Researching Time Price Opportunity profiles (TPO charts)

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Researching Time Price Opportunity profiles (TPO charts)

bamdad dashtban

posted Apr 27, 2020

Machine Learning Pipeline Visualization Futures Risk Model

Hi,

I'm planning to research on TPO profiles and I'm evaluating the feasibility of conducting such research on Quantopian (particularly on the futures)

Time Price Opportunity or TPO Chart, shows the price distribution during the specified time, thus forming a profile. This allows you to understand at which levels or ranges the price has spent the most time, as well as to determine the main support and resistance levels.

For those who are not familiar TPO charts look like this
A good resource to look into is SierraChart website

TPO requires Tick Data information to calculate the most amount of time price has spent around a specific range.

Here are some of my questions:
- Has anyone done anything like this before?
- Is there anyway to get access to TickData on Quantopian?
- Any suggestion to what factors to consider for the research ?

I'm planning to calculate TPO support and resistance and their shapes (b-shape, p-shape or normalised) , run a PCA and build a basic regression model and validate their usefulness.

Feedbacks are welcome.
Thanks

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.