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April 3, 2023 14:36
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Volume Profile Price by Volume - Fixed Range
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| //@version=5 | |
| // ══════════════════════════════════════════════════════════════════════════════════════════════════ // | |
| //# * ══════════════════════════════════════════════════════════════════════════════════════════════ | |
| //# * | |
| //# * Study : Volume Profile / Price by Volume - Fixed Ragne | |
| //# * Author : © dgtrd | |
| //# * | |
| //# * Revision History | |
| //# * Release : Feb 23, 2022 | |
| //# * Update : Feb 27, 2022 : added volume indicator (histogram) | |
| //# * Update : Feb 28, 2022 : volume indicator now has a moving average option | |
| //# * Update : Mar 10, 2022 : horizontal offset option added, applicable for volume profile placed on right side | |
| //# * Update : Mar 15, 2022 : added bull/bear volume dominace histogram | |
| //# * Update : Apr 09, 2022 : aesthetic tweaks | |
| //# * Update : Apr 25, 2022 : value area addition | |
| //# * Update : Jul 13, 2022 : visable range optin added, thnaks to pine latest update | |
| //# * | |
| //# * ══════════════════════════════════════════════════════════════════════════════════════════════ | |
| // ══════════════════════════════════════════════════════════════════════════════════════════════════ // | |
| // ---------------------------------------------------------------------------------------------- // | |
| // Functions ----------------------------------------------------------------------------------- // | |
| f_drawLabelX(_x, _y, _text, _xloc, _yloc, _color, _style, _textcolor, _size, _textalign, _tooltip) => | |
| var id = label.new(_x, _y, _text, _xloc, _yloc, _color, _style, _textcolor, _size, _textalign, _tooltip) | |
| label.set_xy(id, _x, _y) | |
| label.set_text(id, _text) | |
| label.set_tooltip(id, _tooltip) | |
| label.set_textcolor(id, _textcolor) | |
| f_drawLineX(_x1, _y1, _x2, _y2, _xloc, _extend, _color, _style, _width) => | |
| var id = line.new(_x1, _y1, _x2, _y2, _xloc, _extend, _color, _style, _width) | |
| line.set_xy1(id, _x1, _y1) | |
| line.set_xy2(id, _x2, _y2) | |
| line.set_color(id, _color) | |
| id | |
| // Functions ----------------------------------------------------------------------------------- // | |
| // ---------------------------------------------------------------------------------------------- // | |
| indicator("Volume Profile and Indicator by DGT", "VP ʙʏ DGT ☼☾", true, max_bars_back = 5000, max_lines_count = 500, max_boxes_count = 500) | |
| // ---------------------------------------------------------------------------------------------- // | |
| // Volume Profile (Price by Volume) / Volume Histogram ------------------------------------------ // | |
| group_volume_profile = 'Volume Profile / Price by Volume' | |
| tooltip_volume_profile = 'Volume Profile (also known as Price by Volume) is an charting study that displays trading activity over a specified time period at specific price levels' | |
| tooltip_dominace = 'Bull/Bear Dominance displays the dominat party at the specific price levels\n' + | |
| ' - red rows : selling pressure is higher\n' + | |
| ' - green rows : buying pressure is higher\n\nnarrow rows does not mean no interest at that price levels but equlibrium between selling and buying trading activity' | |
| volumeProfile = input.bool(true, 'Volume Profile (Common Interest)' , group = group_volume_profile, tooltip = tooltip_volume_profile) | |
