Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
THIS TRIAL VERSION WILL WORK REALTIME UNTIL 07/29/1998.
You may also use it with any historical intraday data ranging from 09/01/1996 to 07/29/1998.
The demo will expire on 01/01/99.
This one day profile shows most of all what you can see with the Professional MP Package.
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
2.Market ProfileŽ Graphic Display Indicator
Thank you for buying this Market Profile code for TradeStation. We hope that it will bring you all that you wish.The installation is not difficult and you will only need a few (but minimum) understanding of Omega Research product to use it easily. So, do not hesitate to refer to the Omega Research manuals for importing an ELA file, changing the settings of an indicator, creating and indicator and so on. In case of difficulty, we can help you, but you may help us too by knowing the minimum of TradeStation or Supercharts to use this powerful piece of code.
1)Shut down the Server (strongly recommended).
2)Copy the following file into your Omega\prog directory:
TS_PROFD.DLL
3) From the Power Editor (or the quick Editor), import all the indicators and functions from MP.ELA:
Important notice:
Market ProfileŽ (10 min bars) using the default values explained below.
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
INPUTS |
EFFECT |
COMMENTS |
| Start(0) | Set StartTime for building the daily profile | 0 means Sess1StartTime. Other value after this one allowed |
| resol(0.2) | Set Compression (in BigPoints) | 0.2 (for P500 means 1 row for each 0.2 SP move). |
| MP_Time(MPtime(30)) | Letter Period length (30 min
= default value) You only need to change the numeric value (30) here. Never modify what is displayed in blue: MP_Time(MPtime(30)). |
Letter changes every 30 minutes (Or any value that you choose). |
| MP_Color(1) | Color of the Market ProfileŽ Here 1 means that the profile will be displayed in black.. This numeric input may be replaced with the MPtimeColor function |
1 to 16 values.Can be replaced by our MPTimeColor or MPOscColor function. See further. |
| Setloc(0) | Display Profile direction | 0 = to the right 1 to the left. |
| Vprofile(0) | Allows tick volume profile
display (0 = disabled, therefore displays standard Market ProfileŽ).Otherwise gives the tick volume compression value. |
<0: histogram of tick
volume distribution. >0: Same with one TPOletter included when change in letter occurs at a given price/tick/time level. |
| Vdisp(1) | Displays Tic volume counts for each price level | 0 =disable numeric display for tick volume. |
| TPOdisp(1) | Displays TPO counts for each price level | 0 =disable numeric display for TPO’s. |
| Per_TPO(70) | Displays the x% TPO area as a vertical bar. Here 70%. | 0= Disable. Any value between 0-100 allowed. |
| Per_V(70) | Displays the x% tick volume area as a vertical bar. Here 70%. | 0= Disable.Any value between 0-100 allowed. |
| Ko(8) | Color for Opening price | 1 to 16 values (0= disable). |
| Kc(4) | Color for Closing prince | 1 to 16 values (0= disable). |
| Kt(3) | Color of TPO area bar and maximum of TPO distribution | 1 to 16 values |
| Kv(10) | Color of Volume area bar and maximum of tick volume distribution | 1 to 16 values |
| delayTPO(0) | Displace the first Profile letter from the above list | 0 means that you start with "A", 3 with "D" for the "Start" time value 1st period. >0 displaces to the right, <0 to the left from the start point. |
| Backplot(0) | Displays the Profile ONE day before current day if backplot=1. Do not displace if backplot=0. |
0 or 1. Allows to see the current day developping on the chart (this is a remedy to the fact that TS do not allow free space on the right). |
| wbar(1) | Width of TPO and Volume area vertical bars | 0 to 5 values if setloc =0. (Solid line). (Thin Dashed line if setloc=1). |
This 10 min chart displays a 20 tick volume profile (VProfile=+20).
Each square or letter represents 20 ticks (rounded). Letter is displayed only when a
change of letter occurs for a 20 tick volume move.
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
Same 10 min chart with an alternate tick volume profile display: Here one vertical bar shows 10 ticks (VProfile=-10).
