Share New Research 
Hi QC Community,
We're working on implementing a volume profile in our quant algorithm. When backtesting, the results generated by QuantConnect were different than the results generated by ThinkOrSwim and https://github.com/bfolkens/py-market-profile. When inspecting the MarketProfile code (VolumeProfile is an implementation of MarketProfile), 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 this market profile implementation: https://github.com/bfolkens/py-market-profile/blob/master/src/market_profile/__init__.py#L11-L13
Does anyone have thoughts on how to do this? Here's a link to the LEAN code as well: https://github.com/QuantConnect/Lean/blob/master/Indicators/MarketProfile.cs#L201-L213
Thanks!
Louis Szeto
Hi Anthony
Best
Louis
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Anthony Bauer
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!