| profileDisplay = input.string('Up/Down', 'Volume', options = ['Up/Down', 'Total'], inline='ZZ' , group = group_volume_profile) | |
| upVolumeColor = input.color(color.new(#1592e6, 30), '' , inline='ZZ' , group = group_volume_profile) | |
| downVolumeColor = input.color(color.new(#fbc123, 30), '' , inline='ZZ' , group = group_volume_profile) | |
| nonVaColor = input.color(color.new(#5d606b, 80), '' , inline='ZZ' , group = group_volume_profile) | |
| bullBearStr = input.bool(true, 'Bull/Bear Dominance, Bull' , inline='BB' , group = group_volume_profile, tooltip = tooltip_dominace) | |
| bbStrUpColor = input.color(color.new(#26a69a, 30), '' , inline='BB' , group = group_volume_profile) | |
| bbStrDownColor = input.color(color.new(#ef5350, 30), 'Bear' , inline='BB' , group = group_volume_profile) | |
| pointOfControl = input.bool(true, 'Point of Control Line' , inline='PoC', group = group_volume_profile) | |
| pocColor = input.color(color.new(#ff0000, 0), '' , inline='PoC', group = group_volume_profile) | |
| pocWidth = input.int(2, '', minval = 1 , inline='PoC', group = group_volume_profile) | |
| isValueArea = input.float(68, "Value Area Volume %", minval = 0, maxval = 100 , group = group_volume_profile) / 100 | |
| valueAreaHigh = input.bool(true, 'Value Area High (VAH) Line ' , inline='VAH', group = group_volume_profile) | |
| vahColor = input.color(color.new(#2962ff, 0), '' , inline='VAH', group = group_volume_profile) | |
| vahWidth = input.int(2, '', minval = 1 , inline='VAH', group = group_volume_profile) | |
| valueAreaLow = input.bool(true, 'Value Area Low (VAL) Line ' , inline='VAL', group = group_volume_profile) | |
| valColor = input.color(color.new(#2962ff, 0), '' , inline='VAL', group = group_volume_profile) | |
| valWidth = input.int(2, '', minval = 1 , inline='VAL', group = group_volume_profile) | |
| vaBackground = input.bool(true, 'Background Color of Value Area' , inline='vBG', group = group_volume_profile) | |
| vaBackgroundColor = input.color(color.new(#2962ff, 89), '' , inline='vBG', group = group_volume_profile) | |
| priceLevels = input.string('Value Area High/Low', 'Price Levels', options = ['Profile High/Low', 'Value Area High/Low', 'None'], inline='BBe', group = group_volume_profile) | |
| labelColor = input.color(color.new(#9598a1, 0), '' , inline='BBe', group = group_volume_profile) | |
| lookback = input.string('Fixed Range', 'Lookback Range', options = ['Fixed Range', 'Visable Range'], group = group_volume_profile) | |
| lookbackLength = input.int(360, 'Lookback Length / Fixed Range', minval = 10, maxval = 5000, step = 10 , group = group_volume_profile) | |
| lookbackLength := last_bar_index < lookbackLength ? last_bar_index : lookbackLength | |
| profileLevels = input.int(100, 'Number of Rows' , minval = 10, maxval = 150 , step = 1 , group = group_volume_profile) | |
| profilePlacement = input.string('Right', 'Placment', options = ['Right', 'Left'] , group = group_volume_profile) | |
| profileWidth = input.int(75, 'Profile Width', minval = 21, maxval = 150 , group = group_volume_profile) | |
| horizontalOffset = input.int(5, 'Horizontal Offset', minval = 0 , maxval = 50 , group = group_volume_profile) | |
| applyBackColor = input.bool(true, 'Background Fill of Profile Range' , inline = 'BG', group = group_volume_profile) | |
| backgroundColor = input.color(color.new(#2962ff, 95), '' , inline = 'BG', group = group_volume_profile) | |
| group_volume = 'Volume Histogram' | |
| tooltip_volume = 'The Volume indicator is used to measure how much of a given financial asset has traded in each specific candle' | |
