Order Flow Volume Profile

Description

The Order Flow Volume Profile indicator is used to plot singular static profiles containing a certain defined range of data or repeating profiles on a per bar or per session basis.

Syntax

OrderFlowVolumeProfile(MarketProfileType profileType, MarketProfilePeriod profilePeriod, int sessions, TradingHours tradingHoursInstance, MarketProfileResolution resolution, int valueAreaPercent, int initialBalanceMinutes)

OrderFlowVolumeProfile(ISeries\<double\> input, MarketProfileType profileType, MarketProfilePeriod profilePeriod, int sessions, TradingHours tradingHoursInstance, MarketProfileResolution resolution, int valueAreaPercent, int initialBalanceMinutes)

Returns the POC value

Returns the ValueAreaHigh value

Returns the ValueAreaLow value

Return Value

double; Accessing this method property returns the current value.

Returns the DevelopingPoc value

Returns the DevelopingValueAreaHigh value

Returns the DevelopingValueAreaLow value

RETURN VALUE

double; Accessing this method via an index value [int barsAgo] returns the indicator value of the referenced bar.

Parameters

input	Indicator source data (Series<T>)
profileType	The type of profile to generate: • Volume • Tick • Price
profilePeriod	The period used for each profile: • Session • Bars • Composite • Weeks • Months
sessions	How many sessions will be grouped
tradingHoursInstance	The TradingHours used for the data
resolution	Generate profile using minute or tick data • Minute • Tick
valueAreaPercent	Range of prices where a specific percentage of trading volume occurs
initialBalanceMinutes	Number of minutes in session range is set

Examples

1 // A 1 tick and 1 minute data series must be added to the OnStateChange() as this indicator runs off of tick data or minute data
2 else if (State == State.Configure)
3 {
4     AddDataSeries(Data.BarsPeriodType.Tick, 1);
5     AddDataSeries(Data.BarsPeriodType.Minute, 1);
6 }
7 
8 // OnBarUpdate() logic
9 if (BarsInProgress == 0)
10 {
11     double volumeProfilePoc = OrderFlowVolumeProfile(MarketProfileType.Volume, MarketProfilePeriod.Sessions, 1, BarsArray[0].TradingHours, MarketProfileResolution.Minute, 68, 0).Poc;
12     Print("The current Poc is " + volumeProfilePoc.ToString());
13 
14     double volumeProfileDevelopingPoc = OrderFlowVolumeProfile(MarketProfileType.Volume, MarketProfilePeriod.Sessions, 1, BarsArray[0].TradingHours, MarketProfileResolution.Minute, 68, 0).DevelopingPoc[0];
15     Print(“The DevelopingPoc is “ + volumeProfileDevelopingPoc.ToString());
16 }
17 else if (BarsInProgress == 1)
18 {
19     // We have to update the secondary tick series of the cached indicator using Tick Resolution to make sure the values we get in BarsInProgress == 0 are in sync
20     OrderFlowVolumeProfile(MarketProfileType.Volume, MarketProfilePeriod.Sessions, 1, BarsArray[0].TradingHours, MarketProfileResolution.Minute, 68, 0).Update(volumeProfile.BarsArray[1].Count - 1, 1);
21 }

1 // A 1 tick and 1 minute data series must be added to the OnStateChange() as this indicator runs off of tick data or minute data
2 else if (State == State.Configure)
3 {
4     AddDataSeries(Data.BarsPeriodType.Tick, 1);
5     AddDataSeries(Data.BarsPeriodType.Minute, 1);
6 
7     // If the tradingHoursInstance parameter for the indicator does not match the primary series, a data series must be added for tick, minute, and primary series bartype / interval using that trading hours
8     AddDataSeries(null, new BarsPeriod { BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, "CME US Index Futures RTH");
9     AddDataSeries(null, new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1 }, "CME US Index Futures RTH");
10     AddDataSeries(null, null, "CME US Index Futures RTH");
11 }
12 else if (State == State.DataLoaded)
13 {
14     volumeProfile = OrderFlowVolumeProfile(MarketProfileType.Volume, MarketProfilePeriod.Sessions, 1, TradingHours.String2TradingHours("CME US Index Futures RTH"), MarketProfileResolution.Minute, 68, 0);
15     // The TicksPerLevel property is not an overload parameter.
16     // once an instance is generated, modify the TicksPerLevel or other properties to the desired values
17     volumeProfile.TicksPerLevel = 5;			
18 }
19 
20 // OnBarUpdate() logic
21 if (BarsInProgress == 0)
22 {
23     double volumeProfilePoc = volumeProfile.Poc;
24     Print("The current Poc is " + volumeProfilePoc.ToString());
25 
26     double volumeProfileDevelopingPoc = volumeProfile.DevelopingPoc[0];
27     Print(“The DevelopingPoc is “ + volumeProfileDevelopingPoc.ToString());
28 }
29 else if (BarsInProgress == 1)
30 {
31   // We have to update the secondary tick series of the cached indicator using Tick Resolution to make sure the values we get in BarsInProgress == 0 are in sync
32   volumeProfile.Update(volumeProfile.BarsArray[1].Count - 1, 1);
33 }