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Supported Indicators

Time Profile

Introduction

This indicator represents an Indicator of the Market Profile with Time Price Opportunity (TPO) mode and its attributes

To view the implementation of this indicator, see the LEAN GitHub repository.

Using TP Indicator

To create an automatic indicators for TimeProfile, call the TP helper method from the QCAlgorithm class. The TP method creates a TimeProfile object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the initialize method.

Select Language: 
class TimeProfileAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._tp = self.tp(self._symbol, 3, 0.70, 0.05)

    def on_data(self, slice: Slice) -> None:
        if self._tp.is_ready:
            # The current value of self._tp is represented by self._tp.current.value
            self.plot("TimeProfile", "tp", self._tp.current.value)
            # Plot all attributes of self._tp
            self.plot("TimeProfile", "profile_high", self._tp.profile_high)
            self.plot("TimeProfile", "profile_low", self._tp.profile_low)
            self.plot("TimeProfile", "poc_price", self._tp.poc_price)
            self.plot("TimeProfile", "poc_volume", self._tp.poc_volume)
            self.plot("TimeProfile", "value_area_volume", self._tp.value_area_volume)
            self.plot("TimeProfile", "value_area_high", self._tp.value_area_high)
            self.plot("TimeProfile", "value_area_low", self._tp.value_area_low)

The following reference table describes the TP method:

tp(symbol, period=2, value_area_volume_percentage=0.7, price_range_round_off=0.05, resolution=4, selector=None)[source]

Creates an Market Profile indicator for the symbol with Time Price Opportunity (TPO) mode. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose TP we want
  • period (int, optional) — The period of the TP
  • value_area_volume_percentage (float, optional) — The percentage of volume contained in the value area
  • price_range_round_off (float, optional) — How many digits you want to round and the precision. i.e 0.01 round to two digits exactly.
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Time Profile indicator for the given parameters

Return type:

TimeProfile

If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

For more information about plotting indicators, see Plotting Indicators.

You can manually create a TimeProfile indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the update method with a TradeBar. The indicator will only be ready after you prime it with enough data.

Select Language: 
class TimeProfileAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._tp = TimeProfile("", 3, 0.70, 0.05)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._tp.update(bar)
        if self._tp.is_ready:
            # The current value of self._tp is represented by self._tp.current.value
            self.plot("TimeProfile", "tp", self._tp.current.value)
            # Plot all attributes of self._tp
            self.plot("TimeProfile", "profile_high", self._tp.profile_high)
            self.plot("TimeProfile", "profile_low", self._tp.profile_low)
            self.plot("TimeProfile", "poc_price", self._tp.poc_price)
            self.plot("TimeProfile", "poc_volume", self._tp.poc_volume)
            self.plot("TimeProfile", "value_area_volume", self._tp.value_area_volume)
            self.plot("TimeProfile", "value_area_high", self._tp.value_area_high)
            self.plot("TimeProfile", "value_area_low", self._tp.value_area_low)

To register a manual indicator for automatic updates with the security data, call the register_indicator method.

Select Language: 
class TimeProfileAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._tp = TimeProfile("", 3, 0.70, 0.05)
        self.register_indicator(self._symbol, self._tp, Resolution.DAILY)

    def on_data(self, slice: Slice) -> None:
        if self._tp.is_ready:
            # The current value of self._tp is represented by self._tp.current.value
            self.plot("TimeProfile", "tp", self._tp.current.value)

The following reference table describes the TimeProfile constructor:

TimeProfile

class QuantConnect.Indicators.TimeProfile[source]

Represents an Indicator of the Market Profile with Time Price Opportunity (TPO) mode and its attributes

get_enumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

reset()

Resets this indicator to its initial state

to_detailed_string()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

str

update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (datetime)
  • value (float)
Return type:

bool

update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

bool

property consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet[IDataConsolidator]

property current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property is_ready

Gets a flag indicating when the indicator is ready and fully initialized

Returns:

Gets a flag indicating when the indicator is ready and fully initialized

Return type:

bool

property item

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

property name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

str

property poc_price

Price where the most trading occured (Point of Control(POC)) This price is MarketProfile.Current.Value

Returns:

Price where the most trading occured (Point of Control(POC)) This price is MarketProfile.Current.Value

Return type:

float

property poc_volume

Volume where the most tradding occured (Point of Control(POC))

Returns:

Volume where the most tradding occured (Point of Control(POC))

Return type:

float

property previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property profile_high

The highest reached close price level during the period. That value is called Profile High

Returns:

The highest reached close price level during the period. That value is called Profile High

Return type:

float

property profile_low

The lowest reached close price level during the period. That value is called Profile Low

Returns:

The lowest reached close price level during the period. That value is called Profile Low

Return type:

float

property samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property value_area_high

The highest close price level within the value area

Returns:

The highest close price level within the value area

Return type:

float

property value_area_low

The lowest close price level within the value area

Returns:

The lowest close price level within the value area

Return type:

float

property value_area_volume

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.

Returns:

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.

Return type:

float

property volume_per_price

Get a copy of the _volumePerPrice field

Returns:

Get a copy of the _volumePerPrice field

Return type:

SortedList[float, float]

property warm_up_period

Required period, in data points, for the indicator to be ready and fully initialized.

Returns:

Required period, in data points, for the indicator to be ready and fully initialized.

Return type:

int

property window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow[IndicatorDataPoint]

Visualization

The following image shows plot values of selected properties of TimeProfile using the plotly library.

TimeProfile line plot.

Indicator History

To get the historical data of the TimeProfile indicator, call the self.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the indicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription.

Select Language: 
class TimeProfileAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        tp = self.tp(self._symbol, 3, 0.70, 0.05)
        count_indicator_history = self.indicator_history(tp, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(tp, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(tp, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

To make the indicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.

Select Language: 
indicator_history = self.indicator_history(tp, 100, Resolution.MINUTE, lambda bar: bar.high)
indicator_history_df = indicator_history.data_frame

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