| volumeHistogram = input.bool(true, 'Volume Histogram' , group = group_volume, tooltip = tooltip_volume) | |
| volumeMA = input.bool(true, 'Volume MA, Length' , inline='vol2', group = group_volume) | |
| volumeMALength = input.int(21, '', minval = 1 , inline='vol2', group = group_volume) | |
| volumeUpColor = input.color(color.new(#26a69a, 30), 'Grawing' , inline='vol1', group = group_volume) | |
| volumeDownColor = input.color(color.new(#ef5350, 30), ' Falling' , inline='vol1', group = group_volume) | |
| volumeMAColor = input.color(color.new(#2962ff, 0), ' Volume MA' , inline='vol1', group = group_volume) | |
| volumePlacement = input.string('Top', 'Placment', options = ['Top', 'Bottom'] , group = group_volume) | |
| volumeHistHight = 11 - input.int(8, 'Hight' , minval = 1, maxval = 10 , group = group_volume) | |
| verticalOffset = input.int(0, 'Vertical Offset', minval = 0 , maxval = 20 , group = group_volume) / 20 | |
| volumeStorageT = array.new_float(profileLevels + 1, 0.) | |
| volumeStorageB = array.new_float(profileLevels + 1, 0.) | |
| var a_profile = array.new_box() | |
| var a_histogram = array.new_line() | |
| var levelAbovePoc = 0 | |
| var levelBelowPoc = 0 | |
| var pocLevel = 0 | |
| barPriceLow = low | |
| barPriceHigh = high | |
| bullCandle = close > open | |
| nzVolume = nz(volume) | |
| priceHighestFR = ta.highest(high, lookbackLength) | |
| priceLowestFR = ta.lowest (low , lookbackLength) | |
| volumeHighestFR = ta.highest(nzVolume, lookbackLength > 0 ? lookbackLength : 200) | |
| var startBarIndexX = 0 | |
| if time == chart.left_visible_bar_time | |
| startBarIndexX := bar_index | |
| if lookback == 'Visable Range' | |
| lookbackLength := last_bar_index - startBarIndexX | |
| f_getHighLow() => | |
| var htf_h = 0., var htf_l = 0., var vol_h = 0. | |
| if lookback == 'Visable Range' | |
| if time == chart.left_visible_bar_time | |
| htf_l := low | |
| htf_h := high | |
| vol_h := nzVolume | |
| else if time > chart.left_visible_bar_time | |
| htf_l := math.min(low , htf_l) | |
| htf_h := math.max(high, htf_h) | |
| vol_h := math.max(nzVolume, vol_h) | |
| else | |
| htf_h := priceHighestFR | |
| htf_l := priceLowestFR | |
| vol_h := volumeHighestFR | |
| [htf_h, htf_l, vol_h] | |
| [priceHighest, priceLowest, volumeHighest] = f_getHighLow() | |
| priceStep = (priceHighest - priceLowest) / profileLevels | |
| priceChangeRate = (priceHighest - priceLowest) / priceHighest | |
| volumeMARate = nzVolume/ta.sma(nzVolume, volumeMALength) | |
| if barstate.islast and nzVolume | |
| if array.size(a_profile) > 0 | |
| for i = 0 to array.size(a_profile) - 1 | |
| box.delete(array.shift(a_profile)) | |
| if array.size(a_histogram) > 0 | |
| for i = 0 to array.size(a_histogram) - 1 | |
| line.delete(array.shift(a_histogram)) | |
| for barIndex = 0 to lookbackLength - 1 | |
| level = 0 | |
| for priceLevel = priceLowest to priceHighest by priceStep | |
| if barPriceHigh[barIndex] >= priceLevel and barPriceLow[barIndex] < priceLevel + priceStep | |
| array.set(volumeStorageT, level, array.get(volumeStorageT, level) + nzVolume[barIndex] * ((barPriceHigh[barIndex] - barPriceLow[barIndex]) == 0 ? 1 : priceStep / (barPriceHigh[barIndex] - barPriceLow[barIndex])) ) | |
| if bullCandle[barIndex] and (profileDisplay == 'Up/Down' or bullBearStr) | |
| array.set(volumeStorageB, level, array.get(volumeStorageB, level) + nzVolume[barIndex] * ((barPriceHigh[barIndex] - barPriceLow[barIndex]) == 0 ? 1 : priceStep / (barPriceHigh[barIndex] - barPriceLow[barIndex])) ) | |
