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FYI, this looks very interesting interesting. Many thanks to Gregory Wood!
bobr
----- Original Message -----
From: "Gregory Wood" <swissfranc@xxxxxxxx>
To: "omegalist" <omega-list@xxxxxxxxxx>
Sent: Wednesday, January 16, 2002 4:29 PM
Subject: Price Distribution Histogram
> There was a discussion about Value Area recently.
>
> Here's a study that works on intraday price and tick bars. It shows the
> distribution of prices as a histogram of trendlines. Its coded for
> ts2000, so you may need to adapt it for ts4.
>
> I can't post the pics, so if you want to see it working on 1-minute and
> 1-tick bars, e-mail me privately.
>
> {--------------------------}
> { STUDY: PriceDistribution }
>
> input: date1(0), time1(930), time2(1600), HistColor(darkgray),
> ValueArea(.6), ValueColor(blue);
> input: EveryMins(15), MinsBack(15);
> input: ShoHist(true);
>
> { This displays price histograms EveryMins. The lookback period is
> MinsBack.
>
> It works for both minute and tick bars, even 1-tick bars. Try with S&P
> 1-minute bars
> or S&P 1-tick bars.
>
> Inputs:
> date1 - draws histrograms for this date; all dates if its 0
> time1, time2 - draws histograms within this date range
> HistColor - the color of the histogram
> ValueColor - the color of the value area
> ValueArea - portion of the prices that will be colored; range 0 to 1
> EveryMins - draw a histogram every, say, 15 minutes
> MinsBack - how far back to analyze prices, typically the same as
> EveryMins
> ShoHist - if false, just the value area is plotted like a bar
> }
>
> array: v[5000](0);
> var: base(10000);
>
> var: ii(0), ij(0), hh(0), ll(0), cbStart(0), bb(0), maxv(0), han1(0),
> m1(0), m2(0);
> var: mins(0), cb(0), cbPrev(0), targ(0), Sanity(false);
> var: iivmax(0), totv(0), vmaxpc(0), vhh(0),vll(0), loop(0);
>
> if currentbar = 1 then begin
> hh = h;
> ll = l;
> end;
> mins = EveryMins*intportion(timetominutes(time)/EveryMins);
>
> if (date1 = date or date1 = 0) and ((time >= time1 and time <= time2) or
> time1 = 0 or time2 = 0) and
> mins <> mins[1] then begin
>
> { plot1(c,"",red,default,5);}
>
> { clear v array }
> for ii = ll * 10 - base to hh * 10 - base begin
> v[ii] = 0;
> end;
>
> { find start of interval }
> cb = 0;
> Sanity = true;
> targ = timetominutes(time) - MinsBack;
> while targ <= timetominutes(time[cb]) and Sanity begin
> cb = cb+1;
> if cb >= currentbar then Sanity = false;
> if date[cb] <> date then Sanity = false;
> if cb > 1000 then Sanity = false;
> end;
> cb = cb - 1;
>
> { add bars to list }
> hh = h;
> ll = l;
> for ij = cb - 1 downto 0 begin
> m1 = l[ij];
> m2 = h[ij];
> if hh < m2 then hh = m2;
> if ll > m1 then ll = m1;
> if m1 > c[ij+1] + .10 then m1 = c[ij+1] + .10
> else if m2 < c[ij+1] - .10 then m2 = c[ij+1] - .10;
> for ii = m1 * 10 - base to m2 * 10 - base begin
> v[ii] = v[ii] + 1;
> end;
> end;
>
> { find value area }
> maxv = 0;
> totv = 0;
> for ii = ll * 10 to hh * 10 begin
> totv = totv + v[ii - base];
> if maxv < v[ii - base] then begin
> maxv = v[ii - base];
> iivmax = ii;
> end;
> end;
> vmaxpc = maxv;
> vhh = iivmax;
> vll = iivmax;
> sanity = true;
> loop = 0;
> if maxV > 0 then
> while sanity and vmaxpc / totv < ValueArea begin
> loop = loop + 1;
> if loop > 50 then sanity = false;
> if v[vhh + 1 - base] > v[vll - 1 - base] then begin
> vhh = vhh + 1;
> vmaxpc = vmaxpc + v[vhh - base];
> end else begin
> vll = vll - 1;
> vmaxpc = vmaxpc + v[vll - base];
> end;
> end;
>
>
>
> { display the list }
> if ShoHist then
> for ii = ll * 10 to hh * 10 begin
> if maxV > 0 then begin
> bb = v[ii - base] * (currentbar - cbPrev) / maxV;
> if time[bb] <> time then begin
> han1 = tl_new(date[bb],time[bb],ii*.1,date,time,ii*.1);
> tl_setextleft(han1,false);
> tl_setextright(han1,false);
> tl_setcolor(han1,HistColor);
> if ii >= vll and ii <= vhh then tl_setcolor(han1,ValueColor);
> if ii = iivmax then tl_setcolor(han1,cyan);
> end;
> end;
> end;
> { plot2(iivmax*.1,"",cyan,default,4);}
> plot3(vhh*.1,"",ValueColor,default,0); { property is BarHigh }
> plot4(vll*.1,"",ValueColor,default,0); { property is BarLow }
> cbPrev = currentbar;
> end;
>
>
>
>
>
> if false then begin
> plot1(0,"");
> plot2(0,"");
> plot3(0,"");
> plot4(0,"");
> end;
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