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Project.....MarketProfile

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    Project.....MarketProfile

    Hi every body!
    After a big research on internet, finlly i decided to do my own Market Profile indicator.
    The problem with the free Market Profiles on internet is that they do not have a real volume information. For real volume, we need a tick volume data. Most of the free indicators doing same funny calculations on the historical bar data. At the end the result is almost the same, but it is not exactly. My indicator is collecting the volume information on each tick and save it to a file on the HDD. And this is the only way to have historical tick volume with NT(unless you have a data provider, who offer a historical tick data). that's why the indicator needs a real time data or replay data, not historical.
    And here is my question: I am not sure how to deal with the Pre-market volume and the After-market volume. So far i just ignore both of them. I mean from the Pre-market i take only the ONH and ONL (OverNight High and Low), i ignore the volume and i do not include it in the calculations for the Value Area(Do i need to include it????). And the After-Market volume i just ignore it.....

    This is a demo of what i accomplished until now (1 week of work). It is working only for the current day and does not save any data on the disk. Do you like what you see so far?
    I tested with Russell 2000 and S&P500....
    Attached Files
    Last edited by krasisoft; 04-18-2016, 10:24 AM.

    #2
    Originally posted by krasisoft View Post
    Hi every body!
    After a big research on internet, finlly i decided to do my own Market Profile indicator.
    The problem with the free Market Profiles on internet is that they do not have a real volume information. For real volume, we need a tick volume data. Most of the free indicators doing same funny calculations on the historical bar data. At the end the result is almost the same, but it is not exactly. My indicator is collecting the volume information on each tick and save it to a file on the HDD. And this is the only way to have historical tick volume with NT(unless you have a data provider, who offer a historical tick data). that's why the indicator needs a real time data or replay data, not historical.
    And here is my question: I am not sure how to deal with the Pre-market volume and the After-market volume. So far i just ignore both of them. I mean from the Pre-market i take only the ONH and ONL (OverNight High and Low), i ignore the volume and i do not include it in the calculations for the Value Area(Do i need to include it????). And the After-Market volume i just ignore it.....

    This is a demo of what i accomplished until now (1 week of work). It is working only for the current day and does not save any data on the disk. Do you like what you see so far?
    I tested with Russell 2000 and S&P500....
    Market Profile traditionally dealt only with TPO for RTH on a 30m chart. Volume Profile is a different thing, but has also very often been restricted to RTH, albeit on any time frame, so what you have looks nice and viable.

    Comment


      #3
      Project.....MarketProfile/VolumeProfile

      Originally posted by koganam View Post
      Market Profile traditionally dealt only with TPO for RTH on a 30m chart. Volume Profile is a different thing, but has also very often been restricted to RTH, albeit on any time frame, so what you have looks nice and viable.
      Thank You for the replay.
      Yes, You are right. Market Profile is based on TPO, but i try to combine the two in one indicator. I personally prefer to put more weight on the volume profile. I think, that the volume around a certain price is more significant, then the time was spent on that price(just my opinion). I do not say that the time is not important, that's why i will combine them. Most of the work is already done, i just stuck on that after market volume. The pre-market volume is not that significant, but the after market is another thing...I'm not sure, that i have to ignore it.....Sometimes we have huge volume at the end of the day, and this continues after the closing bell...I just want to be sure what i have to program, i do not want to do double job after that. If i have to use only the RTH session....seems to me too easy, but the life is not that easy :-). (most of the time).

      Thanks again.

      Comment


        #4
        Originally posted by krasisoft View Post
        Thank You for the replay.
        Yes, You are right. Market Profile is based on TPO, but i try to combine the two in one indicator. I personally prefer to put more weight on the volume profile. I think, that the volume around a certain price is more significant, then the time was spent on that price(just my opinion). I do not say that the time is not important, that's why i will combine them. Most of the work is already done, i just stuck on that after market volume. The pre-market volume is not that significant, but the after market is another thing...I'm not sure, that i have to ignore it.....Sometimes we have huge volume at the end of the day, and this continues after the closing bell...I just want to be sure what i have to program, i do not want to do double job after that. If i have to use only the RTH session....seems to me too easy, but the life is not that easy :-). (most of the time).

        Thanks again.
        Actually my real purpose was to congratulate you on how well the indicator looked, and to point out some considerations, rather than to spark a discussion of how to trade with the Market/Volume profiles, especially as I have now moved pretty much completely away from them and trade based almost entirely on calculating expectancy ratios for my trades, and entering solely on the basis of a high enough expectancy within maximum loss limits and minimum reward limits. I still use them for post-mortem and for swing trade analysis though, as they help determine my aggression levels.

