormalizeDouble(ll, fdigits);
}
//+------------------------------------------------------------------+
//| drawInfo |
//+------------------------------------------------------------------+
void drawInfo()
{
string info = "Volume Profile";
if (!UseVolumeProfile) info = "TPO Profile";
if (ObjectFind(gsPref+"lblinfo1") == -1)
ObjectCreate (gsPref+"lblinfo1", OBJ_LABEL,0,0,0);
ObjectSet (gsPref+"lblinfo1", OBJPROP_CORNER, 3);
ObjectSetText(gsPref+"lblinfo1", info, 8, "Tahoma", InfoColor);
ObjectSet (gsPref+"lblinfo1", OBJPROP_XDISTANCE, 10);
ObjectSet (gsPref+"lblinfo1", OBJPROP_YDISTANCE, 20);
if (giProfileTf == PERIOD_D1)
{
if (ObjectFind(gsPref+"lblinfo2") == -1)
ObjectCreate (gsPref+"lblinfo2", OBJ_LABEL,0,0,0);
ObjectSet (gsPref+"lblinfo2", OBJPROP_CORNER, 3);
ObjectSetText(gsPref+"lblinfo2", "DayStartHour: " + DayStartHour, 8, "Tahoma", InfoColor);
ObjectSet (gsPref+"lblinfo2", OBJPROP_XDISTANCE, 10);
ObjectSet (gsPref+"lblinfo2", OBJPROP_YDISTANCE, 5);
}
}
//+------------------------------------------------------------------+
//| getPriceTPO |
//+------------------------------------------------------------------+
void getPriceTPO
(
int startbar
, int endbar
, double hh
, double ll
, double &aprice.step[][3]
, int &countps
, int &maxtpo
, int &maxtpoidx
, double &totaltpo
, double &maxvol
, int &maxvolidx
, double &totalvol
)
{
maxtpo = 0;
maxtpoidx = 0;
totaltpo = 0.0;
maxvol = 0.000001;
maxvolidx = 0;
totalvol = 0.0;
double shh = hh; //start hh
double profile.range = MathMax(hh - ll, gdOneTick)
, mid.profile.price = hh - (0.5 * profile.range);
//--- populate price level
countps = 0;
while (shh >= ll)
{
ArrayResize(aprice.step, countps+1);
aprice.step [countps][PRICEIDX] = shh;
aprice.step [countps][TPOIDX] = 0.0;
aprice.step [countps][VOLIDX] = 0.0;
shh -= gdOneTick;
countps ++;
} // while (shh >= ll)
//--- end populate price level
//--- Counting tpo
int i, j;
double price.step;
for (i=0; i= endbar)
{
double hp = iHigh (NULL, giDataTf, j);
double lp = iLow (NULL, giDataTf, j);
double bar.vol = iVolume(NULL, giDataTf, j);
double bar.range = MathMax( (hp - lp) / fpoint, gdOneTick );
double pip.vol = bar.vol / bar.range;
if ( price.step >= lp && price.step <= hp )
{
aprice.step[i][TPOIDX] += 1;
aprice.step[i][VOLIDX] += pip.vol;
totaltpo += 1;
totalvol += pip.vol;
// save maxtpo
if (aprice.step[i][TPOIDX] > maxtpo)
{
maxtpo = aprice.step[i][TPOIDX];
maxtpoidx = i;
}
if (aprice.step[i][TPOIDX] == maxtpo)
{
// take the closes to the middle of profile range
if ( MathAbs(mid.profile.price - aprice.step[i][PRICEIDX])
< MathAbs(mid.profile.price - aprice.step[maxtpoidx][PRICEIDX])
)
{
maxtpo = aprice.step[i][TPOIDX];
maxtpoidx = i;
}
}
// end save maxtpo
// save maxvol
if (aprice.step[i][VOLIDX] > maxvol)
{
maxvol = aprice.step[i][VOLIDX];
maxvolidx = i;
}
if (aprice.step[i][VOLIDX] == maxvol)
{
// take the closes to the middle of profile range
if ( MathAbs(mid.profile.price - aprice.step[i][PRICEIDX])
< MathAbs(mid.profile.price - aprice.step[maxvolidx][PRICEIDX])
)
{
maxvol = aprice.step[i][VOLIDX];
maxvolidx = i;
}
}
// end save maxtpo
} // end if (price-gdHistoRange <= High[j] && price >= Low[j])
j--;
} // end while ( iBarShift(NULL, giProfileTf, Time[j]) == itfsource )
//----end Counting tpo
}// end for (i=0; i hh && aprice.step[ idx ][PRICEIDX] > ll)
||(aprice.step[ idx ][PRICEIDX] < hh && aprice.step[ idx ][PRICEIDX] < ll) )
{
clr = VirginPOCColor;
spoc = ".VPOC ";
}
}
if (ibar.proftf <= ExtendedPocLines || ibar.proftf == 0)
{
t2 = Time[0] + 10*Period()*60;
createText( "#" + ibar.proftf +".1.1.poc.price"
, t2 + (3 * Period() * 60)
, aprice.step[ idx ][PRICEIDX]
, addStr(
ProfileTimeframe + "#" + ibar.proftf + spoc
+ StringSubstr( strdt.proftf, 2, 8 )+" "
+ DoubleToStr( aprice.step[ idx ][PRICEIDX], fdigits )
, " ", 60
)
