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 Initializeinitialize 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 on_data(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 Updateupdate 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 on_data(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 on_data(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.
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