Program 86 uses the Price Series Provider class to create a volume profile for specified periods during the day starting at a user input time and for subsequent days, the beginning of the day . The length of this period is determined by a user input: RepeatTime. When this time elapses the volume profile is calculated and drawn. Data collection then starts for the next recurring period. This is repeated throughout the day. The profile is color coded between 2 user specified colors: HistColor1 and HistColor2.
Note: Because the drawing tool used in this program can only draw to specific bars, the lengths of the profile are an approximation.
Having calculated the volume profile, _Program 86v1 then calculates at which price level most volume occurred during the period being analyzed. It plots three horizontal lines at the following levels:
- The price high of the period being analyzed
- The price low of the period being analyzed
- The price at which the highest volume occurred during the PREVIOUS period analyzed
_Program 86v1 was designed and tested with TradeStation 10. It works on intraday minute bars.
Please not that the profiles are drawn from the Starttime bar, however because the time of the bar actually indicates the end time of the bar, the activity that occurred within the StartTime bar is not included in the analysis.
The RepeatTime input determines both the time period over which the analysis takes place and when the analysis is repeated. For example, if 5 minute bars were used and the StartTime set to 1000, and RepeatTime set to 60 then the initial period analyzed would be the first tick after 1000 to 1100. The analysis would then be automatically repeated for the first tick after 1100 to 1200, first tick after 1200 to 1300 etc.
This program will not work in MultiCharts because it uses the TradeStation collections and other functionality that is not available in the MultiCharts environment.
The above illustration shows program 86 applied to a 1 minute AMZN chart
Calculation of the volume histogram
At the close of each recurring period, the program looks back through the Price Series Provider (PSP) to find the volume (or tick counts depending on settings) at each price level. At the close of each bar program 86 stores volume into a dictionary with a key of the closing price of the bar converted to a string. If a key-value pair already exists in the dictionary for the price, the volume is added to the existing volume for that price. If a key-value pair does not exist then one is created and the volume is stored. Once all the volume data has been collected and stored, for the entire period, the levels are then copied into vectors to be sorted. The price level with the maximum volume is the pivot. The dictionary is cleared before data collection for a new period begins.
Video explaining program 86
The tutorial is NOT compatible with MultiCharts.
Colors available for LineColor input
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