, 8, "Arial Narrow", clr
);
}
bool backg = true;
if (spoc == ".VPOC ") backg = false;
createTl("#" + ibar.proftf + ".1.1.poc"
, t1, aprice.step[ idx ][PRICEIDX]
, t2, aprice.step[ idx ][PRICEIDX]
, clr, STYLE_SOLID, 1, backg
);
//--- draw open and close
if (ShowOpenCloseArrow)
{
double dopen = iOpen (NULL, giDataTf, startbar);
double dclose = iClose(NULL, giDataTf, endbar);
createArw("#0.0.0.0" + ibar.proftf + ".open", dopen
, Time[chart.startbar], 2, OpenColor);
createArw("#0.0.0.0" + ibar.proftf + ".close", dclose
, Time[chart.startbar], 2, CloseColor);
}
}
//+------------------------------------------------------------------+
//| getValueArea |
//+------------------------------------------------------------------+
void getValueArea
(
int countps
, double aprice.step[][]
, int maxtpo
, int maxtpoidx
, double totaltpo
, int maxvol
, int maxvolidx
, double totalvol
, double &vah
, int &vahidx
, double &val
, int &validx
)
{
int idx = maxvolidx;
int idx2 = VOLIDX;
double total = totalvol;
if (!UseVolumeProfile)
{
idx = maxtpoidx;
idx2 = TPOIDX;
total = totaltpo;
}
double vatpo = (VATPOPercent/100) * total;
double tpo = aprice.step[ idx ][ idx2 ];
double tpo2upper, tpo2lower;
int upperidx = 1, lastupperidx = 1;
int loweridx = 1, lastloweridx = 1;
while (tpo <= vatpo)
{
double utpo1 = aprice.step[ idx - upperidx ][idx2];
double ltpo1 = aprice.step[ idx + loweridx ][idx2];
double utpo2 = aprice.step[ idx - (upperidx+1) ][idx2];
double ltpo2 = aprice.step[ idx + (loweridx+1) ][idx2];
//check if vatpo reached by a single step
if ( utpo1 >= ltpo1 && tpo + utpo1 >= vatpo )
{
lastupperidx = upperidx;
tpo += utpo1;
break;
}
else
if ( ltpo1 > utpo1 && tpo + ltpo1 >= vatpo )
{
lastloweridx = loweridx;
tpo += ltpo1;
break;
}
//2 step price
tpo2upper = utpo1 + utpo2;
tpo2lower = ltpo1 + ltpo2;
if (tpo2upper >= tpo2lower)
{
lastupperidx = upperidx+1;
if (idx-lastupperidx < 0) lastupperidx--;
upperidx +=2;
tpo += tpo2upper;
}
else
{
lastloweridx = loweridx+1;
if (idx+lastloweridx > countps-1) lastloweridx--;
loweridx +=2;
tpo += tpo2lower;
}
}//end while (tpo <= vatpo)
vahidx = idx - lastupperidx;
validx = idx + lastloweridx;
vah = aprice.step[ idx-(lastupperidx) ][0];
val = aprice.step[ idx+(lastloweridx) ][0];
}
//+------------------------------------------------------------------+
//| drawValueArea |
//+------------------------------------------------------------------+
void drawValueArea
(
int startbar
, int endbar
, int ibar.proftf
, int countps
, double aprice.step[][]
, double vah
, int vahidx
, double val
, int validx
)
{
int chart.startbar = iBarShift( NULL, 0, iTime(NULL, giDataTf, startbar) );
int chart.endbar = iBarShift( NULL, 0, iTime(NULL, giDataTf, endbar - 1) ) ;
int numtpo;
int step;
datetime dtva1 = Time[chart.startbar];
datetime dtva2 = Time[chart.endbar]; //iTime(NULL, giProfileTf, ibar.proftf-1);
double lprice = aprice.step[countps-1][0];
//current profile
if (endbar == 0 ) dtva2 = Time[0] + 10*Period()*60;
int argb[3];
intToRGB(VAColor, argb);
if (ibar.proftf == 0)
{
delObjs( gsPref + "#" + ibar.proftf + ".0.0.0.va.");
//ObjectDelete( gsPref + "#" + ibar.proftf + ".0.0.0.vah");
//ObjectDelete( gsPref + "#" + ibar.proftf + ".0.0.0.val");
}
int iclr, i, shiftx;
double price1, price2;
int midvaidx = vahidx + MathCeil((validx-vahidx)/2);
int vaidx = 0;
// show value area
if (ShowValueArea)
{
for (step=0; step validx ) break;
//if ( step < vahidx ) continue;
price1 = aprice.step[ step ][0];
price2 = aprice.step[ step+giStep ][0];
if (price2 > vah) continue;
dtva1 = MathMax(
ObjectGet(gsPref + "#" + ibar.proftf + ".histotpo." + DoubleToStr(price1, fdigits), OBJPROP_TIME2 )
, ObjectGet(gsPref + "#" + ibar.proftf + ".histovol." + DoubleToStr(price1, fdigits), OBJPROP_TIME2 )
);
//shadow effect
//dtva1 += (Period() * 60);
