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Market Profile

CBOT Market ProfileŽ for TradeStation 2000i  and TradeStation 8SMALLNEW.GIF (926 bytes)

This one day profile shows most of all what you can see with the Professional Package.
Click on the above thumbnail image to get the full picture.  
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

1.Market ProfileŽ Graphic Display Indicator

1.1 A typical example:

Market ProfileŽ (10 min bars) using the default values explained below.

Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation TechnologiesBack to top

1.2 New in this version
TradeStation2000i and TradeStation 6 only  

  • Check the new inputs in the next chapter.

  • The new version allows long term profiles, unfold display, all customisable.

  • TPO counts with  two version ( regular CBOT and ours)

  • The MP user function returns all the values of the profiles, including long term profiles distribution.

weeklyprofile.gif (47843 octets) 
Long term profiles ( here weekly)
Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation 6 ™  by TradeStation Technologies

 

unstackprofile.gif (32766 octets)
 Unfold display
Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation 2000i ™  by TradeStation Technologies

1.3 All the inputs parameters and their use.

TradeStation2000i and TradeStation 6 only      TradeStation 4 and all versions above

INPUTS

EFFECT

COMMENTS

SMALLNEW.GIF (926 bytes)tickfactor(10000)

divides the # of ticks by...

For use with huge  volume stocks

SMALLNEW.GIF (926 bytes)real(1)

1 means CBOT regular TPO counts. 0 means alternate count

Alternate count stands for several TPO letters by time unit

SMALLNEW.GIF (926 bytes)Initbal(0)

> 0 display using minuscules, < 0 uses spaces.

Displays the initial balance

 

SMALLNEW.GIF (926 bytes)Extend(0)

if <>0 uses the enlarged display ( unstacked)

TPO count unfoldsSMALLNEW.GIF (926 bytes)

SMALLNEW.GIF (926 bytes)stack(0)

 

-1..-5 day of week, 
1-31= dayofmonth,
>100 mod(count,stack-100)} SMALLNEW.GIF (926 bytes)

Allows long term profilesSMALLNEW.GIF (926 bytes) (weekly, monthly, every N daySMALLNEW.GIF (926 bytes))

 SMALLNEW.GIF (926 bytes) stackdisp(0)

0 = normal TPO display
1= Day of week TPO ( Char 1..7) 
2= Day of week TPO ( Char A..G) 
3= day of month TPO (1-9.A...Z) 
4: day of month TPO (A-Z1....G) }

Affects the  letters sequence for the long term profiles

Start(0)

Set StartTime for building the daily profile

0 means Sess1StartTime. Other value after this one allowed

resol(0.2)

Set Compression (in BigPoints)

0.2 (for P500 means 1 row for each 0.2 SP move).

MP_Time(MPtime(30))

Letter Period length (30 min = default value)

Letter changes every 30 minutes (Or any value that you choose).

MP_Color(1)

Color of the Market ProfileŽ

1 to 16 values.Can be replaced by our MPTimeColor or MPOscColor function. See further.

Setloc(0)

Display Profile direction

0 = to the right 1 to the left.

Vprofile(0)

Allows tick volume profile display
(0 = disabled, therefore displays standard Market ProfileŽ).Otherwise gives the tick volume compression value.

<0: histogram of tick volume distribution.
>0: Same with one TPO letter included when change in letter occurs at a given price/tick/time level.

Vdisp(1)

Displays Tic volume counts for each price level

0 =disable numeric display for tick volume.

TPOdisp(1)

Displays TPO counts for each price level

0 =disable numeric display for TPO’s.

Per_TPO(70)

Displays the x% TPO area as a vertical bar. Here 70%.

0= Disable. Any value between 0-100 allowed.

Per_V(70)

Displays the x% tick volume area as a vertical bar. Here 70%.

0= Disable.Any value between 0-100 allowed.

Ko(8)

Color for Opening price

1 to 16 values (0= disable).

Kc(4)

Color for Closing prince

1 to 16 values (0= disable).

Kt(3)

Color of TPO area bar and maximum of TPO distribution

1 to 16 values

Kv(10)

Color of Volume area bar and maximum of tick volume distribution

1 to 16 values

delayTPO(0)

Displace the first Profile letter from the above list

0 means that you start with "A", 3 with "D" for the "Start" time value 1st period. >0 displaces to the right, <0 to the left from the start point.

