Session TPO Market Profile

Introduction

Wikipedia:A Market Profile is an intra-day charting technique (price vertical, time/activity horizontal) devised by J. Peter Steidlmayer, a trader at the Chicago Board of Trade (CBOT), ca 1959-1985. Steidlmayer was seeking a way to determine and to evaluate market value as it developed in the day time frame. The concept was to display price on a vertical axis against time on the horizontal, and the ensuing graphic generally is a bell shape--fatter at the middle prices, with activity trailing off and volume diminished at the extreme higher and lower prices. In this structure he recognized the 'normal', Gaussian distribution he had been introduced to in college statistics.

Important : The market profile tool is designed to be used on the 30min timeframe, however, you can modify its parameters and use it on lower timeframes (15/10/5min)

This indicators displays the following information

• Session open
  
• TPO
  
• Value area calculation zone
  
• POC
  
• Highlight of Single prints
  
• Session High/Low
  
• The current price (TPO Profile is often used isolated without any candlesticks on it)
  

Parameters

• Session beginning configuration (not coded with a session input yet)
  
• Number of candles to use for calculation (default 13 for a single session)
  
• Extend yesterday's levels (VAH/VAL/POC)
  
• Show/Hide Market profile calculation area (background color)
  
• Bars number (number of rows that will be used to draw the profile)
  
• Show/Hide TPO's
  
• TPO Colors customization (For in/out of VA, VAL/VAH/POC/High/Low levels and single prints)
  
• Show/Hide High/Low levels
  
• Show/Hide VAL/VAH/POC Levels as lines
  
• Enable/Disable Single prints highlighting
  
• Value area size (as percent)
  
• Show/Hide current price (corresponding to a line scaled on the "close" price)
  

Additional Notes

• Each session is drawn when the day is over
  
• To use as much space as possible, TPO's are not directly drawn on the area of their calculation (which can be confusing if you use candlesticks directly over it)
  
• This script will probably be updated in the future (especially concerning its implementation which is a bit spaghetti coded for now).
  
• If you have interesting suggestions about new features that are usual within market profile tools and missing from this script , don't hesitate to suggest it.
  

Notes de version:

Update:

• Letters numbers
  
• The session calculation is now based on an extended characters set -> "ABCDEFGHIJKLMNOPQRSTUVWXYZabcdefghijklmnopqrstuvwxyz0123456789{}@$€£*", in order to support longer sessions on timeframes lower than 30min
  

Notes de version:

Update:

• Extended charset ABCDEFGHIJKLMNOPQRSTUVWXYZabcdefghijklmnopqrstuvwxyz0123456789@$€£{}()*+-/=%&?! , allowing the script to calculates profile with up to 78 candlesticks in the history
  
• "Display TPO as bars" parameter
  

New display mode :

Notes de version:

Update

• Opening price of the configured session is now correctly scaled with a dedicated line
  

Notes de version:

Update:

• TPO size can now be defined by a ticks number
  
• On option to scale TPO on a rounded value corresponding to the ticks number is set by default
  
• You can now change the size of TPO letters (Tiny, Small, Normal) (default: Small)
  

Notes de version:

Default ticks size now set to 25

Notes de version:

Update:

• Single prints can now be extended
  

Notes de version:

Update:

- A basic initial balance implementation has been added (Only consider A and B periods, undepending on your timeframe for the moment)
- Closing Price mark
- Customizable Spacing between Letters
- VA zone is now highlighted

Notes de version:

Few improvements

• Close price displayed on the left
  
• Total TPO added
  
• Default colors modified