Supported Indicators

Volume Profile

Introduction

This indicator represents an Indicator of the Market Profile with Volume Profile mode and its attributes

To view the implementation of this indicator, see the LEAN GitHub repository.

Using VP Indicator

To create an automatic indicators for VolumeProfile, call the VP helper method from the QCAlgorithm class. The VP method creates a VolumeProfile 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 VolumeProfileAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeProfile _vp;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vp = VP(_symbol, 3, 0.70, 0.05);
    }

    public override void OnData(Slice data)
    {
        if (_vp.IsReady)
        {
            // The current value of _vp is represented by itself (_vp)
            // or _vp.Current.Value
            Plot("VolumeProfile", "vp", _vp);
            // Plot all properties of vp
            Plot("VolumeProfile", "profilehigh", _vp.ProfileHigh);
            Plot("VolumeProfile", "profilelow", _vp.ProfileLow);
            Plot("VolumeProfile", "pocprice", _vp.POCPrice);
            Plot("VolumeProfile", "pocvolume", _vp.POCVolume);
            Plot("VolumeProfile", "valueareavolume", _vp.ValueAreaVolume);
            Plot("VolumeProfile", "valueareahigh", _vp.ValueAreaHigh);
            Plot("VolumeProfile", "valuearealow", _vp.ValueAreaLow);
        }
    }
}
class VolumeProfileAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vp = self.VP(self.symbol, 3, 0.70, 0.05)

    def OnData(self, slice: Slice) -> None:
        if self.vp.IsReady:
            # The current value of self.vp is represented by self.vp.Current.Value
            self.Plot("VolumeProfile", "vp", self.vp.Current.Value)
            # Plot all attributes of self.vp
            self.Plot("VolumeProfile", "profilehigh", self.vp.ProfileHigh)
            self.Plot("VolumeProfile", "profilelow", self.vp.ProfileLow)
            self.Plot("VolumeProfile", "pocprice", self.vp.POCPrice)
            self.Plot("VolumeProfile", "pocvolume", self.vp.POCVolume)
            self.Plot("VolumeProfile", "valueareavolume", self.vp.ValueAreaVolume)
            self.Plot("VolumeProfile", "valueareahigh", self.vp.ValueAreaHigh)
            self.Plot("VolumeProfile", "valuearealow", self.vp.ValueAreaLow)

The following reference table describes the VP method:

VP()1/1

            VolumeProfile QuantConnect.Algorithm.QCAlgorithm.VP (
    Symbol                            symbol,
    *Int32                            period,
    *Decimal                          valueAreaVolumePercentage,
    *Decimal                          priceRangeRoundOff,
    *Resolution                       resolution,
    *Func<IBaseData, TradeBar>  selector
   )
        

Creates an Market Profile indicator for the symbol with Volume Profile (VOL) 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 VolumeProfile 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 VolumeProfileAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeProfile _vp;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vp = new VolumeProfile("", 3, 0.70, 0.05);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _vp.Update(bar);
        }
   
        if (_vp.IsReady)
        {
            // The current value of _vp is represented by itself (_vp)
            // or _vp.Current.Value
            Plot("VolumeProfile", "vp", _vp);
            // Plot all properties of vp
            Plot("VolumeProfile", "profilehigh", _vp.ProfileHigh);
            Plot("VolumeProfile", "profilelow", _vp.ProfileLow);
            Plot("VolumeProfile", "pocprice", _vp.POCPrice);
            Plot("VolumeProfile", "pocvolume", _vp.POCVolume);
            Plot("VolumeProfile", "valueareavolume", _vp.ValueAreaVolume);
            Plot("VolumeProfile", "valueareahigh", _vp.ValueAreaHigh);
            Plot("VolumeProfile", "valuearealow", _vp.ValueAreaLow);
        }
    }
}
class VolumeProfileAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vp = VolumeProfile("", 3, 0.70, 0.05)

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.vp.Update(bar)
        if self.vp.IsReady:
            # The current value of self.vp is represented by self.vp.Current.Value
            self.Plot("VolumeProfile", "vp", self.vp.Current.Value)
            # Plot all attributes of self.vp
            self.Plot("VolumeProfile", "profilehigh", self.vp.ProfileHigh)
            self.Plot("VolumeProfile", "profilelow", self.vp.ProfileLow)
            self.Plot("VolumeProfile", "pocprice", self.vp.POCPrice)
            self.Plot("VolumeProfile", "pocvolume", self.vp.POCVolume)
            self.Plot("VolumeProfile", "valueareavolume", self.vp.ValueAreaVolume)
            self.Plot("VolumeProfile", "valueareahigh", self.vp.ValueAreaHigh)
            self.Plot("VolumeProfile", "valuearealow", self.vp.ValueAreaLow)

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.

public class VolumeProfileAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeProfile _vp;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vp = new VolumeProfile("", 3, 0.70, 0.05);
        RegisterIndicator(_symbol, _vp, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_vp.IsReady)
        {
            // The current value of _vp is represented by itself (_vp)
            // or _vp.Current.Value
            Plot("VolumeProfile", "vp", _vp);
            
        }
    }
}
class VolumeProfileAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vp = VolumeProfile("", 3, 0.70, 0.05)
        self.RegisterIndicator(self.symbol, self.vp, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.vp.IsReady:
            # The current value of self.vp is represented by self.vp.Current.Value
            self.Plot("VolumeProfile", "vp", self.vp.Current.Value)
            

The following reference table describes the VolumeProfile constructor:

VolumeProfile()1/2

            VolumeProfile QuantConnect.Indicators.VolumeProfile (
    *int  period
   )
        

Creates a new VolumeProfile indicator with the specified period.

VolumeProfile()2/2

            VolumeProfile QuantConnect.Indicators.VolumeProfile (
    string    name,
    int       period,
    *decimal  valueAreaVolumePercentage
   )
        

Creates a new VolumeProfile indicator with the specified name, period and priceRangeRoundOff.

Visualization

The following image shows plot values of selected properties of VolumeProfile using the plotly library.

VolumeProfile line plot.

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