Will Zerodha ever release Market profile and volume profile?

#1

Hey @nithin , will you ever release volume profile based on tick data ? . many use only softwares for market profile , I know it’s copyrighted or something , can you do something about it ? ready to pay .

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#2

@vishnux volume profile based on tick data will be of much use if released. I’ve seen even some of global brokers’ platforms use only 1 min high-low-volume data to generate volume profiles. It may be little early to expect this from zerodha, because they already give volume profile based on intraday candles. Can @nithin tell intraday timeframe used to generate volume profile? And is it smoothed to show a nice looking histogram?
@vishnux if you have tick data, i can help you in getting the profile without buying any software. I have written a code in R (partly using bigmike’s code in futuresio) to calculate value area of a given volume profile histogram. Right now, I use 1 min data extracted from zerodha Pi (for equity, index futures) to get the volume profile. But I am struggling to get the data for internationally traded commodities like NYMEX/WTICrude. Can somebody share these data for commodities, if you have?

#3

Hi , I can provide tick data , but have you ever done with nifty or banknifty future continous ?

#4

Hi, not yet with continuous futures data. I use volume profile mostly to identify value area for Daily intraday data and to calculate the immediate bracket region’s value area (for example in Nifty Fut, the immediate bracket is from 2019-07-30 14:00 to last day). For calculating value area, I use the method given in the Appendix of Mind over markets.

If expiry date falls within a bracket timeline, continuous futures intraday data need to be used. If back series data is available, this can be done.

#5

Statistically speaking, I use barplot not histogram to get volume profile. @nithin Zerodha uses histogram with number of bins fixed (30, I think). Platforms like tradingview.com give the option to set the number to bins in the histogram. For the Nifty Futures (of Aug14 '19) volume profile produced by my code (attached), the number of bins equal to (11098.15 - 10935.85) / 0.05 = 3246. If we compare this profile with the one given by zerodha kite (for the same data), the distribution looks pretty similar.

The main advantage with barplot type of profiles (number of bars = number of ticks in the trading range) is the calculation of value area will be very accurate. From the Nifty futures Aug 14 ‘1min’ data, I get VAH 11077.9, VPOC 11048, VAL 11015.4.

#6

I sent you an PM , please check

#7

Volume profile is already there, but what you mean by using tick data? Market profile is there in our list of things to do.

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#8

Currently Which broker is providing Marketprofile… or any website…

#9

gocharting , but its not that good quality.

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#10

@siva Is there a tentative timeline for the release of Market Profile?

#11

No, we are working on various things.

#12

How to get Volume Profile on TV Chart?

#13

https://www.mypivots.com/investment-calculators/market-profile-calculator

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#14

Until yesterday I could see volume profile but now I am unable to see it on indicator list… do you have the same problem? Thanks in advance…

#15

Nifty Fut continuous (front month) - 30th July to 18th Sep - volume profile based on 1 min data. VAH, VPOC and VAL are 11116, 11026, and 10905


Banknifty Fut continuous (front month) - 20th Aug to 18th Sep - volume profile based on 1 min data. VAH, VPOC and VAL are 28099, 27926, and 27199