Market Profile (市場功能 MT4 MT5指標)[MT5公式]

適用于MetaTrader 4和MetaTrader 5平臺。

Market Profile MT4 MT5 指標 — 是一種經典的市場概況執行指標，可顯示價格的密集程度，描述日交易時段最重要的價格水平，值域以及控制值。該指標可附加到5分鐘、15分鐘和30分鐘圖表，可顯示日交易時段的市場概況。雖然5分鐘時間框架的精確性更高，但由于30分鐘時間框架具有更高的可視性，故推薦使用30分鐘的時間框架。該指標有3種顏色組合可用于描繪市場阻力。該指標基于純粹的價格行為，不使用任何標準MetaTrader指標。

輸入參數：

StartFromDate (默認 = '') — 如果StartFromToday設置為false，那么該指標將從此日期描繪市場概況。它往回進行描繪。例如，如果您設置為2010.07.20，DaysToCount設置為2，那么它會描繪2010.07.20和2010.07.19的市場概況。

StartFromToday (默認 = true) — 如果設置為true，那么該指標將從今日開始描繪，否側將從StartFromDate設置的日期開始。

DaysToCount (默認 = 2) — 指描繪市場概況的天數。

ColorScheme (默認 = 0) — c市場概況阻力的顏色組合：

0 — 藍色到紅色.

1 — 紅色到綠色.

2 — 綠色到藍色.

MedianColor (默認 = White) — 控制值（中值）的顏色。

ValueAreaColor (默認 = White) — 值域邊界的顏色。

圖表屏幕顯示了2日外匯交易時段計算得出的市場概況。時間框架為30分鐘圖表，第二日仍在進行當中。最早的價格標記為藍色，最后的價格為紅色。中值和值域使用白線標記，并顯示最重要的價格區域。如果突破行為的交易量不夠大，交易商更傾向于返回那些區域。以高交易量突破這些區域意味著真實的突破。了解更多關于市場概況的內容，請查閱此簡短的電子書：市場概況書籍。