Backplot(0)

Displays the Profile ONE day before current day if backplot=1.
Do not displace if backplot=0.

0 or 1.
Allows to see the current day developping on the chart (this is a remedy to the fact that TS do not allow free space on the right).

wbar(1)

Width of TPO and Volume area vertical bars

0 to 5 values if setloc =0. (Solid line).
(Thin Dashed line if setloc=1).

  • Color Codes: Black 1;Blue 2 ;Cyan 3;Green 4;Magenta 5;Red 6;
    Yellow 7;White 8;DarkBlue 9;DarkCyan 10;
    DarkGreen 11;DarkMagenta 12;DarkRed 13;DarkYellow 14;DarkGray 15;LightGray 16.

  • Letters Sequence: ABCDEFGHIJKLMNOPQRSTUVWXYZabcdefghijklmnopqrstuvwxyz,  
    then back to ABCDEF...sequence.

Back to top

1.4 Some other Market ProfileŽ that you can get.

 

This 10 min chart displays a 20 tick volume profile (VProfile=+20).
Each square or letter represents 20 ticks (rounded). Letter is displayed only
 when a change of letter occurs for a 20 tick volume move.

Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

 

Same 10 min chart with an alternate tick volume profile display:
 Here one vertical bar shows 10 ticks (VProfile=-10).

Click on the above thumbnail image to get the full picture. 
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

 

You can also display to the left (Setloc=1). Still 10 min bars, standard Market ProfileŽ 
(displays again TPO letters because we set Vprofile=0).
We have removed Tick volume column (Vdisp=0)
 and set Volume area to 50% (Per_V=50) as shows the green vertical dashed line.

Click on the above thumbnail image to get the full picture. 
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

 

You may also use tick bars (same data than above,
 but with a 40 ticks bars chart).
Again the standard Market ProfileŽ, but with a double resolution
 (resol=0.5 instead of 1 for previous examples).
MPtime was set to 15 min, so we have now twice more letters. 
First we use caps ,then normal letters ("a" comes after "Z").

Using fixed width fonts as above allows to have 
a true sight of the market distribution shape. 
You may choose any font available within Windows.

Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

1.4 Market ProfileŽ Rainbow Color

  • A special user function (MPOscColor) that you put as 
    and input of the MPColor input above .

  • This function has an interesting input: You can decide 
    to paint the Market ProfileŽ with a color sequence as above, 
    but based on the level of a given normalized indicator:

  • The profile will show by its own color the level of this indicator 
    when the considered TPO (or Tick Volume)
     was updated for the last time at this TPO (or Volume) price level.

  • The color sequence starts from black (minimum value)
     to Magenta (15 colors possible,excluding background color).

  • You can even pass an indicator (externally calculated)
     to the Color function with a Global variable DLL (example provided).

Color sequence :
(number shows color code)

01

15

16
(if Back-
ground
color)

08

13

12

06

14

07

11

04

10

03

09

02

05

Oscillator
value:

0-6.6

6.6-13

n.a.

13-20

20-26

26-33

33-40

40-47

47-54

54-60

60-67

67-74

74-80

80-86

86-93

93-100

Same data, 10 min bars resol=0.5. A Rsi (Close,5) is displayed below .

The same RSI drives the color of the Market ProfileŽ according to 
the RSI level when the considered Market ProfileŽ line was updated.
RSI was given as an example. A volatility indicator could be more meaningful.
TPO and tick volume numbers were removed for clarity.(Vdisp=0 and TPOdisp=0).

Click on the above thumbnail image to get the full picture. 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

We have just added a Tick volume profile (Vprofile =-10) to the left with 
TPO and Tick volumes numbers made visible (TPO_disp=1 and V_disp=1).
Open and close colors were allowed (Open is white (Ko=8) 
and Close is green (Kc=4) for the left Volume profile.
They were disabled for the right profile in order to stay clear with the right color code.
Obviously, we use here two Market ProfileŽ indicators to get this compounded profile.
You may save them as a TradeStation Template Analysis and apply after
 with one click to an other chart.


Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation TechnologiesBack to top

1.5 Market ProfileŽ TimeColor.

  • A special user function (MPTimeColor) that you put as and input 
    of the MPColor input above .
    Then the Market ProfileŽ display will change its color according to 
    a rainbow sequence based on time elapsed
     (15 colors, changing from Sess1Starttime to Sess1EndTime,excluding background color).

