Volume-profile.txt

//@version=5
indicator("Volume profile", overlay=true, max_boxes_count=500, max_bars_back=1000)

//Inputs
//==========================
sessionType = input.string('Daily', 'Session Type', options=['Daily','Weekly'])
showPoc = input.bool(true, 'Show POC', group='Display')
showVA = input.bool(true, 'Show VAH and VAL', group='Display')
resolution = input.int(30, 'Resolution', minval=5, tooltip='The higher the value, the more refined of a profile, but less profiles shown on chart', group='Volume Profile Settings')
VAwid = input.int(70, 'Value Area Volume %', minval=1, maxval=100, group='Volume Profile Settings')
volType = input.string('Volume', 'Profile Data Type', group='Volume Profile Settings')
smoothVol = input.bool(false, 'Smooth Volume Data', tooltip='Useful for assets that have very large spikes in volume over large bars - helps create better profiles', group='Volume Profile Settings')
dataTf = ''

pocCol = input.color(color.red, 'POC', inline='p', group='Appearance')
pocWid = input.int(1, 'Thickness', inline='p', group='Appearance')
vahCol = input.color(color.aqua, 'VAH', inline='h', group='Appearance')
vahWid = input.int(1, 'Thickness', inline='h', group='Appearance')
valCol = input.color(color.aqua, 'VAL', inline='l', group='Appearance')
valWid = input.int(1, 'Thickness', inline='l', group='Appearance')

//==========================
//Constants / Variable Declaration
//========================== 
var int zoneStart = 0
var int tokyoStart = 0
var int londonStart = 0
var int nyStart = 0
int lookback = bar_index - zoneStart
var activeZone = false

// Defining arrays that store the information
var vpGreen = array.new_float(resolution, 0) // Sum of volume on long bars
var vpRed = array.new_float(resolution, 0) // Same thing but with red bars
var zoneBounds = array.new_float(resolution, 0) // array that stores the highest value that can be in a zone

//Values to store current intra bar data
var float[] ltfOpen =  array.new_float(0)
var float[] ltfClose =  array.new_float(0)
var float[] ltfHigh =  array.new_float(0)
var float[] ltfLow =  array.new_float(0)
var float[] ltfVolume = array.new_float(0)

//Getting OI Data
string userSymbol = syminfo.prefix + ":" + syminfo.ticker
string openInterestTicker = str.format("{0}_OI", userSymbol)
string timeframe = syminfo.type == "futures" and timeframe.isintraday ? "1D" : timeframe.period
deltaOi = request.security(openInterestTicker, timeframe, close-close[1], ignore_invalid_symbol = true)

//Selecting what vol type to use
vol() =>
    out = smoothVol ? ta.ema(volume, 5) : volume
    if volType == 'Open Interest'
        out := deltaOi
    out

//Getting intrabar intial data
[dO, dC, dH, dL, dV] = request.security_lower_tf(syminfo.tickerid, dataTf, [open, close, high, low, vol()])

//==========================
//Functions
//==========================
resetProfile(enable) =>
    if enable
        array.fill(vpGreen, 0)
        array.fill(vpRed, 0)
        array.clear(ltfOpen)
        array.clear(ltfHigh)
        array.clear(ltfLow)
        array.clear(ltfClose)
        array.clear(ltfVolume)

profHigh = ta.highest(high, lookback+1)[1]
profLow = ta.lowest(low, lookback+1)[1]

tr = ta.atr(1)
atr = ta.atr(14)

get_vol(y11, y12, y21, y22, height, vol) =>
    nz(math.max(math.min(math.max(y11, y12), math.max(y21, y22)) - math.max(math.min(y11, y12), math.min(y21, y22)), 0) * vol / height)

profileAdd(o, h, l, c, v, g, w) =>
    //Array to store how much to distribute in each zone, on scale of 1 for full gap size to 0
    zoneDist = array.new_float(resolution, 0)
    distSum = 0.0
    // Going over each zone
    for i = 0 to array.size(vpGreen) - 1
        // Checking to see if cur bar is in zone
        zoneTop = array.get(zoneBounds, i)
        zoneBot = zoneTop - g

        body_top = math.max(c, o)
        body_bot = math.min(c, o)
        itsgreen = c >= o

        topwick = h - body_top
        bottomwick = body_bot - l
        body = body_top - body_bot

        bodyvol = body * v / (2 * topwick + 2 * bottomwick + body)
        topwickvol = 2 * topwick * v / (2 * topwick + 2 * bottomwick + body)
        bottomwickvol = 2 * bottomwick * v / (2 * topwick + 2 * bottomwick + body)

        if volType == 'Volume'
            array.set(vpGreen, i, array.get(vpGreen, i) + (itsgreen ? get_vol(zoneBot, zoneTop, body_bot, body_top, body, bodyvol) : 0) + get_vol(zoneBot, zoneTop, body_top, h, topwick, topwickvol) / 2 + get_vol(zoneBot, zoneTop, body_bot, l, bottomwick, bottomwickvol) / 2)
            array.set(vpRed, i, array.get(vpRed, i) + (itsgreen ? 0 : get_vol(zoneBot, zoneTop, body_bot, body_top, body, bodyvol)) + get_vol(zoneBot, zoneTop, body_top, h, topwick, topwickvol) / 2 + get_vol(zoneBot, zoneTop, body_bot, l, bottomwick, bottomwickvol) / 2)

calcSession(update) =>
    array.fill(vpGreen, 0)
    array.fill(vpRed, 0)
    if bar_index > lookback and update
        gap = (profHigh - profLow) / resolution

        // Defining profile bounds
        for i = 0 to resolution - 1
            array.set(zoneBounds, i, profHigh - gap * i)

