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| Market Profile |
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lifon
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| Post subject: Market Profile |
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Posted: Tue 03 Apr, 2012, 20:45
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User rating: 1
Joined: Mon 27 Feb, 2012, 22:49
Posts: 119
Location: Czech Republic,
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API Support
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Wed 04 Apr, 2012, 08:48
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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lifon
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Wed 04 Apr, 2012, 20:59
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User rating: 1
Joined: Mon 27 Feb, 2012, 22:49
Posts: 119
Location: Czech Republic,
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This I don’t need. I’m not a beginner. I have own multicurrency and multistrategy automated trading system. For Market Profile I need volume segmented by price segments - each with the same width. This I need from current bar and from old bars too. Now I don’t know how can I segments volume data by price.
Thanks for advise.
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API Support
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Thu 05 Apr, 2012, 14:33
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Please specify what assistance on JForex-API do you require?
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lifon
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Mon 16 Apr, 2012, 15:49
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User rating: 1
Joined: Mon 27 Feb, 2012, 22:49
Posts: 119
Location: Czech Republic,
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I required an advise how do it. But now I have first version of simply Market Profile. I use List<ITick> = history.getTicks( instrument, timeFrom, timeTo). Then I for each tick price calculate reference price ( from Ask and Bid). Depending on reference price I create price volume segments (in SortedMap and TreeMap). Volume I take from tick.getAskvolume() and tick.getBidVolume(). From segments I can calculate VAL, VAH and POC.
But if I add volumes from ticks and take volumes from bar for the same time I often today have different values (on Friday was situation better). Differents are often big - more than 50 %. I give there some example:
=== PV Info: AUD/JPY: Per: Hourly; TFrom 2012-04-16 09:00:00; AskBVol: 10761.84; BidBVol: 10980.44; AskTVol: 17945.10; BidTVol: 18273.67; VolD: 14476.5;
=== PV Info: AUD/JPY: Per: Hourly; TFrom 2012-04-16 10:00:00; AskBVol: 8797.04; BidBVol: 7988.37; AskTVol: 14570.07; BidTVol: 13624.31; VolD: 11409.0;
+++ PV Info: AUD/JPY: Per: Hourly; TFrom 2012-04-16 11:00:00; AskBVol: 8778.22; BidBVol: 9328.35; AskTVol: 8778.22; BidTVol: 9328.35; VolD: 0.0;
=== PV Info: AUD/JPY: Per: Hourly; TFrom 2012-04-16 12:00:00; AskBVol: 11483.14; BidBVol: 11507.02; AskTVol: 14424.79; BidTVol: 14216.58; VolD: 5651.2;
TFrom = time from; AskBVol = AskVolume from bar; AskTVol = AskVolume form ticks; VolD = volume differents ( abs(AskVolD)+abs(BidVolD))
I did first strategy use my Market Profile, but this differents are big problem for me.
Thanks for advise.
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API Support
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Tue 17 Apr, 2012, 11:14
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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burton
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Tue 04 Mar, 2014, 02:07
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User rating: 0
Joined: Wed 07 Mar, 2012, 06:02
Posts: 58
Location: SwitzerlandSwitzerland
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