VolumeProfile

Library "VolumeProfile"
Analyzes volume and price and calculates a volume profile, in particular the Point Of Control and Value Area values.

new(rowSizeInTicks, valueAreaCoverage, startTime)
Constructor method that creates a new Volume Profile
Parameters:
rowSizeInTicks (float): Internal row size (aka resolution) of the volume profile. Useful for most futures contracts would be '1 / syminfo.mintick'. Default '4'.
valueAreaCoverage (int): Percentage of total volume that is considered the Value Area. Default '70'
startTime (int): Start time (unix timestamp in milliseconds) of the Volume Profile. Default 'time'.
Returns: VolumeProfile object

method calculatePOC(vp)
Calculates current Point Of Control of the VP
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
Returns: void

method calculateVA(vp)
Calculates current Value Area High and Low of the VP
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
Returns: void

method update(vp, h, l, v, t)
Processes new chart data and sorts volume into rows. Then calls calculatePOC() and calculateVA() to update the VP. Parameters are usually the output of request.security_lower_tf.
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
h (array<float>): Array of highs
l (array<float>): Array of lows
v (array<float>): Array of volumes
t (array<int>): Array of candle times
Returns: void

method setSessionHigh(vp, h)
Sets the high of the session the VP is tracking
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
h (float)
Returns: void

method setSessionLow(vp, l)
Sets the low of the session the VP is tracking
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
l (float)
Returns: void

method getPOC(vp)
Gets the current Point Of Control
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
Returns: Point Of Control (float)

method getVAH(vp)
Gets the current Value Area High
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
Returns: Value Area High (float)

method getVAL(vp)
Gets the current Value Area Low
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)
Returns: Value Area Low (float)

VolumeProfile
Fields:
rowSizeInTicks (series float)
valueAreaCoverage (series int)
startTime (series int)
valueAreaHigh (series float)
pointOfControl (series float)
valueAreaLow (series float)
sessionHigh (series float)
sessionLow (series float)
volumeByRow (map<float, float>)
totalVolume (series float)
pocRow (series float)
pocVol (series float)

Notas de prensa

v2:
- update session high/low while reading new data

Notas de prensa

v3: use middle of area with same volume for point of control (especially important on first candle).

Notas de prensa

v4: fix v3 and other bugs that mainly affected PoC and VA calculation when little data is available at the beginning of a VP session

Notas de prensa

v5: hopefully the final bugfix release - I wish pine script made it easier to develop libraries

Notas de prensa

v6: restore intended v3 functionality

Notas de prensa

v7

Big update to improve accuracy.

Updated:
new(sessionTime, sessionTimezone, valueAreaSize, showVP)
Parameters:
sessionTime (string)
sessionTimezone (string)
valueAreaSize (int)
showVP (bool)

method getPOC(vp)
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)

method getVAH(vp)
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)

method getVAL(vp)
Namespace types: VolumeProfile
Parameters:
vp (VolumeProfile)

update(vp)
Parameters:
vp (VolumeProfile)

VolumeProfile
Fields:
sessionTime (series string)
sessionTimezone (series string)
valueAreaSize (series int)
showVP (series bool)
pointOfControl (series float)
valueAreaHigh (series float)
valueAreaLow (series float)
volumeByPricePoint (map<float, float>)
totalVolume (series float)
pocVolume (series float)
profileBoxes (array<box>)

Notas de prensa

v8

Added:
updateVP(vp)
Parameters:
vp (VolumeProfile)

Removed:
update(vp)

Biblioteca Pine

Fiel al espíritu de TradingView, el autor ha publicado este código de Pine como biblioteca de código abierto, para que otros programadores de nuestra comunidad puedan reutilizarlo. ¡Enhorabuena al autor! Puede usar esta biblioteca de forma privada o en otras publicaciones de código abierto, pero su reutilización en publicaciones está sujeta a nuestras Normas internas.

tom-tempest

Exención de responsabilidad

La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.

Biblioteca Pine

tom-tempest