Volume Profile code?

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Volume Profile code?

posted May 8, 2015

Hello,

I am wondering if anyone has the volume profile code in python, or basically in any language. I was looking at the code on ThinkorSwim but I couldn't fully understand it. It looks like the code ToS is using uses some local functions I am not aware of what they do so if anyone can share it I will be super happy!

Thanks in advance!

6 responses

I have the same question. I think I need to develop something myself, but especially with futures, I've seen the significant predictive power in using volume profiling and order flow analyses as a trading tool. In stock, I am sure it works as well but is mostly taken over by HFT kids.

Were either of you able to come up with something?

To be explicit, this is what we're looking for I think ("Volume Profile"): https://www.tradingview.com/wiki/Volume_Profile

It seems this is similar, different name ("Market Profile): https://www.earnforex.com/metatrader-indicators/MarketProfile/

Would love to discover a Python implementation and also a data source if possible!

@andre ferreira, if you can pass to me that piece of code of the volume at the price it will be nice!, thanks

Carlos

Bump! Would love to see a Python implementation of this.

You can try this then expand the code to your heart content
Python code Simple MP

I wrote one here some time ago:
py-market-profile - Market Profile using Pandas DataFrame

Still maintained.

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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.