標簽:MT4 MT5指標源碼

MT4源碼：
//+------------------------------------------------------------------+ //| MarketProfile.mq4 | //| Copyright ? 2010, EarnForex.com | //| http://www.tumamayizhan.com/ | //+------------------------------------------------------------------+ #property copyright "www.tumamayizhan.com" #property link "www.tumamayizhan.com" /* Displays the Market Profile indicator for the daily trading sessions. Should be attached to M5, M15 or M30 timeframes. M30 is recommended. Designed for standard currency pairs. May work incorrectly with very exotic pairs, CFDs or commodities. Be careful: it will delete all rectangle objects on the chart upon deinitialization. */ #property indicator_chart_window extern datetime StartFromDate = D''; extern bool StartFromToday = true; extern int DaysToCount = 2; // Number of days for which to count the Market Profile extern int ColorScheme = 0; // 0 - Blue to Red, 1 - Red to Green, 2 - Green to Blue extern color MedianColor = White; extern color ValueAreaColor = White; int DigitsM; // Amount of digits normalized for standard 4 and 2 digits after dot datetime StartDate; // Will hold either StartFromDate or Time[0] double onetick; // One normalized pip int SecondsInPeriod; // Will hold calculated amount of seconds in the selected timeframe period bool FirstRunDone = false; // If true - OnCalculate() was already executed once //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int init() { IndicatorShortName("MarketProfile"); // Normalizing the digits to standard 4- and 2-digit quotes if (Digits == 5) DigitsM = 4; else if (Digits == 3) DigitsM = 2; else DigitsM = Digits; if (Period() == PERIOD_M30) SecondsInPeriod = 1800; if (Period() == PERIOD_M15) SecondsInPeriod = 900; if (Period() == PERIOD_M5) SecondsInPeriod = 300; onetick = NormalizeDouble(1 / (MathPow(10, DigitsM)), DigitsM); } //+------------------------------------------------------------------+ //| Custor indicator deinitialization function | //+------------------------------------------------------------------+ int deinit() { // Delete all rectangles (it takes too much time to delete exactly those rectangles that were created by this indicator) ObjectsDeleteAll(0, OBJ_RECTANGLE); } //+------------------------------------------------------------------+ //| Custom Market Profile main iteration function | //+------------------------------------------------------------------+ int start() { if ((Period() != PERIOD_M30) && (Period() != PERIOD_M15) && (Period() != PERIOD_M5)) { Print("TimeFrame should be set to M30, M15 or M5."); return(-1); } if (StartFromToday) StartDate = Time[0]; else StartDate = StartFromDate; // If we calculate profiles for the past days, no need to rerun it if ((FirstRunDone) && (StartDate != Time[0])) return(0); // Get start and end bar numbers of the given date int dayend = FindDayEndByDate(StartDate); int daystart = FindDayStart(dayend); int DayToStart = 0; // If all days have already been counted, jump to the current one if (FirstRunDone) DayToStart = DaysToCount - 1; else { // Move back to the oldest day to count to start from it for (int i = 1; i < DaysToCount; i++) { dayend = daystart + 1; daystart = FindDayStart(dayend); } } // We begin from the oldest day coming to today or to StartFromDate for (i = DayToStart; i < DaysToCount; i++) { double DayMax = -1, DayMin = 99999999999; // Find the day's high and low to for (int bar = daystart; bar >= dayend; bar--) { if (High[bar] > DayMax) DayMax = High[bar]; if (Low[bar] < DayMin) DayMin = Low[bar]; } DayMax = NormalizeDouble(DayMax, DigitsM); DayMin = NormalizeDouble(DayMin, DigitsM); int TPOperPrice[]; // Possible price levels if multiplied to integer int max = MathRound(DayMax / onetick + 2); // + 2 because further we will be possibly checking array at DayMax + 1 ArrayResize(TPOperPrice, max); ArrayInitialize(TPOperPrice, 0); int MaxRange = 0; // Maximum distance from day start to the drawn dot double PriceOfMaxRange = 0; // Level of the maximum range, required to draw Median double DistanceToCenter = 99999999; // Closest distance to center for the Median int TotalTPO = 0; // Total amount of dots (TPO's) // Going through all possible quotes from daily High to daily Low for (double price = DayMax; price >= DayMin; price -= onetick) { int range = 0; // Distance from first bar to the current bar // Going through all bars of the day to see if the price was encoutered here for (bar = daystart; bar >= dayend; bar--) { // Price is encountered in the given bar if ((price >= Low[bar]) && (price <= High[bar])) { // Update maximum distance from day's start to the found bar (needed for Median) if ((MaxRange < range) || ((MaxRange == range) && (MathAbs(price - (DayMin + (DayMax - DayMin) / 2)) < DistanceToCenter))) { MaxRange = range; PriceOfMaxRange = price; DistanceToCenter = MathAbs(price - (DayMin + (DayMax - DayMin) / 2)); } // Draws rectangle PutDot(price, Time[daystart], range, bar - daystart); // Remember the number of encountered bars for this bars int index = MathRound(price / onetick); TPOperPrice[index]++; range++; TotalTPO++; } } } double TotalTPOdouble = TotalTPO; // Calculate amount of TPO's in the Value Area int ValueControlTPO = MathRound(TotalTPOdouble * 0.7); // Start with the TPO's of the Median index = PriceOfMaxRange / onetick; int