Volume Profile Indicator Implementation in C#

Made some bug fixes to the Value Area calculation.

I've made more improvements to the indicator.

• After changing to minute resolution, the values are very close to TradingView
• Recalculating the profile every minute is expensive.  I added a parameter to only recalculate after N periods.

Hi Kctrader,

Nice indicator. The attached backtest extends the indicator to include a definition for the `Reset` method. In addition, a `lastRefresh` property has been added to track when the POC and ValueArea were last updated. One thing to note with the current implementation is `recalculateAfterNPeriods` must be larger than `period` or the indicator will initially return a value of 0, even though it `IsReady`. This is a result of the following conditional in `ComputeNextValue`:

See the attached backtest for reference.

Best,
Derek Melchin

Thanks for the improvents Derek!

​This is good stuff. ​I had just started jotting down plans for a volume profile indicator based on a GitHub project mentioned in a QC ticket​ for the same​. ​At first glance at this, it seems I ​might not have to​​. Thanks kctrader.  

​Regarding ​algo ideas​, for your consideration: a ​pullback​ strategy that trades small-cap low-float stocks in the mornings, based on support​ levels determined by t​​he volume profiler.​ I have plans to attempt this some day in the future, inspired by this strategy described n r/algotrading (with more detail in the comments).  I probably wont get around to this for another month or two.  Feel free to give it a go if it's of any interest.​

Thanks for the idea ekz!  I have not tested this out much at this point.  I built out a basic support/resistance indicator (that still needs work) and my plan was to use them in conjunction.  Will definitely look inot small-cap/low-float.

Noticed some odd behaviour here.  See simple backtest attached.  When i try to enter a limit order with the value returned by the indicator (bottom of the value area), i get an invalid entry --some issue with buying power.  However when i manually use the same value, the order goes through.  

Try swapping out lines 69 and 70, and checkout the order list

Any thoughts?

Never mind. It's working as expected. 

The volume profiler gives a different value every time so a diff limit order is opened every time. The error is thrown because too many of the limit orders got triggered at the same time. 

Mystery solved.

kctrader

I'm working on getting this indicator added to Lean, officially. Would love to discuss it with you, off the forum and in real time if possible. 

Are you on the slack and/or discord channels? I'm in both as  ‘@ekz’ 

.ekz. 

I have head for volume profile for the first time few days ago. I come here, to QC community to see if somebody has tried it already. Found his thread.

1. Have you made PR to implement this indicator to supported QC iundicators?
2. Do you have sample of python script that implements this indicator?

Not yet. Do check back in a few weeks though.

.ekz. I was wondering if you got this added to the repo.

Mallikarjuna Reddy Palle  I’m pretty sure it got implemented by someone else as ekz was working on it.  Not at a como right now but I think it was called MarketProfile.

Found it: 

Thank you Cole S 

Hi .ekz., I've been using the Volume Profile indicator in some of my backtests, and the results were different than what I was expecting. When inspecting the MarketProfile code, we noticed all the volume is assigned to the close price which is used in the volumePerPrice calculations rather than distributing the volume across the range of the trade bar (high to low).

Ideally, we would like to pass in a row size. Row size could be calculated more granularly from tick size and price per row as well. See here for the parameters passed into the py market profile implementation: https://github.com/bfolkens/py-market-profile/blob/master/src/market_profile/__init__.py#L11-L13.

Do you have thoughts on how to do this? Would this require an update to the LEAN code here: https://github.com/QuantConnect/Lean/blob/master/Indicators/MarketProfile.cs#L201-L213?

Thanks in advance!

Hi Anthony 

You can specify the selector argument in the VP helper class, or update a manual VolumeProfile indicator with a custom value to override the “close price distribution”.

e.g.

vp = self.VP("SPY", 3, 0.70, 0.05, selector = lambda x: (x.High + x.Low) / 2)

Best
Louis

Hi Louis Szeto , thanks for the response. I tried the implementation you provided, and received the below error. 

Error Message

During the algorithm initialization, the following exception has occurred: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'float'>) method. Please checkout the API documentation.
  at Initialize
    self.spyVP = self.VP("SPY" in main.py: line 35
 No method matches given arguments for VP: (, , , )

I believed the initialization was just missing the resolution, but even when updating the instantiation to below, the same but slightly different error occurs

self.spyVP = self.VP(self.aapl, 3, 0.70, 0.05, Resolution.Daily, lambda x: (x.High + x.Low) / 2)

Error Message

During the algorithm initialization, the following exception has occurred: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'function'>) method. Please checkout the API documentation.
  at Initialize
    self.spyVP = self.VP("SPY" in main.py: line 35
 No method matches given arguments for VP: (, , , , , )

Do you have any thoughts on either of these?

Hi Anthony 

Sorry, the output of the selector has to be TradeBar object in VP

def selector(data):
	value = (data.High + data.Low)/2
	return TradeBar(data.Time, data.Symbol, value, value, value, value, data.Volume, data.Period)
self.spyVP = self.VP(self.aapl, 3, 0.70, 0.05, Resolution.Daily, selector)

Best
Louis

Hi Guys, @cole-s, @derek-melchin,

some lunch break fun: please find an idea on how to further improve the calculation of the value area. It uses two loops to derive ValueAreaHigh and ValueAreaLow to ensure all (price, volume) buckets are adjacent which leads to the resulting value area being closer to valueAreaVolumePercentage. Below you see more smoothness in the evolution of ValueAreaHigh and ValueAreaLow with a lookback of 380 minutes with the custom version. Also, the number of buckets can be accessed using self.vp.NumBuckets for tuning priceRangeRoundOff. Please ensure to see the resulting plots by activating windows V1 to V4.

Best,

Frank

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