if ( dtva1 < Time[chart.startbar] ) dtva1 = Time[0] + Period()*60;
if ( !ShowPriceHistogram ) dtva1 = Time[chart.startbar];
//if ( dtva2 < dtva1 ) dtva2 = Time[0] + 10*Period()*60;
//rect @vah
if (vah <= price1 && vah >= price2) price1 = vah;
createRect("#" + ibar.proftf + ".0.0.0.va." + vaidx
, price1, dtva1
, MathMax(price2, val), dtva2
, RGB(argb[0]+iclr, argb[1]+iclr, argb[2]+iclr)
);
if (step <= midvaidx)
{
if (giProfileTf == PERIOD_MN1) iclr +=1;
if (giProfileTf == PERIOD_W1) iclr +=2;
else iclr += 3;
}
else
{
if (giProfileTf == PERIOD_MN1) iclr -=1;
if (giProfileTf == PERIOD_W1) iclr -=2;
else iclr -= 3;
}
vaidx ++;
}
}// end show value area
//draw vah and val lines
if (ShowVAHVALLines)
{
if(dtva2 < Time[chart.startbar]) dtva2 = Time[0] + (10*Period()*60);
int width = 1;
if (!ShowValueArea) width = 2;
createTl("#" + ibar.proftf + ".0.0.0.vah"
, Time[chart.startbar], aprice.step[ vahidx ][PRICEIDX]
, dtva2, aprice.step[ vahidx ][PRICEIDX]
, VALinesColor, STYLE_SOLID, width
);
createTl("#" + ibar.proftf + ".0.0.0.val"
, Time[chart.startbar], aprice.step[ validx ][PRICEIDX]
, dtva2, aprice.step[ validx ][PRICEIDX]
, VALinesColor, STYLE_SOLID, width
);
}
}
//+------------------------------------------------------------------+
//|add char at beginning or end of text |
//+------------------------------------------------------------------+
string addStr(string str, string char, int maxlength, bool atbeginning = true)
{
int l = maxlength - StringLen(str);
for (int i=0; i sec )
{
lasttime = TimeCurrent();
return (true);
}
return (false);
}
*/
//+------------------------------------------------------------------+
//| delObjs function |
//+------------------------------------------------------------------+
void delObjs(string s="")
{
int objs = ObjectsTotal();
if (StringLen(s) == 0) s = gsPref;
string name;
for(int cnt=ObjectsTotal()-1;cnt>=0;cnt--)
{
name=ObjectName(cnt);
if (StringSubstr(name,0,StringLen(s)) == s)
ObjectDelete(name);
}
}
//+------------------------------------------------------------------+
//| convert red, green and blue values to color |
//+------------------------------------------------------------------+
int RGB(int red_value,int green_value,int blue_value)
{
//---- check parameters
if(red_value<0) red_value = 0;
if(red_value>255) red_value = 255;
if(green_value<0) green_value = 0;
if(green_value>255) green_value = 255;
if(blue_value<0) blue_value = 0;
if(blue_value>255) blue_value = 255;
//----
green_value<<=8;
blue_value<<=16;
return(red_value+green_value+blue_value);
}
//+------------------------------------------------------------------+
//| convert color to red, green and blue values |
//+------------------------------------------------------------------+
void intToRGB(int clr, int &argb[] )
{
int red = (clr % 0x1000000 / 0x10000);
int green = (clr % 0x10000 / 0x100);
int blue = (clr % 0x100);
argb[0] = red;
argb[1] = green;
argb[2] = blue;
}
//+------------------------------------------------------------------+
/*
sugestions v1.31
http://www.forexfactory.com/showpost.php?p=4432129&postcount=629
@mima
Very good, I like that histogram can be false/true...VA is 1st standard deviation...so there is need for 2nd , 3rd and extremes(excesses)...Hopefully it will be in next revision. Thank you.
http://www.forexfactory.com/showpost.php?p=4432111&postcount=628
@kave
PS: One thing i notice that if the POC & VPC is align the POC overlay onto the VPC as shown here, (those 2 POC of 23rd & 24th). Since the 24th Feb qualifies as a VPC, is it possible let the VPC line to be overlayed on top instead??
http://www.forexfactory.com/showpost.php?p=4433083&postcount=634
@jamie
One comment, for the volume based profile is it possible to reduce the amplitude of the profile so that it doesn't extend so far to the right?
*/