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
You can also display to the left (Setloc=1). Still 10 min bars, standard Market ProfileŽ (displays again TPO letters because we set Vprofile=0).We have removed Tick volum column (Vdisp=0) and set Volume area to 50% (Per_V=50) as shows the green vertical dashed line.
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
You may also use tick bars (same data than above, but with a 40 ticks
bars chart).
Again the standard Market ProfileŽ, but with a double resolution (resol=0.5
instead of 1 for previous examples).
MPtime was set to 15 min, so we have now twice more letters. First we use caps ,then
normal letters ("a" comes after "Z").
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
| Color sequence : (number shows color code) |
01 | 15 | 16 |
08 | 13 | 12 | 06 | 14 | 07 | 11 | 04 | 10 | 03 | 09 | 02 | 05 |
| Oscillator: | 0-6.6 | 6.6-13 | excluded | 13-20 | 20-26 | 26-33 | 33-40 | 40-47 | 47-54 | 54-60 | 60-67 | 67-74 | 74-80 | 80-86 | 86-93 | 93-100 |
Same data, 10 min bars resol=0.5. A Rsi (Close,5) is displayed below .
The same RSI drives the color of the Market ProfileŽ according to the
RSI level when the considered Market ProfileŽ line was updated.
RSI was given as an example. A volatility indicator could be more meaningful.
TPO and tick volume numbers were removed for clarity.(Vdisp=0
and TPOdisp=0)
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
We have just added a Tick volume profile (Vprofile
=-10) to the left with TPO and Tick volumes numbers made visible (TPO_disp=1 and V_disp=1).
Open and close clors were allowed (Open is white (Ko=8) and
Close is green (Kc=4) for the left Volume profile.
They were disabled for the right profile in order to stay clear with the right color code.
Obviously, we use here two Market ProfileŽ indicators to get this compounded profile.
You may save them as a TradeStation Template Analysis and apply after with one click to an
other chart.
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
The very first example on top of this page uses this for the left profile.
Again all of this is optional, and you may compose the profile display that fits your needs.
INPUTS |
EFFECTS |
COMMENTS |
| Hbar(0) | Optional horizontal bar showing last price | 0= disable. >0 activate bar. (Color code passed). <0 activates expert color (I) for the horizontal bar: color and width changes according to Market ProfileŽ Statistics. |
| Hsize(0) | Width of Horizontal bar | 0 to 5 (solid) |
| Start(0) | StartTime | 0= Sess1StartTime, otherwise time value entered. |
| resol(0.5) | Profile Compression (in BigPoints) | 0.2 (for P500 means 1 row for each 0.2 SP move). |
| Per_TPO(70) | Calculates the x% TPO area Here 70%. | 0= Disable. |
| Per_V(70) | Calculates the x% tick volume area .Here 70%. | 0= Disable. |
| len(4) | Size of the time X price Rotation Index square table (here 4X4) | 2 to 16 (table size from 2X2 to 16X16) (Affects Rotation Index) |
| agreg(2) | Agregates prices during " agreg" bars | 1 to …(Cluster size) Here we calculate the Rotation index with the 8 last bars (clustered as 2 bars in one, observed over 4 clusters) (Affects Rotation Index) |
| gap(0) | Uses price with night
gap removed or not. |
0= gap not removed. 1= gap
removed (Affects Rotation Index) |
| candle(0) | Uses Candlesticks body instead of High Low bars | ( Affects Rotation Index) |
| Kdh(15) | Top line color display | 1 to 16 Negative values activates expert color (II) of the Top Line |
| Kdl(15) | Bottom line color display | 1 to 16 Negative values activates expert color (III) of the Bottom line |
| Setloc(2) | Location of Top and Bottom line. | 1= right (from first bar of the day). 0= left (from first bar of the day). 2= centered on first bar of the day. |
| Dfactor(3) | Displaces the Top and Bottom lines of "Dfactor X Resol "from the High / Low of the Market ProfileŽ | Better reading according to font size and screen size |
| preci(2) | Precision of display for prices | Affects Top and Bottom line. |
| backplot(0) | Displays the info bar ONE day before current day if backplot=1. Do not displace if backplot=0. |
0 or 1. Allows to see the current day developping on the chart (this is a remedy to the fact that TS do not allow free space on the right). |
| ThresTff(3) | Threshold for Trade Facilitation Factor | Used only when Expert Color II is turned on. |
Effect of "Backplot "input for both indicators (MarketProfile
and Market Info).