        Further to that, maybe I can suggest that you program both to be able to handle 24hrs with no adjustments, but simply show Market Profile differently for after hours (with lower case letters perhaps). After that, as far as segregating hours, NT Session Templates already take care of that. Maybe you could also just use a different color for after hours on the Volume Profile too.

        For they that are still using the Profile methods, I can see how that might be helpful?
        Last edited by koganam; 10-01-2016, 09:47 AM. Reason: Corrected grammar.

        Comment


          #5
          I added the pre-market activity. It is calculating the Net Short and Net long in percentage according to the Settlement Price from the last session(the little green dot).
          Attached Files
          Last edited by krasisoft; 04-20-2016, 07:56 AM.

          Comment


            #6
            Here is the new version:
            1. collecting the historical tick volume information and save it on the HDD in folder:C:\Program Files (x86)\NinjaTrader 7\KrMarketProfile\
            2. Shows the date for each histogram
            3. Yellow dot is the settlement price, the green dot is the open price.
            Feel free to report any bugs. Suggestions and advises are welcome.
            Attached Files

            Comment


              #7
              Originally posted by krasisoft View Post
              Here is the new version:
              1. collecting the historical tick volume information and save it on the HDD in folder:C:\Program Files (x86)\NinjaTrader 7\KrMarketProfile\
              2. Shows the date for each histogram
              3. Yellow dot is the settlement price, the green dot is the open price.
              Feel free to report any bugs. Suggestions and advises are welcome.
              Suggestions:
              • A preliminary look seems to indicate that you have marked the Volume POC and Value Area. Maybe you want to allow the user to mark either the TPO values or the Volume Profile values or both?
              • Publish those values in the panel that you put at the top left of the chart?
              • Make it possible for the user to specify the location of said information panel?

              Great job. It looks much better than the TPO Profile that I coded, but we never released because during beta, we kind of started moving away from trading methods that used so much discretion and interpretation. We were thinking of releasing our TPO Profile for free, but given that yours already looks much better, there is now no need to do so.

              Thanks.
              Last edited by koganam; 10-01-2016, 09:48 AM. Reason: Corrected spelling.

              Comment


                #8
                Originally posted by koganam View Post
                Suggestions:
                • A preliminary look seems to indicate that you have marked the Volume POC and Value Area. Maybe you want to allow the user to make either the TPO values or the Volume Profile values or both?
                • Publish those values in the panel that you put at the top left of the chart?
                • Make it possible for the user to specify the location of said information panel?

                Great job. It looks much better than the TPO Profile that I coded, but we never released because during beta, we kind of started moving away from trading methods that used so much discretion and interpretation. We were thinking of releasing our TPO Profile for free, but given that yours already looks much better, there is now no need to do so.

                Thanks.
                TPO will be the next step. I will try to avoid "information panel" looks ugly...I'm using it only for debugging purposes for now
                Thanks for the post.

                Comment


                  #9
                  Here is the new version with TPO and few extras.
                  p,p, You have to delete the old data(made from previous versions). Just delete this folder: C:\Program Files (x86)\NinjaTrader 7\KrMarketProfile\. Then the indicator will work as it suppose to.

                  Thanks!
                  Attached Files
                  Last edited by krasisoft; 05-16-2016, 04:20 PM.

                  Comment


                    #10
                    Problem with the KrMP indicator

                    I downloaded and installed the indicator - and no errormessages. But the indicator does not work. When i put it in a chart, the background becomes grey and in the upper left corner a green window appears with info for Total Volume, Tick Count, etc. All zero. And in the indicator info there is nothing that can be changed. No info about color, transparency, numbers, etc, etc.

                    And in the Label info the text is following: The KrMarketProfile (Moving Average Convergence/Divergence) is a tend following momentum indicator that show the relationsship between...

                    The indicator is in the indicators list, but cannot be found if I try to edit indicator.

                    What´s the problem? I´ve removed it according to instructions and installed it again. But with the same result.

                    Comment


                      #11
                      Hi!
                      Thank You for your interest...The indicator is still in beta testing. I tested the indicator with Windows 7 Pro and the time zone is (UTC-5:00)Eastern Time (US & Canada). The NT7 Version is: 64-bit 7.0.1000.31.
                      Could You please tell me wich kind of system you have and Your timezone, and attach a screenshot of what you see on the screen. Like that, i will try to reproduce the same situation and see what is the problem. Right now the indicator will work for S&P500, Russell2000 on 5-min chart and will collect information for the last 5 days(1 week).
                      See the attachment how it supposed to be when it is working correctly.

                      p.p. There is NO parameters that You can change..not jet. It is beta version.

                      V 2.2 with few fixes is here. Now will work with charts up to 1hour:
                      Attached Files
                      Last edited by krasisoft; 11-01-2017, 08:09 AM.

                      Comment

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