The very first example on top of this page uses this for the left profile.

Again all of this is optional, and you may compose the profile display that fits your needs.

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2. Market ProfileŽ Expert Colors and Statistical Display.

2.1 A typical example.

Some displays may overlap with the profile. 
So, you may use the zoom feature for a better reading if necessary.

Click on the above thumbnail image to get the full picture.
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Inputs settings are the same than in the array below:

Back to top

2.2 Inputs and their meaning.

INPUTS

EFFECTS

COMMENTS

Hbar(0)

Optional horizontal bar showing last price

0= disable.
>0 activate bar. (Color code passed).
<0 activates expert color (I) for the horizontal bar: color and width change according to Market ProfileŽ Statistics.

Hsize(0)

Width of Horizontal bar

0 to 5 (solid)

Start(0)

StartTime

0= Sess1StartTime, otherwise time value entered.

resol(0.5)

Profile Compression (in BigPoints)

0.2 (for P500 means 1 row for each 0.2 SP move).

Per_TPO(70)

Calculates the x% TPO area Here 70%.

0= Disable.

Per_V(70)

Calculates the x% tick volume area .Here 70%.

0= Disable.

len(4)

Size of the time X price Rotation Index square table (here 4X4)

2 to 16 (table size from 2X2 to 16X16) (Affects Rotation Index)

agreg(2)

Aggregates prices during " agreg" bars

1 to …(Cluster size)
Here we calculate the Rotation index with the 8 last bars (clustered as 2 bars in one, observed over 4 clusters)
(Affects Rotation Index)

gap(0)

Uses price with night gap removed or not.

0= gap not removed. 1= gap removed
(Affects Rotation Index)

candle(0)

Uses Candlesticks body instead of High Low bars

( Affects Rotation Index)

Kdh(15)

Top line color display

1 to 16
Negative values activates expert color (II) of the Top Line

Kdl(15)

Bottom line color display

1 to 16
Negative values activates expert color (III) of the Bottom line

Setloc(2)

Location of Top and Bottom line.

1= right (from first bar of the day).
0= left (from first bar of the day).
2= centered on first bar of the day.

Dfactor(3)

Displaces the Top and Bottom lines of "Dfactor X Resol "from the High / Low of the Market ProfileŽ

Better reading according to font size and screen size

preci(2)

Precision of display for prices

Affects Top and Bottom line.

backplot(0)

Displays the info bar ONE day before current day if backplot=1.
Do not displace if backplot=0.

0 or 1.
Allows to see the current day developping on the chart (this is a remedy to the fact that TS do not allow free space on the right).

ThresTff(3)

Threshold for Trade Facilitation Factor

Used only when Expert Color II is turned on.

These inputs are merged in the same code with the Tradestation 2000i and Tradestation 6 versions

 

Back to top

Effect of "Backplot "input for both indicators (MarketProfile and Market Info).
Setting both to 1 displaces the figure one day back 
and let more room for the current day under construction

Click on the above thumbnail image to get the full picture.  
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

Rotation Index:

Prices are observed through a grid where horizontal
 dimension is time and vertical dimension is price.
Each time that a price falls into a cell (means at a given price and at a given date),
 a "1" value is stored in the considered cell. Otherwise a zero value is stored for this cell.
Then all cells are summed and the result is normalized between 0 and 1.
A Rotation Index value below 0.6 means that a trend is occurring 
(price do not rotate very much, then have a direction), otherwise the trend is not declared.
As for any trend /trading range indicator, the response time 
is growing function of the window period used for observation (Here "Len X Agreg").
This indicator is originally from a daily concept, but it may be used 
with intraday data (gap removed and candlestick choices are better).
The Rotation Index do not give the direction of the trend 
(for that you may observe in what Quadrant falls the last price). 
This Quadrant of Close is expressed on a 0% 100% scale 
(see Qd% field on the Bottom display line).

For example:

Rotation Index =1. Qd%=100. Perfect Trend Up
 (Bars are moving higher without overlapping. Last close is in the highest Quadrant).

Perfect UPTREND (Ri=1)

t-3

t-2t

t-1

t0.

Highest Price Quadrant

0

0

0

1

Mid High Quadrant

0

0

1

0

MidLow Quadrant

0

1

0

0

Lowest price Quadrant

1

0

0

0

Rotation Index =1. Qd%=0 Perfect Trend Down 
(Bars are moving lower without overlapping. Last close is in the Lowest Quadrant).

