IVolumeProfile / Profile2

IVolumeProfile defines the data contract for a single volume profile. Profile2 is the concrete implementation that calculates POC, Value Area, VWAP, standard deviations, TPO, and per-level volume data.

Namespace: MZpack Inheritance: IVolumeProfile : IModelItem2 Implementation: Profile2 : ProfileBase, IModelItem2, IVolumeProfile Source: MZpackBase/mzVolumeProfile/IVolumeProfile.cs, MZpackBase/mzVolumeProfile/Profile2.cs

Key Level Properties

Property	Type	Description
`POC`	`double`	Point of Control — price with highest volume
`TickPOC`	`double`	Tick-level POC (finer than TicksPerLevel)
`VAH`	`double`	Value Area High
`VAL`	`double`	Value Area Low
`VWAP`	`double`	Volume Weighted Average Price
`MID`	`double`	Midpoint of the profile range

Standard Deviations

Property	Type	Description
`Deviation`	`double`	Standard deviation value
`_1StdDeviationPos`	`double`	VWAP + 1 standard deviation
`_1StdDeviationNeg`	`double`	VWAP - 1 standard deviation
`_2StdDeviationPos`	`double`	VWAP + 2 standard deviations
`_2StdDeviationNeg`	`double`	VWAP - 2 standard deviations

OHLC and Range

Property	Type	Description
`Open`	`double`	Profile open price
`Close`	`double`	Profile close price
`High`	`double`	Profile high price
`Low`	`double`	Profile low price
`RangeTicks`	`int`	Profile range in ticks
`DurationMs`	`double`	Profile duration in milliseconds

Volume and Delta

Property	Type	Description
`Volume`	`long`	Total volume
`BuyVolume`	`long`	Buy (ask) volume
`SellVolume`	`long`	Sell (bid) volume
`Delta`	`long`	Delta (BuyVolume - SellVolume)
`DeltaPercentage`	`double`	Delta as percentage of volume
`POCVolume`	`long`	Volume at POC
`BuyPOCVolume`	`long`	Buy volume at POC
`SellPOCVolume`	`long`	Sell volume at POC
`VAVolume`	`long`	Total volume within Value Area
`TradesNumber`	`long`	Number of trades

TPO Properties

Property	Type	Description
`TPO_POC`	`double`	TPO-based Point of Control
`TPO_VAH`	`double`	TPO-based Value Area High
`TPO_VAL`	`double`	TPO-based Value Area Low
`TPOLettersCount`	`int`	Number of TPO letters/periods
`IBHigh`	`double`	Initial Balance High
`IBLow`	`double`	Initial Balance Low

Per-Level Data

Property	Type	Description
`Volumes`	`SortedDictionary<double, long>`	Total volume per price level
`BuyVolumes`	`SortedDictionary<double, long>`	Buy volume per price level
`SellVolumes`	`SortedDictionary<double, long>`	Sell volume per price level
`Deltas`	`SortedDictionary<double, long>`	Delta per price level

Developing Data (by bar index)

These dictionaries track how profile levels evolve over time:

Property	Type	Description
`VWAPs`	`SortedDictionary<int, double>`	VWAP at each bar index
`Deviations`	`SortedDictionary<int, double>`	Standard deviation at each bar index
`POCs`	`SortedDictionary<int, double>`	POC at each bar index
`VAHs`	`SortedDictionary<int, double>`	VAH at each bar index
`VALs`	`SortedDictionary<int, double>`	VAL at each bar index

Time Range (from IModelItem2)

Property	Type	Description
`Begin`	`DateTime`	Profile start time
`End`	`DateTime`	Profile end time
`BeginBarIdx`	`int`	First bar index
`EndBarIdx`	`int`	Last bar index
`IsDeveloping`	`bool`	Whether the profile is still being built
`IsEmpty`	`bool`	Whether the profile has no data

Methods

Method	Return Type	Description
`IsRTH()`	`bool`	Whether the profile is within Regular Trading Hours
`IsETH()`	`bool`	Whether the profile is within Extended Trading Hours
`AssignRange(int beginBarIdx, int endBarIdx)`	`bool`	Assign the profile to a bar range
`AssignRange(DateTime begin, DateTime end)`	`bool`	Assign the profile to a time range
`Intersects(IVolumeProfile profile)`	`bool`	Check if two profiles overlap in time
`RefreshViewModel()`	`void`	Refresh the visual representation

Example: Read POC and VWAP

IVolumeProfile profile = vpIndicator.GetProfile(0);

double poc = profile.POC;
double vwap = profile.VWAP;
double vah = profile.VAH;
double val = profile.VAL;

// Volume breakdown at POC
long pocBuyVol = profile.BuyPOCVolume;
long pocSellVol = profile.SellPOCVolume;

// Standard deviations around VWAP
double upper1SD = profile._1StdDeviationPos;
double lower1SD = profile._1StdDeviationNeg;
double upper2SD = profile._2StdDeviationPos;
double lower2SD = profile._2StdDeviationNeg;

// Iterate volume ladder
foreach (var kvp in profile.Volumes)
{
    double price = kvp.Key;
    long volume = kvp.Value;
    long delta = profile.Deltas.ContainsKey(price) ? profile.Deltas[price] : 0;
}

Key Level Properties​

Standard Deviations​

OHLC and Range​

Volume and Delta​

TPO Properties​

Per-Level Data​

Developing Data (by bar index)​

Time Range (from IModelItem2)​

Methods​

Example: Read POC and VWAP​

See Also​