Supported Indicators
Time Profile
Introduction
This indicator represents an Indicator of the Market Profile with Time Price Opportunity (TPO) mode and its attributes
To view the implementation of this indicator, see the LEAN GitHub repository.
Using TP Indicator
To create an automatic indicators for TimeProfile, call the TP helper method from the QCAlgorithm class. The TP method creates a TimeProfile object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize method.
public class TimeProfileAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private TimeProfile _tp;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_tp = TP("SPY", 3, 0.70, 0.05);
}
public override void OnData(Slice data)
{
if (_tp.IsReady)
{
// The current value of _tp is represented by itself (_tp)
// or _tp.Current.Value
Plot("TimeProfile", "tp", _tp);
// Plot all properties of tp
Plot("TimeProfile", "volumeperprice", _tp.VolumePerPrice);
Plot("TimeProfile", "profilehigh", _tp.ProfileHigh);
Plot("TimeProfile", "profilelow", _tp.ProfileLow);
Plot("TimeProfile", "pocprice", _tp.POCPrice);
Plot("TimeProfile", "pocvolume", _tp.POCVolume);
Plot("TimeProfile", "valueareavolume", _tp.ValueAreaVolume);
Plot("TimeProfile", "valueareahigh", _tp.ValueAreaHigh);
Plot("TimeProfile", "valuearealow", _tp.ValueAreaLow);
}
}
} class TimeProfileAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.tp = self.TP("SPY", 3, 0.70, 0.05)
def OnData(self, slice: Slice) -> None:
if self.tp.IsReady:
# The current value of self.tp is represented by self.tp.Current.Value
self.Plot("TimeProfile", "tp", self.tp.Current.Value)
# Plot all attributes of self.tp
self.Plot("TimeProfile", "volumeperprice", self.tp.VolumePerPrice.Current.Value)
self.Plot("TimeProfile", "profilehigh", self.tp.ProfileHigh.Current.Value)
self.Plot("TimeProfile", "profilelow", self.tp.ProfileLow.Current.Value)
self.Plot("TimeProfile", "pocprice", self.tp.POCPrice.Current.Value)
self.Plot("TimeProfile", "pocvolume", self.tp.POCVolume.Current.Value)
self.Plot("TimeProfile", "valueareavolume", self.tp.ValueAreaVolume.Current.Value)
self.Plot("TimeProfile", "valueareahigh", self.tp.ValueAreaHigh.Current.Value)
self.Plot("TimeProfile", "valuearealow", self.tp.ValueAreaLow.Current.Value)
The following reference table describes the TP method:
TP()1/1
TimeProfile QuantConnect.Algorithm.QCAlgorithm.TP (
Symbol symbol,
*Int32 period,
*Decimal valueAreaVolumePercentage,
*Decimal priceRangeRoundOff,
*Resolution resolution,
*Func<IBaseData, TradeBar> selector
)
Creates an Market Profile indicator for the symbol with Time Price Opportunity (TPO) mode. The indicator will be automatically updated on the given resolution.
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a TimeProfile indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with a TradeBar. The indicator will only be ready after you prime it with enough data.