        // Putting each bar inside zone into the volume profile array
        if array.size(ltfOpen) > 0
            for j = 0 to array.size(ltfOpen) - 1    
                profileAdd(array.get(ltfOpen, j), array.get(ltfHigh, j), array.get(ltfLow, j), array.get(ltfClose, j), array.get(ltfVolume, j), gap, 1)

pocLevel() =>
    float maxVol = 0
    int levelInd = 0
    for i = 0 to array.size(vpRed) - 1
        if array.get(vpRed, i) + array.get(vpGreen, i) > maxVol
            maxVol := array.get(vpRed, i) + array.get(vpGreen, i)
            levelInd := i
    
    float outLevel = na
    if levelInd != array.size(vpRed) - 1
        outLevel := array.get(zoneBounds, levelInd) - (array.get(zoneBounds, levelInd) - array.get(zoneBounds, levelInd+1)) / 2
    outLevel

valueLevels(poc) =>
    float gap = (profHigh - profLow) / resolution
    float volSum = array.sum(vpRed) + array.sum(vpGreen)
    float volCnt = 0
    
    float vah = profHigh
    float val = profLow

    //Finding poc index
    int pocInd = 0
    for i = 0 to array.size(zoneBounds)-2
        if array.get(zoneBounds, i) >= poc and array.get(zoneBounds, i + 1) < poc
            pocInd := i
    
    volCnt += (array.get(vpRed, pocInd) + array.get(vpGreen, pocInd))
    for i = 1 to array.size(vpRed)
        if pocInd + i >= 0 and pocInd + i < array.size(vpRed)    
            volCnt += (array.get(vpRed, pocInd + i) + array.get(vpGreen, pocInd + i))
            if volCnt >= volSum * (VAwid/100)    
                break 
            else
                val := array.get(zoneBounds, pocInd + i) - gap
        if pocInd - i >= 0 and pocInd - i < array.size(vpRed)    
            volCnt += (array.get(vpRed, pocInd - i) + array.get(vpGreen, pocInd - i))
            if volCnt >= volSum * (VAwid/100)    
                break 
            else
                vah := array.get(zoneBounds, pocInd - i)
    [val, vah]

drawCurZone(update, delete) =>
    var line pocLine = na
    var line vahLine = na
    var line valLine = na
    var label sessionLab = na

    if bar_index > lookback and update and array.sum(vpGreen) + array.sum(vpRed) > 0
        //Clearing the previous boxes and array
        if not na(pocLine)
            line.delete(pocLine)
        if not na(vahLine)
            line.delete(vahLine)
        if not na(valLine)
            line.delete(valLine)
        if not na(sessionLab)
            label.delete(sessionLab)
       
        gap = (profHigh - profLow) / resolution
        float leftMax = bar_index[lookback]
        float rightMax = bar_index[int(lookback / 1.4)]
        float rightMaxVol = array.max(vpGreen)+array.max(vpRed)
        float buffer = gap / 10

        poc = pocLevel()
        [val, vah] = valueLevels(poc)
        if showPoc    
            line.delete(pocLine)
            pocLine := line.new(int(leftMax), poc, bar_index-1, poc, color=pocCol, width=pocWid)
        if showVA
            line.delete(vahLine)
            line.delete(valLine)            
            vahLine := line.new(int(leftMax), vah, bar_index-1, vah, color=vahCol, width=vahWid)
            valLine := line.new(int(leftMax), val, bar_index-1, val, color=valCol, width=valWid)

    if delete
        line.delete(pocLine)
        line.delete(vahLine)
        line.delete(valLine)

combArray(arr1, arr2) =>
    out = array.copy(arr1)
    if array.size(arr2) > 0
        for i = 0 to array.size(arr2) - 1
            array.push(out, array.get(arr2, i))   

updateIntra(o, h, l, c, v) =>
    if array.size(o) > 0
        for i = 0 to array.size(o) - 1
            array.push(ltfOpen, array.get(o, i))
            array.push(ltfHigh,array.get(h, i)) 
            array.push(ltfLow,array.get(l, i)) 
            array.push(ltfClose,array.get(c, i)) 
            array.push(ltfVolume,array.get(v, i))
    
//Calculations
//Detecting different start dates
newDaily = dayofweek != dayofweek[1]
newWeekly = weekofyear != weekofyear[1]
newMonthly = (dayofmonth != dayofmonth[1] + 1) and (dayofmonth != dayofmonth[1])

utcHour = hour(time(timeframe.period, '0000-2400', 'GMT'), 'GMT')

newSession = switch sessionType

    'Daily' => newDaily
    'Weekly' => newWeekly
    => newDaily

zoneEnd = switch sessionType
    'Daily' => newDaily
    'Weekly' => newWeekly
    => newDaily

//Re calculating and drawing zones
calcSession(zoneEnd or (barstate.islast))
// drawNewZone(zoneEnd)
drawCurZone(barstate.islast and not zoneEnd and activeZone, zoneEnd)

//Reseting profie at start of new zone
resetProfile(newSession)

//Updating data arrays
updateIntra(dO, dH, dL, dC, dV)

//Reseting zone start value
if zoneEnd 
    activeZone := false

if newSession
    zoneStart := bar_index
    activeZone := true

londonHigh = ta.highest(high, bar_index-londonStart+1)
tokyoHigh = ta.highest(high, bar_index-tokyoStart+1)
nyHigh = ta.highest(high, bar_index-nyStart+1)

londonLow = ta.lowest(low, bar_index-londonStart+1)
tokyoLow = ta.lowest(low, bar_index-tokyoStart+1)
nyLow = ta.lowest(low, bar_index-nyStart+1)