Volume Profile

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Volume Profile 2016-10-31T13:57:58+00:00

Project Description

Volume Profile Studies

Today Multicharts has the build in ability to display Volume Profiles or Volume Delta charts. Before that we created several studies incorporating these features for customers.
A more complex project was creating an external database to store the volume information at each price. This was done to be able to accurately build a volume profile on every chart of choice. A shortcoming in EasyLanguage or Powerlanguage is that you can’t access the volume that was traded at a certain price on a chart. Therefore a typical approach is to divide the total volume for a bar and equally distribute it for every price within the bar. As this doesn’t offer an accurate result and becomes even more inaccurate if you move to higher timeframes, a workaround was desperately needed.
The framework was optimized for accuracy, speed and reliability. The volume data can be backadjusted before being plotted on a chart. This can be used to adjust for rollovers between several futures contracts. Another feature is long term profiles with the ability to display Naked POC (Virgin POC) prices. The study can create custom profiles by grouping bars or sessions by simply clicking on the area you want to combine. As calculation speed was critical special attention was placed on this during the development. As a result a long term profile using several years of accurate volume information for example is calculated in less than a second on medium computers. The speed could be reached although the study was using the previously stored volume information and adjusting the data to account for the contract rollovers.
This project is another display of our ability to create complex projects for our clients. We like the challenge and will always strive to come up with the best solution and results for you.