SessionVolumeProfile

4 nov 2023

Library "SessionVolumeProfile"
Analyzes price & volume during regular trading hours to provide a session volume profile analysis. The primary goal of this library is to provide the developer with three values: the value area high, low and the point of control. The library also provides methods for rendering the value areas and histograms. To learn more about this library and how you can use it, click on the website link in my profile where you will find a blog post with detailed information.

debug(vp, position)
  Helper function to write some information about the supplied SVP object to the screen in a table.
  Parameters:
    vp (Object): The SVP object to debug
    position (string): The position.* to place the table. Defaults to position.bottom_center

getLowerTimeframe()
  Depending on the timeframe of the chart, determines a lower timeframe to grab volume data from for the analysis
  Returns: The timeframe string to fetch volume for

get(volumeProfile, lowerTimeframeHigh, lowerTimeframeLow, lowerTimeframeVolume)
  Populated the provided SessionVolumeProfile object with vp data on the session.
  Parameters:
    volumeProfile (Object): The SessionVolumeProfile object to populate
    lowerTimeframeHigh (float[]): The lower timeframe high values
    lowerTimeframeLow (float[]): The lower timeframe low values
    lowerTimeframeVolume (float[]): The lower timeframe volume values

drawPriorValueAreas(todaySessionVolumeProfile, extendYesterdayOverToday, showLabels, labelSize, pocColor, pocStyle, pocWidth, vahlColor, vahlStyle, vahlWidth, vaColor)
  Given a SessionVolumeProfile Object, will render the historical value areas for that object.
  Parameters:
    todaySessionVolumeProfile (Object): The SessionVolumeProfile Object to draw
    extendYesterdayOverToday (bool): Defaults to true
    showLabels (bool): Defaults to true
    labelSize (string): Defaults to size.small
    pocColor (color): Defaults to #e500a4
    pocStyle (string): Defaults to line.style_solid
    pocWidth (int): Defaults to 1
    vahlColor (color): The color of the value area high/low lines. Defaults to #1592e6
    vahlStyle (string): The style of the value area high/low lines. Defaults to line.style_solid
    vahlWidth (int): The width of the value area high/low lines. Defaults to 1
    vaColor (color): The color of the value area background. Defaults to #00bbf911)

drawHistogram(volumeProfile, bgColor, showVolumeOnHistogram)
  Given a SessionVolumeProfile object, will render the histogram for that object.
  Parameters:
    volumeProfile (Object): The SessionVolumeProfile object to draw
    bgColor (color): The baseline color to use for the histogram. Defaults to #00bbf9
    showVolumeOnHistogram (bool): Show the volume amount on the histogram bars. Defaults to false.

Object
  Fields:
    numberOfRows (series__integer)
    valueAreaCoverage (series__integer)
    trackDevelopingVa (series__bool)
    valueAreaHigh (series__float)
    pointOfControl (series__float)
    valueAreaLow (series__float)
    startTime (series__integer)
    endTime (series__integer)
    dayHigh (series__float)
    dayLow (series__float)
    step (series__float)
    pointOfControlLevel (series__integer)
    valueAreaHighLevel (series__integer)
    valueAreaLowLevel (series__integer)
    volumeRows (array__float)
    priceLevelRows (array__float)
    ltfSessionHighs (array__float)
    ltfSessionLows (array__float)
    ltfSessionVols (array__float)

4 nov 2023

Notas de prensa

v2 Removed incorrect comments.

23 ago

Notas de prensa

v3 Updated library to use the lower timeframe bars to determine the session. This makes the code work for futures.

Updated:
get(volumeProfile, lowerTimeframeHigh, lowerTimeframeLow, lowerTimeframeVolume, lowerTimeframeTime, lowerTimeframeSessionIsMarket)
  Populated the provided SessionVolumeProfile object with vp data on the session.
  Parameters:
    volumeProfile (Object): The SessionVolumeProfile object to populate
    lowerTimeframeHigh (array<float>): The lower timeframe high values
    lowerTimeframeLow (array<float>): The lower timeframe low values
    lowerTimeframeVolume (array<float>): The lower timeframe volume values
    lowerTimeframeTime (array<int>): The lower timeframe time values
    lowerTimeframeSessionIsMarket (array<bool>): The lower timeframe session.ismarket values (that are futures-friendly)

24 ago

Notas de prensa

v4 Fixed a bug that wiped out the first bars on the session

29 ago

Notas de prensa

v5 Small optimization moving away from arrays to maps.

Updated:
Object
  Fields:
    numberOfRows (series int)
    valueAreaCoverage (series int)
    trackDevelopingVa (series bool)
    valueAreaHigh (series float)
    pointOfControl (series float)
    valueAreaLow (series float)
    startTime (series int)
    endTime (series int)
    dayHigh (series float)
    dayLow (series float)
    step (series float)
    pointOfControlLevel (series int)
    valueAreaHighLevel (series int)
    valueAreaLowLevel (series int)
    volumeRows (map<int, float>)
    ltfSessionHighs (array<float>)
    ltfSessionLows (array<float>)
    ltfSessionVols (array<float>)

25 sept

Notas de prensa

v6 Fixed a bug that caused value areas to compute incorrectly when lower timeframes were missing data (ie. symbols moving on lower volume, missing candles)

16 oct

Notas de prensa

v7 Fixed a bug where the hourly charts were missing data between market open and the first round hour.

17 oct

Notas de prensa

v8 Previous release introduced a bug where the library failed to return values with extended hours turned off on the chart. This release fixes that bug.