Market Profile

[Sartis23]

Attached is code for a very basic and rough market profile indicator. It is designed to run on the full globex session, do not limit it to just the day session. To eliminate the price bars, I simply changed them to transparent line on close. I haven't had time yet to add any bells and whistles, or to even code a lot of the variables to allow alteration in the indicator menu. I will add later if there is any interest.

v1.1 - Extensive retool - fixed real-time glitches and added
efficiency improvements.

v1.2 - Added day-session split capability and coded some variables to be menu driven by the user.

[NinjaTrader_Ray]

Thanks for the contribution. We would appreciate it if you could post the indicator in the File Sharing Indicator section.

Thanks

[thrunner]

Thank you Sartis. I have compared the values from your MP code with some published data on the ES. They appear to confirm on narrow range days, but they could be off by a substantial amount after a wide range day (see highlighted after a wide range on 4/1/08 and 4/11/08). I guessed the differences could be due to the inclusion of after hour Globex session, but that is something that this code can't avoid right now (also limited to 30 minute bars). This is a very good effort and hopefully with a few patches, it could be more accurate. Thanks again.



An Excel xls spreadsheet file is also attached. The published data is from mypivots.

[Sartis23]

I checked that site's calculations against the TS output that I used as the basis of my Ninja code. The TS version is very close, even on the days you highlighted. My server data is currently down (Amp) so I can't check with good data on Ninja. It may be something was lost in translation, but I beleive that the overall approach is reasonably sound. When I get decent data again, I will check back over those days and see what might be causing problems in Ninja - it may be nothing more than a faultly reset for new days. Thanks for the feedback.

[Sartis23]

I finally reloaded Ninja and got my data feed up this morning. When things first loaded, I got the strange readings that you did for those days. What I did, was delete my minute historical data for the ES, close the chart, create a new chart and then add the market profile. You can see that here it has numbers that are roughly comparable to that website. The indicator seems to be acting as designed. The differences seem to be in the data sets. I need to do more work on it, but that is where I am at this point.

[darthtrader]

thats fantastic Sartis, thank you very much.

[Sartis23]

I am getting a lot of glitches running it in real-time. It clearly needs some a fair amount of work yet.

[shreem]

Excellent work on MP

Hello Sartis23, thanks a lot for you efforts into coding a MP indicator. Very much appreciated and certainely greatly interested in your development of this indicator.

That is truly amazing how you can develop this.


Thanks a lot again

Much happy to have found this

Sincerely

Shreem

[Sartis23]

I have continued to work on this indicator. I think it is finally fairly functional, but I am sure that more glitches will surface. I will add multi-day sessions next and look to add the capability to specify multiple ticks per letter for wide range days and instruments like the YM.

[shreem]

question on MP indicator

Hello Dear Sartis23, thanks a lot for your improvement on this indicator. Your work is really great and very much appreciated. Especially as I am really dumb about any programming so a big hat to you to be able to do that.

Little question for you if I may ask.

Is there a possibility to diminish the space between the different vertical lines of letters so that the letters from left to right can be more nearer together and at the same the clarity of each letter being easily seen?

Thanks a lot in advance and if it requires to much work for you to do it or it is not possible to do it, just disreguard this question.

As an exemple, please see the attached picture of the current profile on EUR-USD spot forex.

What I am interested is being able to keep the same visual clarity when seeing each letter or TPO being printed and at the same time, from left to right, each vertical lines of letters being nearer from each others so that the market profile can be more united when looking at it.

Hope you understand my point and again thanks a lot for you great indicator.

Edit: Please see the 2 arrows that I have drawn to express my idea.


Sincerely

Shreem

[nasdaq5048]

Can anyone save the change of parameters? Everytime i restart ninjatrader, the parameters goes back to its initial state. How can you save the start time and end time?

[nasdaq5048]

Never mind, i figure out how to change the time by modifying the code. Anyway, thanks a million for the code.

[Ninja B]

Thanks for this

[subq]

you can check your numbers against the below CBOT market profile levels which are updated daily and cover quite a few markets

http://www.charthub.com/chart/search/mpchart

solid yellow = POC
dashed yellow = Volume POC
solid green = Value Area
dashed green = Volume Value Area
blue = IB

yellow tpo profile, gray volume profile

[Carol]

Market Delta

Has anyone had experience in utilizing MarketDelta for trading the market profile info from the exchange. I understand it is an add-on but it looks like it might be helpful.