| level += 1 | |
| if volumeHistogram and array.size(a_histogram) < 500 | |
| array.push(a_histogram, line.new(bar_index[barIndex], volumePlacement == 'Top' ? priceHighest * (1 + priceChangeRate * verticalOffset) : priceLowest * (1 - priceChangeRate * verticalOffset) , bar_index[barIndex], (volumePlacement == 'Top' ? priceHighest * (1 + priceChangeRate * verticalOffset) : priceLowest * (1 - priceChangeRate * verticalOffset)) * (1 + ( volumePlacement == 'Top' ? 1 : -1) * nzVolume[barIndex] / volumeHighest * priceChangeRate / volumeHistHight), xloc.bar_index, extend.none, bullCandle[barIndex] ? volumeUpColor : volumeDownColor, line.style_solid, 2)) | |
| if volumeMA | |
| array.push(a_histogram, line.new(bar_index[barIndex], (volumePlacement == 'Top' ? priceHighest * (1 + priceChangeRate * verticalOffset) : priceLowest * (1 - priceChangeRate * verticalOffset)) * (1 + (volumePlacement == 'Top' ? 1 : -1) * nzVolume[barIndex] / volumeHighest * priceChangeRate / volumeHistHight / volumeMARate[barIndex]), bar_index[barIndex + 1], (volumePlacement == 'Top' ? priceHighest * (1 + priceChangeRate * verticalOffset) : priceLowest * (1 - priceChangeRate * verticalOffset)) * (1 + (volumePlacement == 'Top' ? 1 : -1) * nzVolume[barIndex + 1] / volumeHighest * priceChangeRate / volumeHistHight / volumeMARate[barIndex + 1]), xloc.bar_index, extend.none, volumeMAColor, line.style_solid, 2)) | |
| pocLevel := array.indexof(volumeStorageT, array.max(volumeStorageT)) | |
| if pointOfControl | |
| f_drawLineX(bar_index - lookbackLength + 1, priceLowest + (pocLevel + 0.50) * priceStep, bar_index + (profilePlacement == 'Right' ? horizontalOffset + profileWidth : 0), priceLowest + (pocLevel + 0.50) * priceStep, xloc.bar_index, extend.none, pocColor, line.style_solid, pocWidth) | |
| if priceLevels != 'None' | |
| f_drawLabelX(bar_index + (profilePlacement == 'Right' ? horizontalOffset + profileWidth + (bullBearStr ? 17 : 7) : 7), priceLowest + (array.indexof(volumeStorageT, array.max(volumeStorageT)) + .5) * priceStep, str.tostring(priceLowest + (array.indexof(volumeStorageT, array.max(volumeStorageT)) + .5) * priceStep, format.mintick), xloc.bar_index, yloc.price, color.new(pocColor, 89), label.style_label_left, color.new(pocColor, 0), size.normal, text.align_left, 'Point Of Control Price') | |
| totalVolumeTraded = array.sum(volumeStorageT) * isValueArea | |
| valueArea = array.get(volumeStorageT, pocLevel) | |
| levelAbovePoc := pocLevel | |
| levelBelowPoc := pocLevel | |
| while valueArea < totalVolumeTraded | |
| if levelBelowPoc == 0 and levelAbovePoc == profileLevels - 1 | |
| break | |
| volumeAbovePoc = 0. | |
| if levelAbovePoc < profileLevels - 1 | |
| volumeAbovePoc := array.get(volumeStorageT, levelAbovePoc + 1) | |
| volumeBelowPoc = 0. | |
| if levelBelowPoc > 0 | |
| volumeBelowPoc := array.get(volumeStorageT, levelBelowPoc - 1) | |
| if volumeAbovePoc >= volumeBelowPoc | |
| valueArea += volumeAbovePoc | |
| levelAbovePoc += 1 | |
| else | |
| valueArea += volumeBelowPoc | |
| levelBelowPoc -= 1 | |
| vah = f_drawLineX(bar_index - lookbackLength + 1, priceLowest + (levelAbovePoc + 1.00) * priceStep, bar_index, priceLowest + (levelAbovePoc + 1.00) * priceStep, xloc.bar_index, extend.none, valueAreaHigh ? vahColor : #00000000, line.style_solid, vahWidth) | |
| val = f_drawLineX(bar_index - lookbackLength + 1, priceLowest + (levelBelowPoc + 0.00) * priceStep, bar_index, priceLowest + (levelBelowPoc + 0.00) * priceStep, xloc.bar_index, extend.none, valueAreaLow ? valColor : #00000000, line.style_solid, valWidth) | |
