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/Greg
{ INDICATOR: PriceDistribution }
input: date1(-1), TimeStart(930), TimeEnd(1600), HistColor(darkgray),
ValueArea(.4), ValueColor(blue), HistBarSiz(0);
input: EveryMins(15), MinsBack(0);
input: ShoHist(true);
input: Cumulative(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,
LastCalcDate if its -1
TimeStart, TimeEnd - 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 "0", the same
as EveryMins
ShoHist - if false, just the Value Area is plotted like a bar
Cumulative - if false, shows the distribution for the past interval
only; if true,
shows the cumulative distribution during the day
}
{ author: Gregory Wood (swissfranc@xxxxxxxxxxx)
rev 0: 2001 - initial release
rev 1: 2003-02-14 - added Cumulative to show how the distribution
evolves during the day;
automated Base for use with minmove and pricescale, making it
usable for other contracts
}
array: v[20000](0);
var: base(0);
var: ControlPoint(0), hVA(0), lVA(0);
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), loop(0),
totv(0), vmaxpc(0);
var: PriceFac(0), InvPriceFac(0);
if currentbar = 1 then begin
hh = h;
ll = l;
base = close * InvPriceFac;
value1 = c[200]; {for autolookback}
PriceFac = minmove/pricescale;
InvPriceFac = pricescale/minmove;
end;
mins =
EveryMins*intportion((timetominutes(time)-timetominutes(TimeStart))/EveryMins);
{ new day, so show yesterday's range and Value Area as single bar}
if hh > 0 and ll > 0 and hVA > 0 and lVA > 0 and ControlPoint > 0 then
if time >= TimeStart and (time[1] < TimeStart or date <> date[1]) then begin
han1 =
tl_new(date,time,PriceFac*ControlPoint+.5*PriceFac,date,time,PriceFac*ControlPoint-.5*PriceFac);
tl_setcolor(han1,cyan);
tl_setsize(han1,5);
han1 = tl_new(date,time,PriceFac*hVA,date,time,PriceFac*lVA);
tl_setcolor(han1,blue);
tl_setsize(han1,5);
han1 = tl_new(date,time,hh,date,time,ll);
tl_setcolor(han1,darkgray);
tl_setsize(han1,5);
end;
{ clear v array at the start of the day }
if Mins = EveryMins and Mins[1] <> EveryMins then begin
cbPrev = currentbar;
for ii = ll * InvPriceFac - base to hh * InvPriceFac - base begin
v[ii] = 0;
end;
hh = h;
ll = l;
end;
{ whenever its time to show a new histogram }
if time <> time[1] then
if (date1 = date or date1 = 0 or date1 = -1) and
((time >= TimeStart and time <= TimeEnd) or TimeStart = 0 or TimeEnd
= 0 or time = Sess1EndTime) and
(mins <> mins[1] or time = Sess1EndTime) then begin
{ clear v array at start of interval, unless its cumulative }
if Cumulative = false then
for ii = ll * InvPriceFac - base to hh * InvPriceFac - base begin
v[ii] = 0;
end;
{ find start of interval }
cb = 0;
Sanity = true;
targ = timetominutes(time) - iff(MinsBack=0,EveryMins,MinsBack);
while Sanity and targ <= timetominutes(time[cb]) 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;
cbprev = currentbar - cb;
{ add bars (or tick) to list }
if Cumulative = false then begin
hh = h;
ll = l;
end;
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] + PriceFac then m1 = c[ij+1] + PriceFac
else if m2 < c[ij+1] - PriceFac then m2 = c[ij+1] - PriceFac;
for ii = m1 * InvPriceFac - base to m2 * InvPriceFac - base begin
v[ii] = v[ii] + 1;
end;
end;
{ find Value Area }
maxv = 0;
totv = 0;
for ii = ll * InvPriceFac to hh * InvPriceFac begin
{ identify the point of control }
totv = totv + v[ii - base];
if maxv < v[ii - base] then begin
maxv = v[ii - base];
ControlPoint = ii;
end;
end;
vmaxpc = maxv;
hVA = ControlPoint;
lVA = ControlPoint;
loop = 0;
if maxV > 0 then
while loop < 500 and vmaxpc / totv < ValueArea begin
loop = loop + 1;
if v[hVA + 1 - base] > v[lVA - 1 - base] then begin
hVA = hVA + 1;
vmaxpc = vmaxpc + v[hVA - base];
end else begin
lVA = lVA - 1;
vmaxpc = vmaxpc + v[lVA - base];
end;
end;
{ display the list }
if ShoHist then
if date1 <> -1 or date = lastcalcdate then
if date = date[1] then
for ii = ll * InvPriceFac to hh * InvPriceFac begin
if maxV > 0 then begin
bb = maxlist(1, v[ii - base] * (currentbar - cbPrev) / maxV);
if time[bb] <> time then begin
han1 =
tl_new(date[bb],time[bb],ii*PriceFac,date,time,ii*PriceFac);
tl_setextleft(han1,false);
tl_setextright(han1,false);
tl_setcolor(han1,HistColor);
tl_setsize(han1,HistBarSiz);
if ii >= lVA and ii <= hVA then tl_setcolor(han1,ValueColor);
if ii = ControlPoint then tl_setcolor(han1,cyan);
end;
end;
end;
end;
if false then begin
plot1(0,"");
plot2(0,"");
plot3(0,"");
plot4(0,"");
end;
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