Candle Profile Indicator (Release 14)

Change History
Release 14
 Bug-fix for when there is no “real volume” data

Release 13
 Addition of High Volume Nodes (HVNs) and Low Volume Nodes (LVNs)
 Some tweaks to graphics
 Some code tidy-up

Release 12
 Improved graphics for “Real buy/sell volume” mode

Release 11
 Support for FXCM’s “Real Directional Volume” indicator.
NOTE: This is experimental addition and not part of the main functionality.

Release 10
 Added up/down colouring style
 POC, VWAP and Median can be set to “None”, this means the output is still
used for the profile colouring, but with no dot or line on the chart

Release 9
 Value Area can be computed from POC or VWAP
 Legend colour can be changed
 Fixed issue with profiles using tick data
 Using “extendHistory()” to allow greater than 5000 ticks or 15000 bars

Release 8
 Addition of Median and VWAP
 Modified to work with non-uniform time bases (e.g. Renko charts, range bar
charts, etc.)
 Minor fix to graphics

Release 7
 Modification of “Show profile” to allow centre/left/right alignment

Release 6
 Bug-fix (fixed issue of missing last tick)

Release 5
 Improved graphics for the micro-profile
 Bug-fix and other performance improvements
 Some changes to input parameter names and order
Release 4
 Modified license code (keys are now saved to internal database)
 Added NPOC support
 Modification of some display / colour options

Release 3
 Added micro-profile
 Removed support for HVN and LVN

Release 2
 Minor bug fix
 Added support for HVN and LVN
 Some code restructuring

Release 1
 This was the first official release version

Installation
This release consists of the following files:
 (This document)
 candle_profile.bin
 rbc_mp.lua
 rbc_utils.lua
 candle_profile_installer.exe

The indicator is installed with the aid of an “installer”. The files can also be installed
manually if required.

Platform Requirements
This software is for MarketScope 2.0 charting/trading application. There are no
special hardware or software requirements. If your PC will run the MarketScope 2.0
software then you are good to go.

Using the “installer”

Simply run “candle_profile_installer.exe” and follow the on-screen instructions.
(When prompted, you should normally use the suggested installation directory.)

Re-start TradingStation and MarketScope in order to see the indicator in the indicator
list. When installed correctly, the indicator appears under the “Market Profile” group
in the MarketScope indicator list.

Manual installation
The files “rbc_mp.lua” and “rbc_utils.lua” need to be manually copied into the
directory containing the TradingStation and MarketScope applications. This is
normally “C:\Program Files\Candleworks\FXTS2” although it could vary if you have
installed it into a different location.
The “candle_profile.bin” file should be imported into MarketScope as normal. Please
refer to MarketScope documentation on how to do this. When installed correctly, the
indicator appears under the “Market Profile” group in the MarketScope indicator list.

License Key
This product is activated by a license key. The key is normally supplied by email. The
license key should be copy/pasted into the “License key” input parameter field.
Failure to activate the product with the supplied key, or use of an invalid or expired
key will result in an error, and the product will not function.

NOTE: Since Release 4, the product will store the most recently entered valid license
key in an internal database. This means that it is no longer necessary to re-enter the
license key (or use the “Set as default” option) each time. However, if the database is
deleted (e.g. if you re-install TradingStation) then you will have to re-enter the key
again, so remember to keep it safe.

User Guide
Overview
The Candle Profile indicator constructs a price (or volume) profile of the traded
instrument, for each candle/bar on the chart. The profiling concept is similar Market
Profile or Volume Profile.

The indicator utilizes a lower timeframe data stream which is loaded separately (and
in the background) to the main chart. For example, a for a daily chart (where each
candle/bar represents 1 day duration), the Candle Profile can construct the profile
using 1min bars (or 5min, 15min, 1H, etc.). Obviously, the smaller the timeframe
used, the more detailed the profile will be. However, note that smaller timeframe data
takes longer to load, and that there is also an upper limit to the amount of data that can
be loaded (currently 15000 bars, or 5000 ticks).

The technique is really convenient, giving the benefits of multi-timeframe charts

without the need to have the lowest timeframe charts open (which can often present
too much data anyway).

One of the most important pieces of information generated by the profile is the Point
Of Control (POC), which is the most traded price (by time or volume). The POC is
often a pivot point and might act as future support or resistance. The Candle Profile
indicator can show the POC and also the Value Area, in a variety of display options.

Since Release 3 of the indicator, a “profile” for the profile can also be displayed. This
shows the price/volume profile as a vertical histogram. Peaks in the profile (known as
High Volume Nodes or HVNs) represent areas where the instrument was heavily
traded. Troughs in the profile (known as Low Volume Nodes or LVNs) represent
areas where the instrument was only lightly traded - either because price was rejected
there, or because price moved rapidly through it. Both HVN and LVNs can act as
support/resistance depending on the market direction and sentiment.
It is also possible to use MarketScope’s “Data Source” setting to specify that the
indicator should use a different time-period than the chart actually uses. For example,
you can have a 30min chart, but set the “Data Source” for the indicator to 4H.

