/// <summary>
/// Returns the volume profile of x latest bars in a market series
/// </summary>
/// <param name="bars"></param>
/// <param name="index">Last Bar Index</param>
/// <param name="periods">Number of previous bars before provided index</param>
/// <param name="symbol">The market series symbol</param>
/// <returns>List<PriceVolume></returns>
public static List <PriceLevel> GetVolumeProfile(this Bars bars, int index, int periods, Symbol symbol)
{
var result = new List <PriceLevel>();
for (var i = index; i > index - periods; i--)
{
var barRange = bars.GetBarRange(i);
var barVolume = bars.TickVolumes[i];
if (barRange <= 0 || barVolume <= 0)
{
continue;
}
var percentageAboveBarClose = (bars.HighPrices[i] - bars.ClosePrices[i]) / barRange;
var percentageBelowBarClose = (bars.ClosePrices[i] - bars.LowPrices[i]) / barRange;
var bullishVolume = barVolume * percentageBelowBarClose;
var bearishVolume = barVolume * percentageAboveBarClose;
var barRangeInPips = symbol.ToPips(barRange);
var bullishVolumePerPips = bullishVolume / barRangeInPips;
var bearishVolumePerPips = bearishVolume / barRangeInPips;
for (var level = bars.LowPrices[i]; level <= bars.HighPrices[i]; level += symbol.PipSize)
{
level = Math.Round(level, symbol.Digits);
var priceLevel = result.FirstOrDefault(pLevel => pLevel.Level == level);
if (priceLevel == null)
{
priceLevel = new PriceLevel
{
Level = level
};
result.Add(priceLevel);
}
priceLevel.BullishVolume += bullishVolumePerPips;
priceLevel.BearishVolume += bearishVolumePerPips;
}
}
return(result);
}
public bool Equals(PriceLevel other)
{
return(other != null && other.Level == Level);
}