Data Access — mzVolumeProfile

Demonstrates how to access volume profile data from StrategyVolumeProfileIndicator with Minute accuracy. On each bar close, the strategy prints developing POC, VAH, VAL, and VWAP values for the current session profile.

Source: [INSTALL PATH]/API/Samples/DataAccess_mzVolumeProfile_MinuteAccuracy.cs Class: DataAccess_mzVolumeProfile_MinuteAccuracy : MZpackStrategyBase

Indicator Setup

volumeProfileIndicator = new StrategyVolumeProfileIndicator(this, @"VolumeProfile")
{
    Calculate = Calculate.OnBarClose,
    ShowProfileType = ProfileType.VP,
    ProfileAccuracy = ProfileAccuracy.Minute,
    ProfileCreation = ProfileCreation.Session,
    POCMode = LevelMode.Developing,
    VAHVALMode = LevelMode.On,
    VWAPMode = VWAPMode.DynamicStdDev1,
    ProfileWidthPercentage = 20,
    Values1KDivider = false,

    // No stacked profiles
    StackedProfileCreation1 = ProfileCreation.None,
    StackedProfileCreation2 = ProfileCreation.None,
    StackedProfileCreation3 = ProfileCreation.None
};

Important configuration in State.Configure:

Calculate = Calculate.OnBarClose;  // Minute accuracy requires OnBarClose
volumeProfileIndicator.ModelIncrementRefresh = ModelIncrementRefresh.HistoricalRealtime;
// Required to get historical data in backtesting

Accessing IVolumeProfile

The strategy uses OnBarUpdate (not OnBarCloseHandler) because it accesses volumeProfileIndicator.Profiles:

protected override void OnBarUpdate()
{
    base.OnBarUpdate();

    if (BarsInProgress == 0)
    {
        IVolumeProfile last = volumeProfileIndicator.Profiles.LastOrDefault()
            as IVolumeProfile;

        if (last != null)
        {
            // Detect new session profile
            if (last != current)
            {
                // Print totals for previous profile
                if (current != null)
                {
                    Print(string.Format("TOTALS Volume: {0}; Delta: {1}; " +
                        "High: {2}; Low: {3}",
                        current.Volume, current.Delta,
                        current.High, current.Low));
                }
            }

            // Print developing values
            Print(string.Format("{0} VAH: {1}; VAL: {2}; POC: {3}; VWAP: {4}",
                Time[0], last.VAH, last.VAL, last.POC, last.VWAP));

            if (last != current)
                current = last;
        }
    }
}

Available Data

Property	Type	Description
last.POC	double	Point of Control price
last.VAH	double	Value Area High
last.VAL	double	Value Area Low
last.VWAP	double	Volume-Weighted Average Price
last.Volume	long	Total profile volume
last.Delta	long	Total profile delta
last.High	double	Profile high price
last.Low	double	Profile low price

Profile Accuracy

ProfileAccuracy	Update Frequency	Use Case
Minute	On bar close	Backtesting, historical analysis
Tick	On each tick	Real-time precision

With ProfileAccuracy.Minute, set Calculate = Calculate.OnBarClose on both the strategy and the indicator.

Profile Creation Modes

ProfileCreation	Description
Session	New profile each session
Daily	New profile each day
Weekly	New profile each week
Custom	Manual profile management
None	Disabled

See Also

• MZpackStrategyBase — base class
• Data Access — mzFootprint — footprint data
• Data Access — mzVolumeDelta — volume delta data
• Working with Samples — how to compile samples