Setting both to 1 displaces the figure one day back and let more room for the current day
under construction
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
Prices are observed through a grid where horizontal dimension is time and vertical dimension is price.
Each time that a price falls into a cell (means at a given price and at a given date), a "1" value is stored in the considered cell. Otherwise a zero value is stored for this cell.
Then all cells are summed and the result is normalised between 0 and 1.
A Rotation Index value below 0.6 means that a trend is occurring (price do not rotate very much, then have a direction), otherwise the trend is not declared.
As for any trend /trading range indicator, the response time is growing function of the window period used for observation (Here "Len X Agreg").
This indicator is originally from a daily concept, but it may be used with intraday data (gap removed and candlestick choices are better).
The Rotation Index do not give the direction of the trend (for that you may observe in what Quadrant falls the last price). This Quadrant of Close is expressed on a 0% 100% scale (see Qd% field on the Bottom display line).
For example:
Rotation Index =1. Qd%=100. Perfect Trend Up (Bars are moving higher without overlapping. Last close is in the highest Quadrant).
| Perfect UPTREND (Ri=1) | t-3 | t-2t | t-1 | t0. |
| Highest PriceQuadrant | 0 | 0 | 0 | 1 |
| Mid High Quadrant | 0 | 0 | 1 | 0 |
| MidLowQuadrant | 0 | 1 | 0 | 0 |
| Lowest price Quadrant | 1 | 0 | 0 | 0 |
Rotation Index =1. Qd%=0 Perfect Trend Down (Bars are moving lower without overlapping. Last close is in the Lowest Quadrant).
| Perfect DOWNTREND (Ri=1) | t-3 | t-2t | t-1 | t0. |
| Highest PriceQuadrant | 1 | 0 | 0 | 0 |
| Mid High Quadrant | 0 | 1 | 0 | 0 |
| MidLowQuadrant | 0 | 0 | 1 | 0 |
| Lowest price Quadrant | 0 | 0 | 0 | 1 |
Rotation Index =0: Qd%=75%. No trend at all, as all bars (or clustered bars) overlap.
| Perfect ROTATION (Ri=0) | t-3 | t-2t | t-1 | t0 |
| Highest PriceQuadrant | 1 | 1 | 1 | 1 |
| Mid High Quadrant | 1 | 1 | 1 | 1 |
| MidLowQuadrant | 1 | 1 | 1 | 1 |
| Lowest price Quadrant | 1 | 1 | 1 | 1 |
From an article by Donald L. Jones and Christopher J. Young as appearing
in Technical Analysis of Stocks and Commodities, June 1990.
Original concept was applied to long term Profiles (Overlay Profiles). Adaptation to
Intraday data and Market ProfileŽ by Pierre Orphelin, Sirtrade International.
Trade Facilitation Factor (Tff):
This is the number of TPO's divided by the range. the higher the value, the less trend was present. Normal days have a high Tff value.
Displayed in the Top line.
Expert Color I: (Affects horizontal close line color and size)
Possible Usage: Trending days.
- Last price above TPO area and above Volume area: Horizontal line turns blue and thicker.
- Last price below TPO area and below Volume area: Horizontal line turns red and thicker.
- Last price above TPO area or Volume area: Horizontal line turns blue, default size.
- Last price below TPO area or Volume area: Horizontal line turns red, default size.
- Price Inside area(s) or disagree: Horizontal line has default color, default size.
Expert Color II: (Affects Top line color)
PossibleUsage: Trading days (normal days) and trending days.
- if Trade Facilitation Factor<thresTff then:
- if Qd%>50% and Rotation index<0.6 then Color=green; (Rotation index is trending, Trade Facilitation Factor is below threshold (trend possible) and Quadrant of close is above 50%).
- if Qd%<50% and Rotation index<0.6 then Color=red; (Rotation index is trending, Trade Facilitation Factor is below threshold (trend possible) and Quadrant of close is below 50%).