| if applyBackColor | |
| array.push(a_profile, box.new(bar_index - lookbackLength + 1, priceLowest, bar_index + (profilePlacement == 'Right' ? profileWidth + horizontalOffset : 0), priceHighest, backgroundColor, 1, line.style_dotted, bgcolor = backgroundColor )) | |
| if vaBackground | |
| linefill.new(vah, val, vaBackgroundColor) | |
| if priceLevels != 'None' | |
| upperPriceLevel = priceLevels == 'Value Area High/Low' ? priceLowest + (levelAbovePoc + 1.00) * priceStep : priceHighest | |
| lowerPriceLevel = priceLevels == 'Value Area High/Low' ? priceLowest + (levelBelowPoc + 0.00) * priceStep : priceLowest | |
| f_drawLabelX(last_bar_index + 3, upperPriceLevel, str.tostring(upperPriceLevel, format.mintick), xloc.bar_index, yloc.price, color.new(labelColor, 89), label.style_label_left, labelColor, size.normal, text.align_left, 'Profile High - ' + str.tostring(priceHighest, format.mintick) + '\n %' + str.tostring((priceHighest - priceLowest) / priceLowest * 100, '#.##') + ' higher than the Profile Low\n\nValue Area High - ' + str.tostring(priceLowest + (levelAbovePoc + 1.00) * priceStep, format.mintick) + '\n value area volume %' + str.tostring(isValueArea * 100) + '\n\nNumber of bars : ' + str.tostring(lookbackLength) ) | |
| f_drawLabelX(last_bar_index + 3, lowerPriceLevel, str.tostring(lowerPriceLevel, format.mintick), xloc.bar_index, yloc.price, color.new(labelColor, 89), label.style_label_left, labelColor, size.normal, text.align_left, 'Profile Low - ' + str.tostring(priceLowest , format.mintick) + '\n %' + str.tostring((priceHighest - priceLowest) / priceHighest * 100, '#.##') + ' lower than the Profile High\n\nValue Area Low - ' + str.tostring(priceLowest + (levelBelowPoc + 0.00) * priceStep, format.mintick) + '\n value area volume %' + str.tostring(isValueArea * 100) + '\n\nNumber of bars : ' + str.tostring(lookbackLength) ) | |
| for level = 0 to profileLevels - 1 | |
| if volumeProfile | |
| levelColor = profileDisplay == 'Up/Down' ? level >= levelBelowPoc and level <= levelAbovePoc ? downVolumeColor : nonVaColor : level >= levelBelowPoc and level <= levelAbovePoc ? upVolumeColor : nonVaColor | |
| startBoxIndex = profilePlacement == 'Right' ? bar_index + profileWidth + horizontalOffset - int(array.get(volumeStorageT, level) / array.max(volumeStorageT) * (profileWidth - 9)) : bar_index - lookbackLength + 1 | |
| endBoxIndex = profilePlacement == 'Right' ? bar_index + profileWidth + horizontalOffset: startBoxIndex + int( array.get(volumeStorageT, level) / array.max(volumeStorageT) * (profileWidth - 9)) | |
| array.push(a_profile, box.new(startBoxIndex, priceLowest + (level + 0.1) * priceStep, endBoxIndex, priceLowest + (level + 0.9) * priceStep, levelColor, bgcolor = levelColor )) | |
| if profileDisplay == 'Up/Down' and volumeProfile | |
| startBoxIndex = profilePlacement == 'Right' ? bar_index + profileWidth + horizontalOffset - int(array.get(volumeStorageB, level) / array.max(volumeStorageB) * (profileWidth - 9) / 2) : bar_index - lookbackLength + 1 | |
| endBoxIndex = profilePlacement == 'Right' ? bar_index + profileWidth + horizontalOffset: startBoxIndex + int( array.get(volumeStorageB, level) / array.max(volumeStorageB) * (profileWidth - 9) / 2) | |
| array.push(a_profile, box.new(startBoxIndex, priceLowest + (level + 0.1) * priceStep, endBoxIndex, priceLowest + (level + 0.9) * priceStep, level >= levelBelowPoc and level <= levelAbovePoc ? upVolumeColor : nonVaColor, bgcolor = level >= levelBelowPoc and level <= levelAbovePoc ? upVolumeColor : nonVaColor )) | |
| if bullBearStr | |