TPOcount = TPOperPrice[index]; // Go through the price levels above and below median adding the biggest to TPO count until the 70% of TPOs are inside the Value Area int up_offset = 1; int down_offset = 1; while (TPOcount < ValueControlTPO) { double abovePrice = PriceOfMaxRange + up_offset * onetick; double belowPrice = PriceOfMaxRange - down_offset * onetick; // If belowPrice is out of the day's range then we should add only abovePrice's TPO's, and vice versa index = MathRound(abovePrice / onetick); int index2 = MathRound(belowPrice / onetick); if (((TPOperPrice[index] >= TPOperPrice[index2]) || (belowPrice < DayMin)) && (abovePrice <= DayMax)) { TPOcount += TPOperPrice[index]; up_offset++; } else { TPOcount += TPOperPrice[index2]; down_offset++; } } string LastName = " " + TimeToStr(Time[daystart], TIME_DATE); // Delete old Median if (ObjectFind("Median" + LastName) >= 0) ObjectDelete("Median " + LastName); // Draw a new one index = MathMax(daystart - MaxRange - 5, 0); ObjectCreate("Median" + LastName, OBJ_RECTANGLE, 0, Time[daystart + 16], PriceOfMaxRange, Time[index], PriceOfMaxRange + onetick); ObjectSet("Median" + LastName, OBJPROP_COLOR, MedianColor); ObjectSet("Median" + LastName, OBJPROP_STYLE, STYLE_SOLID); ObjectSet("Median" + LastName, OBJPROP_BACK, false); // Delete old Value Area if (ObjectFind("Value Area" + LastName) >= 0) ObjectDelete("Value Area " + LastName); // Draw a new one ObjectCreate("Value Area" + LastName, OBJ_RECTANGLE, 0, Time[daystart], PriceOfMaxRange + up_offset * onetick, Time[daystart] + (MaxRange + 1) * SecondsInPeriod, PriceOfMaxRange - down_offset * onetick); ObjectSet("Value Area" + LastName, OBJPROP_COLOR, ValueAreaColor); ObjectSet("Value Area" + LastName, OBJPROP_STYLE, STYLE_SOLID); ObjectSet("Value Area" + LastName, OBJPROP_BACK, false); // Go to the newer day only if there is one or more left if (DaysToCount - i > 1) { daystart = dayend - 1; dayend = FindDayEndByDate(Time[daystart]); } } FirstRunDone = true; return(0); } //+------------------------------------------------------------------+ //| Finds the day's starting bar number for any given bar number. | //| n - bar number for which to find starting bar. | //+------------------------------------------------------------------+ int FindDayStart(int n) { int x = n; while ((TimeDayOfYear(Time[n]) == TimeDayOfYear(Time[x])) && (x < Bars)) x++; return(x - 1); } //+------------------------------------------------------------------+ //| Finds the day's end bar by the day's date. | //+------------------------------------------------------------------+ int FindDayEndByDate(datetime date) { int x = 0; while ((TimeDayOfYear(date) < TimeDayOfYear(Time[x])) && (x < Bars)) x++; return(x); } //+------------------------------------------------------------------+ //| Puts a dot (rectangle) at a given position and color. | //| price and time are coordinates. | //| range is for the second coordinate. | //| bar is to determine the color of the dot. | //+------------------------------------------------------------------+ void PutDot(double price, datetime time, int range, int bar) { string LastName = " " + (time + range * SecondsInPeriod) + " " + DoubleToStr(price, 4); if (ObjectFind("MP" + LastName) >= 0) return; ObjectCreate("MP" + LastName, OBJ_RECTANGLE, 0, time + range * SecondsInPeriod, price, time + (range + 1) * SecondsInPeriod, price + onetick); // Color switching depending on the distance of the bar from the day's beginning int colour, offset1, offset2; switch(ColorScheme) { case 0: colour = DarkBlue; offset1 = 0x020000; offset2 = 0x000002; break; case 1: colour = DarkRed; offset1 = 0x000002; offset2 = 0x000200; break; case 2: colour = DarkGreen; offset1 = 0x000200; offset2 = 0x020000; break; } if (Period() == PERIOD_M30) colour += bar * offset1; else if (Period() == PERIOD_M15) colour += bar * (offset1 / 2); else colour += (bar / 3) * (offset1 / 2); if (Period() == PERIOD_M30) colour -= bar * offset2; else if (Period() == PERIOD_M15) colour -= bar * (offset2 / 2); else colour -= (bar / 3) * (offset2 / 2); ObjectSet("MP" + LastName, OBJPROP_COLOR, colour); // Fills rectangle ObjectSet("MP" + LastName, OBJPROP_BACK, true); } //+------------------------------------------------------------------+
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MT5源碼：//+------------------------------------------------------------------+ //| MarketProfile.mq5 | //| Copyright ? 2010, EarnForex.com | //| http://www.tumamayizhan.com/ | //+------------------------------------------------------------------+ #property copyright "www.tumamayizhan.com" #property link "http://www.tumamayizhan.com" #property version "1.01" #property description "Displays the Market Profile indicator for the daily trading sessions." #property description "Should be attached to M5, M15 or M30 timeframes." #property description "M30 is recommended." #property description "" #property description "Designed for standard currency pairs. May work incorrectly with very exotic pairs, CFDs or commodities." #property description "Be careful: it will delete all rectangle objects on the chart upon deinitialization." #property indicator_chart_window input datetime StartFromDate = D''; input bool StartFromToday = true; input int DaysToCount = 2; // Number of days for which to count the Market