volume profile with size filter??

[JimPunkrockford]

are there any indicators that plot volume on the price panel, horizontally, like volume profile, but with a size filter? so that only executions over a certain number of contracts are displayed. am i searching wrong or does this not exist?


is there a way to set up volume profile to use some size filtered volume rather than the input series volume?

any help would be appreciated on this.

[NinjaTrader_Bertrand]

Hi Jim, I would unfortunately not be aware of any customizations that would offer such a filtering for the input volume.

You might want to contact this vendor as an example, they offer a very comprensive study collection in that area which perhaps can offer this type of config -

http://www.ranchodinero.com/acme-studies/acme-volume-profile/

[pbmi66]

Hi Jim,

I just had a look at the Volume Profile Indicator for another requirement of mine.

Regarding your question to filter by volume - at a first glance, this looks fairly easy. You just need to wrap the following code in OnMarketData with an if clause based on e.Volume and whatever size filter you require. You could of course make the size a Property/Parameter to support different filter sizes for different contracts, etc.

Best,
Peter

if (!volumeInfo.ContainsKey(price))
volumeInfo.Add(price, new VolumeInfoItem());

VolumeInfoItem volumeInfoItem = volumeInfo[price];

if (price >= askPrice)
volumeInfoItem.up += volume;
else
if (price <= bidPrice)
volumeInfoItem.down += volume;
else
volumeInfoItem.neutral += volume;