| bullBearPower = 2 * array.get(volumeStorageB, level) - array.get(volumeStorageT, level) | |
| startBoxIndex = profilePlacement == 'Right' ? bar_index + profileWidth + 1 + horizontalOffset + (bullBearPower > 0 ? 1 : -1) * int(bullBearPower / array.max(volumeStorageT) * (profileWidth - 9) * 1.75) : bar_index - lookbackLength | |
| endBoxIndex = profilePlacement == 'Right' ? bar_index + profileWidth + 1 + horizontalOffset: startBoxIndex + (bullBearPower > 0 ? -1 : 1) * int(bullBearPower / array.max(volumeStorageT) * (profileWidth - 9) * 1.75 ) | |
| array.push(a_profile, box.new(startBoxIndex, priceLowest + (level + 0.1) * priceStep, endBoxIndex, priceLowest + (level + 0.9) * priceStep, bullBearPower > 0 ? bbStrUpColor : bbStrDownColor, bgcolor = bullBearPower > 0 ? bbStrUpColor : bbStrDownColor )) | |
| // Volume Profile (Price by Volume) / Volume Histogram ------------------------------------------ // | |
| // ---------------------------------------------------------------------------------------------- // | |
| // Volume Weighted Colored Bars ----------------------------------------------------------------- // | |
| group_volume_weighted_colored_bars = 'Volume Weighted Colored Bars' | |
| vwcb = input.bool(true, 'Volume Weighted Colored Bars', group=group_volume_weighted_colored_bars, tooltip='Colors bars based on the bar\'s volume relative to volume moving average') | |
| vSMA = ta.sma(nzVolume, input.int(89, 'Volume Moving Average Length', group=group_volume_weighted_colored_bars)) | |
| upThesh = input.float(1.618, 'Bold Bars avbove Volume Average * ', minval=1., step=.1, group=group_volume_weighted_colored_bars) | |
| barcolor(vwcb and nzVolume ? nzVolume > vSMA * upThesh ? open < close ? #006400 : #910000 : nzVolume < vSMA * input.float(0.618, 'Light Bars below Volume Average * ', minval=.1, step=.1, group=group_volume_weighted_colored_bars) ? open < close ? #7FFFD4 : #FF9800 : open < close ? color.green : color.red : na, title='Volume Weighted Colored Bars', editable = false) | |
| // Volume Weighted Colored Bars ----------------------------------------------------------------- // | |
| // ---------------------------------------------------------------------------------------------- // | |
| // Alerts --------------------------------------------------------------------------------------- // | |
| priceTxt = str.tostring(close, format.mintick) | |
| tickerTxt = syminfo.ticker | |
| if ta.cross(close, priceLowest + (pocLevel + .50) * priceStep) and pointOfControl | |
| alert(tickerTxt + ' Volume Profile : Price touches/crosses Point Of Control Line, price ' + priceTxt) | |
| if ta.cross(close, priceLowest + (levelAbovePoc + 1.00) * priceStep) and valueAreaHigh | |
| alert(tickerTxt + ' Volume Profile : Price touches/crosses Value Area High Line, price ' + priceTxt) | |
| if ta.cross(close, priceLowest + (levelBelowPoc + 0.00) * priceStep) and valueAreaLow | |
| alert(tickerTxt + ' Volume Profile : Price touches/crosses Value Area Low Line, price ' + priceTxt) | |
| if nzVolume > vSMA * upThesh and vwcb | |
| alert(tickerTxt + ' high volume, price ' + priceTxt) | |
| // Alerts --------------------------------------------------------------------------------------- // | |
| // ---------------------------------------------------------------------------------------------- // | |
| var table logo = table.new(position.bottom_right, 1, 1) | |
| if barstate.islast | |
| table.cell(logo, 0, 0, '☼☾ ', text_size=size.normal, text_color=color.teal) |
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