The indicator is very flexible and has numerous options for calculation and display.

This indicator now also supports FXCM’s “Directional Real Volume” indicator. This
indicator can provide real volume (buy, sell and total) direct from FXCM’s order
books. However, there are a few things to note:
 The “Directional Real Volume” indicator has to be installed separately. The
indicator can be obtained from “FXCM Apps” site
(https://www.fxcmapps.com/apps/directional-real-volume/)
 The real volume data is only available for certain high liquidity instruments
(currently: EUR/USD, USD/JPY, GBP/USD, EUR/JPY, AUD/USD,
GBP/JPY, USD/CAD, AUD/JPY, USD/CHF, EUR/CHF, NZD/USD,
EUR/AUD, EUR/GBP and EUR/CAD).
 Historic data before 2010 does not appear to be available.
 The real volume data is loaded separately from FXCM’s servers. This takes an
additional amount of time, resulting in a delay before the indicator is drawn.
This could be a several seconds or even minutes depending on the size of the
chart.

IMPORTANT NOTE: There is a potential stability issue when using the “Real
Volume” modes. This appears to be due to resource issues caused by the way the
FXCM indicator is implemented. Using the “Real Volume” modes can cause the
Trading Station platform to crash occasionally. As such, this feature should be
considered as an experimental addition and not part of the main functionality. There is
no stability issue when using the normal modes (i.e. ‘Tick volume’ or ‘TPO’ modes).
Input Parameters

License Key

License key: You should enter the license key here in order to activate the product.
Calculation Parameters

Resolution: This is the size of the “statistical bins” which are used to collate the price
action data. The value is in pips. This value should not be too small relative to the
time-frame used, otherwise it creates too many bins which is computationally
expensive.

Period: This is the bar size used to create the profile. Whilst it is possible to use very
small bar size (down to tick), this can be computationally expensive, especially if the
chart is a much longer timeframe. Typically, for 1 hour bars/candles or less, tick data
or 1 min data is suitable; up to 4 hours bars/candles, 1 min or 5 min data should be ok;
and for higher timeframes, 5 min or 15 min should be adequate.

NOTE: Recent changes to the Trading Station / MarketScope platform have placed
limits on how much data can be loaded by indicators. Tick data is now limited to 5000
ticks and non-tick (e.g. 1min, 5min, etc.) is limited to 15000 bars. This limit applies to
how much data can be loaded when “back-filling” a new chart; the indicator will
continue to collect live data beyond the 5000 (or 15000) limit.

Profiling style: This can be ‘TPO count’, ‘Tick volume’, ‘Real volume’ or ‘Real
buy/sell volume’.

NOTE: The “real volume” modes (‘Real volume’ or ‘Real buy/sell volume’) are
experimental and rely on the presence of FXCM’s “Directional Real Volume”
indicator. There are a number of caveats when using this feature. Please refer to the
User Guide section above.
Initial bars: The “Initial bars” parameter can be used to reduce the amount of lower
timeframe data required by the indicator. For example, if “Initial bars” is set to 20,
then when the chart first loads only the last 20 bars/candles will have their profiles
calculated. NOTE: this only affects the initial loading; once the chart is running it will
continue to calculate the profiles for any new bars/candles, over and above this initial
value.

Value Area percentage: The percentage used for Value Area calculation. The default
is 70% which is approximately 2 standard deviations of a normal distribution.

Value Area mode: This can be POC or VWAP. It controls how the Value Area is
calculated, either starting from the POC or the VWAP. Traditionally, the POC is used.

HVN and LVN detection window: The indicator can draw lines for HVN (High
Value Nodes) and LVN (Low Value Nodes). This parameter specifies the window for
detection these high and low points on the profile.

Display Options

Show POC: This can be Off, Dot, Line or Cell. When set to Dot, the profiles’ POC
prices are shown as dots; when set to Line, the profiles’ POC prices are connected by
a line; when set to Cell, the profiles’ “cell” corresponding to the POC price is
coloured accordingly.

Show VWAP: This can be Off, Dot, Line or Cell. See “Show POC” description.

Show median: This can be Off, Dot, Line or Cell. See “Show POC” description.
Show Value Area: This can be Off, Dot, Line or Cell. See “Show POC” description.

Show HVN: This can be Off, Dot, Line or Cell. See “Show POC” description.

Show LVN: This can be Off, Dot, Line or Cell. See “Show POC” description.

Show profile: This can be Off, Dot, Line or Cell. See “Show POC” description.