public class TimeProfileAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private TimeProfile _tp;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_tp = new TimeProfile(3, 0.70, 0.05);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGeValue(_symbol, out var bar))
{
_tp.Update(bar);
}
if (_tp.IsReady)
{
// The current value of _tp is represented by itself (_tp)
// or _tp.Current.Value
Plot("TimeProfile", "tp", _tp);
// Plot all properties of tp
Plot("TimeProfile", "volumeperprice", _tp.VolumePerPrice);
Plot("TimeProfile", "profilehigh", _tp.ProfileHigh);
Plot("TimeProfile", "profilelow", _tp.ProfileLow);
Plot("TimeProfile", "pocprice", _tp.POCPrice);
Plot("TimeProfile", "pocvolume", _tp.POCVolume);
Plot("TimeProfile", "valueareavolume", _tp.ValueAreaVolume);
Plot("TimeProfile", "valueareahigh", _tp.ValueAreaHigh);
Plot("TimeProfile", "valuearealow", _tp.ValueAreaLow);
}
}
} class TimeProfileAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.tp = TimeProfile(3, 0.70, 0.05)
def OnData(self, slice: Slice) -> None:
bar = slice.Bars.get(self.symbol)
if bar:
self.tp.Update(bar)
if self.tp.IsReady:
# The current value of self.tp is represented by self.tp.Current.Value
self.Plot("TimeProfile", "tp", self.tp.Current.Value)
# Plot all attributes of self.tp
self.Plot("TimeProfile", "volumeperprice", self.tp.VolumePerPrice.Current.Value)
self.Plot("TimeProfile", "profilehigh", self.tp.ProfileHigh.Current.Value)
self.Plot("TimeProfile", "profilelow", self.tp.ProfileLow.Current.Value)
self.Plot("TimeProfile", "pocprice", self.tp.POCPrice.Current.Value)
self.Plot("TimeProfile", "pocvolume", self.tp.POCVolume.Current.Value)
self.Plot("TimeProfile", "valueareavolume", self.tp.ValueAreaVolume.Current.Value)
self.Plot("TimeProfile", "valueareahigh", self.tp.ValueAreaHigh.Current.Value)
self.Plot("TimeProfile", "valuearealow", self.tp.ValueAreaLow.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class TimeProfileAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private TimeProfile _tp;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_tp = new TimeProfile(3, 0.70, 0.05);
RegisterIndicator(_symbol, _tp, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_tp.IsReady)
{
// The current value of _tp is represented by itself (_tp)
// or _tp.Current.Value
Plot("TimeProfile", "tp", _tp);
// Plot all properties of tp
Plot("TimeProfile", "volumeperprice", _tp.VolumePerPrice);
Plot("TimeProfile", "profilehigh", _tp.ProfileHigh);
Plot("TimeProfile", "profilelow", _tp.ProfileLow);
Plot("TimeProfile", "pocprice", _tp.POCPrice);
Plot("TimeProfile", "pocvolume", _tp.POCVolume);
Plot("TimeProfile", "valueareavolume", _tp.ValueAreaVolume);
Plot("TimeProfile", "valueareahigh", _tp.ValueAreaHigh);
Plot("TimeProfile", "valuearealow", _tp.ValueAreaLow);
}
}
} class TimeProfileAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.tp = TimeProfile(3, 0.70, 0.05)
self.RegisterIndicator(self.symbol, self.tp, Resolution.Daily)
def OnData(self, slice: Slice) -> None:
if self.tp.IsReady:
# The current value of self.tp is represented by self.tp.Current.Value
self.Plot("TimeProfile", "tp", self.tp.Current.Value)
# Plot all attributes of self.tp
self.Plot("TimeProfile", "volumeperprice", self.tp.VolumePerPrice.Current.Value)
self.Plot("TimeProfile", "profilehigh", self.tp.ProfileHigh.Current.Value)
self.Plot("TimeProfile", "profilelow", self.tp.ProfileLow.Current.Value)
self.Plot("TimeProfile", "pocprice", self.tp.POCPrice.Current.Value)
self.Plot("TimeProfile", "pocvolume", self.tp.POCVolume.Current.Value)
self.Plot("TimeProfile", "valueareavolume", self.tp.ValueAreaVolume.Current.Value)
self.Plot("TimeProfile", "valueareahigh", self.tp.ValueAreaHigh.Current.Value)
self.Plot("TimeProfile", "valuearealow", self.tp.ValueAreaLow.Current.Value)
The following reference table describes the TimeProfile constructor:
TimeProfile()1/2
TimeProfile QuantConnect.Indicators.TimeProfile (
*int period
)
Creates a new TimeProfile indicator with the specified period.
TimeProfile()2/2
TimeProfile QuantConnect.Indicators.TimeProfile (
string name,
int period,
*decimal valueAreaVolumePercentage
)
Creates a new TimeProfile indicator with the specified name, period and priceRangeRoundOff.
Visualization
The following image shows plot values of selected properties of TimeProfile using the plotly library.
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