Volume at Price with Buying / Selling Volumes

[fxshrat]

Here I have made an example to create intra-bar volume profiles (similar to MarketDelta software & their footprint and stuff. So the order flow within each bar is shown there.). Some heavily inexperienced people might have prematurely thought it would not be possible in AmiBroker. Well, it is as you can see below.






EDIT:

Of course it is also possible to present intra-bar profiles from other intervals.
In the example chart below the calculation is done on 1-second bid/ask data.
The selected interval is 5-minute.
And the intra-bar interval is hourly (that's the interval where the profile is based on).

[fxshrat]

Also it is possible to split profiles into multiple sessions.

[fxshrat]

As for intra-bar profiles I have managed to create same feature as in Sierra Chart called "Numbers Bars".
So far I have implemented "Volume Percentage" and "Dominant Volume Percentage" modes.

Example shows dominant volume example with first pic being SierraChart and 2nd one being AB. Both show same chart output.

[derzi]

May 3, 2016 17:54:15 GMT fxshrat said:

Eagerly waiting for your reply. Really appreciate your efforts.

Have not look at it yet.

In the meantime I have managed to create intra-day profile with value area (VA) and VPOC using new matrix function PriceVolDistribution().
Still needs some testing because since that function is beta I have recognized some possible issues where that function influences plot i.e. depending on whether you place printf or _TraceF before or after that function. Then if you zoom or scroll plot creates weird plots at some scroll/zoom levels if those functions are placed before it.
Or another case is you add MxGetSize or not (i.e. plot becomes proper if you add MxGetSize despite of the fact it is actually not required for the calculations and for the code to work. So in my case it has been added only to get proper non-weird plot). EDIT: I have started a thread in the issues section amibrokerforum.proboards.com/thread/167/pricevoldistribution-amibroker-6-13-beta?page=1&scrollTo=640

Is this code available for download?

I could not find it.

[geosing]

Jul 19, 2016 19:52:41 GMT fxshrat said:

Also it is possible to split profiles into multiple sessions.

Amazing work. I would like to split volume profiles for the three main Index futures sessions - Asia: 6pm-2am US Eastern; EU: 2am-9:30am US Eastern and 9:30am-5:00pm US Eastern. Is it possible to obtain a code sample or fragment that I can study to develop such split sessions? I am assuming that you are using PriceVolDistribution function to build this. Pretty slick.

Geo

Jul 17, 2016 17:51:10 GMT fxshrat said:

Here I have made an example to create intra-bar volume profiles (similar to MarketDelta software & their footprint and stuff. So the order flow within each bar is shown there.). Some heavily inexperienced people might have prematurely thought it would not be possible in AmiBroker. Well, it is as you can see below.

What is the data source you are using and what base interval? Thanks.

Geo

[fxshrat]

Aug 26, 2019 22:39:48 GMT geosing said:

Is it possible to obtain a code sample or fragment that I can study to develop such split sessions?

I plan to release FootPrint, VAP, MarketProfile projects. Perhaps end of year.

Aug 26, 2019 22:39:48 GMT geosing said:

What is the data source you are using and what base interval? Thanks.

Geo

It is not dependent on data source. Source just needs to provide bid/ask tick data for FootPrints.

[geosing]

Apr 28, 2016 18:28:16 GMT andwilson said:

correct link to code amibrokerforum.proboards.com/post/607

Is this not accessible to forum members? I get the message "no access rights" when I try to access the link. Thanks.

[geosing]

Sept 23, 2019 18:59:38 GMT fxshrat said:

Aug 26, 2019 22:39:48 GMT geosing said:

Is it possible to obtain a code sample or fragment that I can study to develop such split sessions?

I plan to release FootPrint, VAP, MarketProfile projects. Perhaps end of year.

Have you released the above projects? If so, where I can I find it? Thank you.Geo

[geosing]

Nov 29, 2020 21:32:42 GMT geosing said:

Apr 28, 2016 18:28:16 GMT andwilson said:

correct link to code amibrokerforum.proboards.com/post/607

Is this not accessible to forum members? I get the message "no access rights" when I try to access the link. Thanks.

I may have discovered that this may be due to lack of participation or something like that. :-)

Geo.

[Admin]

Code section has been closed for months because of vast majority of people just logging in for copy&pasting and disappearing again...