- if Trade Facilitation Factor>thresTff then:
- if Qd%>50% and Rotation index>0.6 then Color=dark green ; (Rotation index is not trending ,and Trade Facilitation Factor is above threshold (normal day possible)).
- if Qd%<50% and Rotation index>0.6 then Color =dark red; (Rotation index is not trending ,and Trade Facilitation Factor is above threshold (normal day possible)).
- Other cases: Color = Default color.
Expert Color III: (Affects Bottom line color)
Possible Usage: Trading days (normal days).
- if percentage of TPO's above maximum of TPO's distribution>50% of total TPO's and percentage of Ticks above maximum of Tick Volume distribution>50% of total ticks then Color=dark green; (%T>50 et %V>50).
- if percentage of TPO's below maximum of TPO's distribution<50% of total TPO's and percentage of Ticks below maximum of Tick Volume distribution <50% of total ticks then Color=dark red; (%T<50 et %V<50).
- Other cases: Color = Default color.
Same example than above, but Expert Colors I, II,
III have been activated by using negative inputs (Hbar=-1,
Kdh=-1, Kdl=-15).
The color displayed is the last known at the end of the day, so this snapshot is
meaningless as you can't see here how colors change during the day.
The Market ProfileŽ User Function below allows also you to write your own expert color
display.
Market ProfileŽ is a registered
trademark of the CBOT (Chicago Board of Trade).
Printed with TradeStation™ 4 by Omega Research
INPUTS |
COMMENTS |
| Start(numericsimple) | 0= Sess1StartTime, otherwise time value entered. |
| resol(numericsimple) | Profile Compression (in BigPoints) |
| Per_TPO(numericsimple) | Calculates the x% TPO area |
| Per_V(numericsimple) | Calculates the x% tick volume area . |
Rotation index only: |
Rotation index only: |
| len(numericsimple) | Size of the time X price Rotation Index square table |
| agreg(numericsimple) | Agregates prices during " agreg" bars |
| gap(numericsimple) | Uses price with night
gap removed or not. |
| candle(numericsimple) | Uses Candlesticks body instead of High Low bars |
Array Element: |
Returned value |
| REST[0]= | 0 if Market ProfileŽ not active, 1 otherwise. |
| REST[1]= | Compression (resol) |
| REST[2]= | True Open (open of the day) |
| REST[3]= | Rotation Index (%) |
| REST[4]= | Trade Facilitation Factor |
| REST[5]= | Quadrant of Close (%) |
| REST[6]= | Open of Market ProfileŽ |
| REST[7]= | Lowest of the day for Market ProfileŽ period |
| REST[8]= | Highest of the day for Market ProfileŽ period |
| REST[9]= | Maximum of TPO distribution |
| REST[10]= | Maximum of tickVolume distribution |
| REST[11]= | Half range of TPO area (in increments) |
| REST[12]= | Half range of Volume area (in increments) |
| REST[13]= | % TPO above maximum of distribution |
| REST[14]= | Total TPO’s of the day |
| REST[15]= | % TPO above maximum of distribution |
| REST[16]= | Total tick Volume of the day |
| REST[17]= | High boundary of TPO area |
| REST[18]= | Low boundary of TPO area |
| REST[19]= | High boundary of tick Volume area |
| REST[20]= | Low boundary of tick Volume area |
For example, in a system you may call the MP Function, then write:
if REST[3]<0.6 then begin {Rotation Index is trending (below 0.6)}
buy 1 contract at REST[17] stop;
sell 1 contract at REST[18] stop; {Buy/ sell at a TPO area breakout}end else begin {Trend disappear because Rotation Index climbs above 0.6, so we exit the position.}
exitlong;
exitshort
end;
Ordering:
E-Mail Pierre ORPHELIN at orphelin@aol.com
FAX +33142873081
PRICE: Professional MP Package including:
is US $300 YEARLY +a 7US$ CBOT monthly fee (must be paid 12 months in advance, not included in the $300 price).
VAT not included for EC users.
See our web site(http://www.sirtrade.com) for ordering.
Please provide your name , address, TradeStation or Supercharts Realtime Block Number.
TradeStation Code Š1997-1998 by Pierre Orphelin.
Sirtrade International 110, avenue du President Wilson -F93100 Montreuil. FRANCE.