Volume Profile in Table Format

NeoTicker has ability to capture trades tick by tick and heap object has a price profiling function that allow indicator to store price and volume pair within heap, by combining these two aspect I can easily code an indicator that shows tick based trading volume at different price level in table format.

This example list level of price and volume in table format in report window, text table will update at first tick of every bar, all levels of price volume accumulation will be reset at change of date.

The indicator is a Delphi script indicator with 3 real number: slot size, start price and end price; and one string parameter: report window. Start price and end price are estimated price range to store trade volume for price level covered in a day. The string parameter is to allow user to enter name of report window for destination of table output. Update by tick is required because indicator code needs to count trades tick by tick in order to fill in the slots with trade volume from each tick.

Edit indicator window with parameters

Edit indicator window with parameters

This indicator print out formatted result to a report window, so in order for this indicator to show result there must be a chart and a report window. The following is how

30 second chart with printed report

30 second chart with printed report

When applying this indicator to a chart, a tick replay of the last 1 day is required to get volume profile result correctly printed.

Right and select save as to download source code of indicator to local harddisk, use indicator manager to install the indicator.


Example Delphi Volume Profile (ex_del_volprof.pas)

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