Perfect DOWNTREND (Ri=1)

t-3

t-2t

t-1

t0.

Highest Price Quadrant

1

0

0

0

Mid High Quadrant

0

1

0

0

MidLow Quadrant

0

0

1

0

Lowest price Quadrant

0

0

0

1

Rotation Index =0: Qd%=75%. No trend at all, as all bars (or clustered bars) overlap.

Perfect ROTATION (Ri=0)

t-3

t-2t

t-1

t0

Highest Price Quadrant

1

1

1

1

Mid High Quadrant

1

1

1

1

MidLow Quadrant

1

1

1

1

Lowest price Quadrant

1

1

1

1

From an article by Donald L. Jones and Christopher J. Young 
as appearing in Technical Analysis of Stocks and Commodities, June 1990.
Original concept was applied to long term Profiles (Overlay Profiles). 
Adaptation to Intraday data and Market ProfileŽ by Pierre Orphelin, Sirtrade International.

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Trade Facilitation Factor (Tff):

This is the number of TPO's divided by the range. 
the higher the value, the less trend was present. Normal days have a high Tff value.

Displayed in the Top line.

Expert Colors:

Expert Color I: (Affects horizontal close line color and size)

Possible Usage: Trending days.

  • Last price above TPO area and above Volume area: Horizontal line turns blue and thicker.

  • Last price below TPO area and below Volume area: Horizontal line turns red and thicker.

  • Last price above TPO area or Volume area: Horizontal line turns blue, default size.

  • Last price below TPO area or Volume area: Horizontal line turns red, default size.

  • Price Inside area(s) or disagree: Horizontal line has default color, default size.

 

Expert Color II: (Affects Top line color)

Possible Usage: Trading days (normal days) and trending days.

  • if Trade Facilitation Factor<thresTff then:

    • if Qd%>50% and Rotation index<0.6 then Color=green; 
      (Rotation index is trending, Trade Facilitation Factor is below threshold 
      (trend possible) and Quadrant of close is above 50%).

    • if Qd%<50% and Rotation index<0.6 then Color=red; 
      (Rotation index is trending, Trade Facilitation Factor is below threshold 
      (trend possible) and Quadrant of close is below 50%).

  • if Trade Facilitation Factor>thresTff then:

    • if Qd%>50% and Rotation index>0.6 then Color=dark green ;
      (Rotation index is not trending ,
      and Trade Facilitation Factor is above threshold (normal day possible)).

    • if Qd%<50% and Rotation index>0.6 then Color =dark red;  
      (Rotation index is not trending ,
      and Trade Facilitation Factor is above threshold (normal day possible)).

  • Other cases: Color = Default color.

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Expert Color III: (Affects Bottom line color)

Possible Usage: Trading days (normal days).

  • if percentage of TPO's above maximum of TPO's distribution>50% 
    of total TPO's and percentage of Ticks above maximum 
    of Tick Volume distribution>50% of total ticks then Color=dark green;
     (%T>50 et %V>50).

  • if percentage of TPO's below maximum of TPO's distribution<50%
    of total TPO's and percentage of Ticks below maximum of Tick Volume 
    distribution <50% of total ticks then Color=dark red; (%T<50 et %V<50).

  • Other cases: Color = Default color.

Same example than above, but Expert Colors I, II, III have been activated 
by using negative inputs (Hbar=-1, Kdh=-1, Kdl=-15).
The color displayed is the last known at the end of the day,
so this snapshot is meaningless as you can't see here how colors change during the day.
The Market ProfileŽ User Function below allows also you to write your own expert color display.

Click on the above thumbnail image to get the full picture. 
 
Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).
Printed using TradeStation™ 4 by TradeStation Technologies

Back to top

3 Market ProfileŽ User Function.

  • The function returns an array of values  with the Tradestation 2000i and TradeStation 6 versions (see below).

  • SMALLNEW.GIF (926 bytes)This version allows to retrieve ALL the Market Profile  display ( TPO and Volume count) values in a second array.

  • It also works with SMALLNEW.GIF (926 bytes)long term profiles.

TradeStation version 4 input description:

  • This Easy Language function allows to calculate and export 
    to a TradeStation Array 21 calculations (21 variables stored in an array)
     into an indicator or a system of your own.

