Represents an Indicator of the Market Profile and its attributes More...
Public Member Functions | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| SortedList< decimal, decimal > | VolumePerPrice => new SortedList<decimal |
| Get a copy of the _volumePerPrice field More... | |
| override bool | IsReady => _totalVolume.IsReady |
| Gets a flag indicating when the indicator is ready and fully initialized More... | |
Protected Member Functions | |
| MarketProfile (string name, int period, decimal valueAreaVolumePercentage=0.70m, decimal priceRangeRoundOff=0.05m) | |
| Creates a new MarkProfile indicator with the specified period More... | |
| override decimal | ComputeNextValue (TradeBar input) |
| Computes the next value for this indicator from the given state. More... | |
| abstract decimal | GetVolume (TradeBar input) |
| Get the Volume value that's going to be used More... | |
 Protected Member Functions inherited from QuantConnect.Indicators.TradeBarIndicator | |
| TradeBarIndicator (string name) | |
| Creates a new TradeBarIndicator with the specified name More... | |
Properties | |
| decimal | ProfileHigh [get] |
| The highest reached close price level during the period. That value is called Profile High More... | |
| decimal | ProfileLow [get] |
| The lowest reached close price level during the period. That value is called Profile Low More... | |
| decimal | POCPrice [get] |
| Price where the most trading occured (Point of Control(POC)) This price is MarketProfile.Current.Value More... | |
| decimal | POCVolume [get] |
| Volume where the most tradding occured (Point of Control(POC)) More... | |
| decimal | ValueAreaVolume [get] |
| The range of price levels in which a specified percentage of all volume was traded during the time period. Typically, this percentage is set to 70% however it is up to the trader’s discretion. More... | |
| decimal | ValueAreaHigh [get] |
| The highest close price level within the value area More... | |
| decimal | ValueAreaLow [get] |
| The lowest close price level within the value area More... | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
Represents an Indicator of the Market Profile and its attributes
The concept of Market Profile stems from the idea that markets have a form of organization determined by time, price, and volume.Each day, the market will develop a range for the day and a value area, which represents an equilibrium point where there are an equal number of buyers and sellers. In this area, prices never stay stagnant. They are constantly diverging, and Market Profile records this activity for traders to interpret.
It can be computed in two modes: TPO (Time Price Opportunity) or VOL (Volume Profile) A discussion on the difference between TPO (Time Price Opportunity) and VOL (Volume Profile) chart types: https://jimdaltontrading.com/tpo-vs-volume-profile
Definition at line 39 of file MarketProfile.cs.
Constructor & Destructor Documentation
◆ MarketProfile()
|
protected |
Creates a new MarkProfile indicator with the specified period
- Parameters
-
name The name of this indicator period The period of this indicator valueAreaVolumePercentage The percentage of volume contained in the value area priceRangeRoundOff How many digits you want to round and the precision. i.e 0.01 round to two digits exactly. 0.05 by default.
Definition at line 140 of file MarketProfile.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value for this indicator from the given state.
- Parameters
-
input The input value to this indicator on this time step
- Returns
- A a value for this indicator, Point of Control (POC) price
Definition at line 162 of file MarketProfile.cs.
◆ GetVolume()
|
protectedpure virtual |
Get the Volume value that's going to be used
- Parameters
-
input Data
- Returns
- The Volume value it's going to be used
Implemented in QuantConnect.Indicators.TimeProfile, and QuantConnect.Indicators.VolumeProfile.
◆ Reset()
| override void QuantConnect.Indicators.MarketProfile.Reset | ( | ) |
Resets this indicator to its initial state
Definition at line 350 of file MarketProfile.cs.
Member Data Documentation
◆ VolumePerPrice
| SortedList<decimal, decimal> QuantConnect.Indicators.MarketProfile.VolumePerPrice => new SortedList<decimal |
Get a copy of the _volumePerPrice field
Definition at line 80 of file MarketProfile.cs.
◆ IsReady
| override bool QuantConnect.Indicators.MarketProfile.IsReady => _totalVolume.IsReady |
Gets a flag indicating when the indicator is ready and fully initialized
Definition at line 125 of file MarketProfile.cs.
Property Documentation
◆ ProfileHigh
|
get |
The highest reached close price level during the period. That value is called Profile High
Definition at line 86 of file MarketProfile.cs.
◆ ProfileLow
|
get |
The lowest reached close price level during the period. That value is called Profile Low
Definition at line 92 of file MarketProfile.cs.
◆ POCPrice
|
get |
Price where the most trading occured (Point of Control(POC)) This price is MarketProfile.Current.Value
Definition at line 98 of file MarketProfile.cs.
◆ POCVolume
|
get |
Volume where the most tradding occured (Point of Control(POC))
Definition at line 103 of file MarketProfile.cs.
◆ ValueAreaVolume
|
get |
The range of price levels in which a specified percentage of all volume was traded during the time period. Typically, this percentage is set to 70% however it is up to the trader’s discretion.
Definition at line 110 of file MarketProfile.cs.
◆ ValueAreaHigh
|
get |
The highest close price level within the value area
Definition at line 115 of file MarketProfile.cs.
◆ ValueAreaLow
|
get |
The lowest close price level within the value area
Definition at line 120 of file MarketProfile.cs.
◆ WarmUpPeriod
|
get |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 130 of file MarketProfile.cs.
The documentation for this class was generated from the following file:
- Indicators/MarketProfile.cs