Reverse profile direction: When set to Yes, the profile is drawn facing to the left.

Colours and Effects

Colouring effect: This can be Plain, Shaded, Faded, Rainbow, “Special A”, “Special
B” or Up/down. It is used to set the colouring of the profile graphics. If the effect is
Plain then the graphics are just drawn with the specified colour. If the effect is Shaded,
then the graphics are shaded from the selected colour to black. If the effect is Faded,
then the graphics are faded from the selected colour to white. If the effect is Rainbow,
then the graphics are coloured with a “temperature” hue which varies from purple
(cold) to red (hot); higher values (TPO count or volume) have “hotter” colours and
lower values (TPO count or volume) have “cooler” colours. The “Special A” option
colours the graphics according to the Value Area (“Special A colour 1” is used for the
area above the Value Area, and “Special A colour 2” is used for the area below the
Value Area). The “Special B” option colours the profile according to how recent the
level was touched by price action (with red being the most recent through to magenta
being the oldest). The Up/down option colours the profile according to whether it
was an up or down bar (i.e. closes above or below the open).

Colour: The base colour of the profile.

POC colour: The colour of the Point Of Control (POC).

VWAP colour: The colour of the Volume Weighted Average Price (VWAP).

Median colour: The colour of the Median price.

Value Area colour: The colour of the Value Area.

HVN colour: The colour for High Volume Node lines (HVNs).

LVN colour: The colour for Low Volume Node lines (LVNs).

Special A colour 1: This is one of the colours used for the “Special” effect mode. In
the current release this colour is used for the area above the Value Area.

Special A colour 2: This is one of the colours used for the “Special” effect mode. In
the current release this colour is used for the area below the Value Area.

Buy volume colour: The colour used for buy volume. This is only used with the
“Real buy/sell volume” profiling style.

Sell volume colour: The colour used for sell volume. This is only used with the “Real
buy/sell volume” profiling style.

Delta volume colour: The colour used for delta volume (i.e. buy - sell). This is only
used with the “Real buy/sell volume” profiling style.

Outline colour: This is the colour of the outline of the bars for the profile. NOTE:
when this is set to white, the outline is not drawn at all.

Up colour: This is the colour of the profile when using the “Up/down” effect mode.

Down colour: This is the colour of the profile when using the “Up/down” effect mode.

Line width: The width used for the POC and Value Area lines / dots.

Profile width: This value is used to scale the width of the profile. It is a % value. If
set to 100%, then the profile will be the same width as a candle. Normally it is best to
have this set to < 100% so the profiles do not overlap.
Transparency percentage: The transparency of the profile.

Screenshots

Figure 1 : POC shown as black dot

Figure 2 : POC shown as black dot, Value Area shown as a vertical line on the candle
 Figure 3 : Profile, using "Special" colouring mode

Figure 4 : Profile, with the cell outlines disabled (set "Outline colour" to white)

Figure 5 : Profile with the profile reversed

 Figure 6 : 30min candle chart, but "Data Source" set to 4H
(NOTE: also using “Show profile” set to Left to align the profile to the left of the 4H period).

Figure 7 : Two instances of Candle Profile indicator are used here. The magenta profile is a
regular profile of each chart candle; the cyan profile is using "Data Source" set to D1 (i.e. a daily
profile).
Figure 8 : Profile with POC, VWAP and Median drawn as dots and on the profile

Figure 9 : Profile using Up/down colouring effect

Figure 10 : Profile using the "Real buy/sell volume" style

 Figure 11 : Profile using "Real buy/sell volume" style, showing positive/negative delta

Educational Links
The following links provide some good background information on Market Profile,
which is useful to understand the concept behind the Candle Profile indicator:
 http://en.wikipedia.org/wiki/Market_profile
 http://www.cisco-futures.com/marketprofile_basic.html

You can also check out my blog (http://robocod.blogspot.co.uk/) which has some
additional resources.
Risk Disclaimer
Trading Foreign Exchange (Forex), Contracts For Difference (CFDs), or other
financial products, carries a high level of risk, and may not be suitable for all
investors. Before deciding to invest you should carefully consider your investment
objectives, level of experience, and risk appetite. The possibility exists that you could
sustain a loss of some or all of your initial investment and therefore you should not
invest money that you cannot afford to lose. You should be aware of all the risks
associated with trading, and seek advice from an independent financial advisor if you
have any doubts.

Software Disclaimer and Licensing

Copyright 2018 Steven Dickinson. All rights reserved.

THIS SOFTWARE IS PROVIDED BY Steven Dickinson ''AS IS'' AND ANY

EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO,
THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A
PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL Steven
Dickinson OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT,
INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE
GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT
OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY
OF SUCH DAMAGE.

You are not permitted to resell, repackage or otherwise distribute this software in
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