  • Allows to use Market ProfileŽ results in your trading system.

  • Build your own Market ProfileŽ expert, alerts, paintbars and so on.

  • Speed of calculation. Only one call to the function per bar.

  • Same inputs, same meaning than the Market ProfileŽ Display Indicator 
    (§1)and the Market ProfileŽ Statistics indicator (§2).

INPUTS

COMMENTS

Start(numericsimple)

0= Sess1StartTime, otherwise time value entered.

resol(numericsimple)

Profile Compression (in BigPoints)

Per_TPO(numericsimple)

Calculates the x% TPO area

Per_V(numericsimple)

Calculates the x% tick volume area .

Rotation index only:

Rotation index only:

len(numericsimple)

Size of the time X price Rotation Index square table

agreg(numericsimple)

Aggregates prices during " agreg" bars

gap(numericsimple)

candle(numericsimple)

Uses price with night gap removed or not.
Uses Candlesticks body instead of High Low bars

SMALLNEW.GIF (926 bytes)tickfactor(10000)

divides the # of ticks by...

For use with huge  volume stocks

Tradestation 2000i and TradeStation 6 only 

SMALLNEW.GIF (926 bytes)real(1)

1 means CBOT regular TPO counts. 0 means alternate count. Alternate count stands for several TPO letters by time unit

Tradestation 2000i and TradeStation 6 only 

SMALLNEW.GIF (926 bytes)stack(0)

 

-1..-5 day of week, 
1-31= dayofmonth,
>100 mod(count,stack-100)} SMALLNEW.GIF (926 bytes)Allows long term profiles (weekly, monthly, every N day)

Tradestation 2000i and TradeStation 6 only 

Back to top

Returned values: ( Tradestation 4 and above)

Array Element:

Returned value

REST[0]=

0 if Market ProfileŽ not active, 1 otherwise.

REST[1]=

Compression (resol)

REST[2]=

True Open (open of the day)

REST[3]=

Rotation Index (%)

REST[4]=

Trade Facilitation Factor

REST[5]=

Quadrant of Close (%)

REST[6]=

Open of Market ProfileŽ

REST[7]=

Lowest of the day for Market ProfileŽ period

REST[8]=

Highest of the day for Market ProfileŽ period

REST[9]=

Maximum of TPO distribution

REST[10]=

Maximum of tickVolume distribution

REST[11]=

Half range of TPO area (in increments)

REST[12]=

Half range of Volume area (in increments)

REST[13]=

% TPO above maximum of distribution

REST[14]=

Total TPO’s of the day

REST[15]=

% TPO above maximum of distribution

REST[16]=

Total tick Volume of the day

REST[17]=

High boundary of TPO area

REST[18]=

Low boundary of TPO area

REST[19]=

High boundary of tick Volume area

REST[20]=

Low boundary of tick Volume area

 

For example, in a system you may call the MP Function, then write:

if REST[3]<0.6 then begin {Rotation Index is trending (below 0.6)}

buy 1 contract at REST[17] stop;
sell 1 contract at REST[18] stop; {Buy/ sell at a TPO area breakout}

end else begin {Trend disappear because Rotation Index climbs above 0.6, so we exit the position.}

exitlong;
exitshort

end;

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Ordering: see the ORDER section of this web

PRICE:  Professional MP Package including:

  • Market ProfileŽ (display)

  • Market ProfileŽ I (statistics)

  • Market ProfileŽ User Function (for use in your trading systems)
    Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).

is 400 €  yearly  +7US$ CBOT monthly fee (12 months due  in advance, not included).
2nd year and after  200 €  yearly  +7US$ CBOT monthly fee

VAT not included for EC users.
Provide your name , address, TradeStation or Supercharts Realtime Block Number or Customer ID


TradeStation Code Š1997-2001 Pierre Orphelin.
Sirtrade International 110, avenue du President Wilson -F93100 Montreuil. FRANCE.

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See also...

Up
General
Maximum Entropy
Lomb Periodogram
FFT filtering
Market Profile
Overlays
Tomorrow DLL
Compression Bars
Pt & Figures DLL
Equity Curve

 

Market profileŽ 

PROFESSIONAL MP PACKAGE for TradeStation

USES CBOT Market ProfileŽ

NOW 
available for the TradeStation 8
and TradeStation 2000i Platform.


Market ProfileŽ is a registered trademark of the CBOT (Chicago Board of Trade).