Profile input int ColorScheme = 0; // 0 - Blue to Red, 1 - Red to Green, 2 - Green to Blue input color MedianColor = White; input color ValueAreaColor = White; int DigitsM; // Amount of digits normalized for standard 4 and 2 digits after dot datetime StartDate; // Will hold either StartFromDate or Time[0] double onetick; // One normalized pip int SecondsInPeriod; // Will hold calculated amount of seconds in the selected timeframe period bool FirstRunDone = false; // If true - OnCalculate() was already executed once //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ void OnInit() { IndicatorSetString(INDICATOR_SHORTNAME, "MarketProfile"); // Normalizing the digits to standard 4- and 2-digit quotes if (_Digits == 5) DigitsM = 4; else if (_Digits == 3) DigitsM = 2; else DigitsM = _Digits; if (_Period == PERIOD_M30) SecondsInPeriod = 1800; if (_Period == PERIOD_M15) SecondsInPeriod = 900; if (_Period == PERIOD_M5) SecondsInPeriod = 300; onetick = NormalizeDouble(1 / (MathPow(10, DigitsM)), DigitsM); } //+------------------------------------------------------------------+ //| Custor indicator deinitialization function | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { // Delete all rectangles (it takes too much time to delete exactly those rectangles that were created by this indicator) ObjectsDeleteAll(0, 0, OBJ_RECTANGLE); } //+------------------------------------------------------------------+ //| Custom Market Profile main iteration function | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const datetime &Time[], const double &open[], const double &High[], const double &Low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[]) { if ((_Period != PERIOD_M30) && (_Period != PERIOD_M15) && (_Period != PERIOD_M5)) { Print("TimeFrame should be set to M30, M15 or M5."); return(-1); } ArraySetAsSeries(High, true); ArraySetAsSeries(Low, true); ArraySetAsSeries(Time, true); if (StartFromToday) StartDate = Time[0]; else StartDate = StartFromDate; // If we calculate profiles for the past days, no need to rerun it if ((FirstRunDone) && (StartDate != Time[0])) return(rates_total); // Get start and end bar numbers of the given date int dayend = FindDayEndByDate(Time, StartDate, rates_total); int daystart = FindDayStart(Time, dayend, rates_total); int DayToStart = 0; // If all days have already been counted, jump to the current one if (FirstRunDone) DayToStart = DaysToCount - 1; else { // Move back to the oldest day to count to start from it for (int i = 1; i < DaysToCount; i++) { dayend = daystart + 1; daystart = FindDayStart(Time, dayend, rates_total); } } // We begin from the oldest day coming to today or to StartFromDate for (int i = DayToStart; i < DaysToCount; i++) { double DayMax = -1, DayMin = 99999999999; // Find the day's high and low to for (int bar = daystart; bar >= dayend; bar--) { if (High[bar] > DayMax) DayMax = High[bar]; if (Low[bar] < DayMin) DayMin = Low[bar]; } DayMax = NormalizeDouble(DayMax, DigitsM); DayMin = NormalizeDouble(DayMin, DigitsM); int TPOperPrice[]; // Possible price levels if multiplied to integer int max = (int)(round(DayMax / onetick) + 2); // + 2 because further we will be possibly checking array at DayMax + 1 ArrayResize(TPOperPrice, max); ArrayInitialize(TPOperPrice, 0); int MaxRange = 0; // Maximum distance from day start to the drawn dot double PriceOfMaxRange = 0; // Level of the maximum range, required to draw Median double DistanceToCenter = 99999999; // Closest distance to center for the Median int TotalTPO = 0; // Total amount of dots (TPO's) // Going through all possible quotes from daily High to daily Low for (double price = DayMax; price >= DayMin; price -= onetick) { int range = 0; // Distance from first bar to the current bar // Going through all bars of the day to see if the price was encoutered here for (int bar = daystart; bar >= dayend; bar--) { // Price is encountered in the given bar if ((price >= Low[bar]) && (price <= High[bar])) { // Update maximum distance from day's start to the found bar (needed for Median) if ((MaxRange < range) || (MaxRange == range) && (MathAbs(price - (DayMin + (DayMax - DayMin) / 2)) < DistanceToCenter)) { MaxRange = range; PriceOfMaxRange = price; DistanceToCenter = MathAbs(price - (DayMin + (DayMax - DayMin) / 2)); } // Draws rectangle PutDot(price, Time[daystart], range, bar - daystart); // Remember the number of encountered bars for this bars TPOperPrice[(int)(price / onetick)]++; range++; TotalTPO++; } } } // Calculate amount of TPO's in the Value Area int ValueControlTPO = (int)((double)TotalTPO * 0.7); // Start with the TPO's of the Median int TPOcount = TPOperPrice[(int)(PriceOfMaxRange / onetick)]; // Go through the price levels above and below median adding the biggest to TPO count until the 70% of TPOs are inside the Value Area int up_offset = 1; int down_offset = 1; while (TPOcount < ValueControlTPO) { double abovePrice = PriceOfMaxRange + up_offset * onetick; double belowPrice = PriceOfMaxRange - down_offset * onetick; // If belowPrice is out of the day's range then we should add only abovePrice's TPO's, and vice versa if (((TPOperPrice[(int)(abovePrice / onetick)] >= TPOperPrice[(int)(belowPrice / onetick)]) || (belowPrice < DayMin)) && (abovePrice <= DayMax)) { TPOcount += TPOperPrice[(int)(abovePrice / onetick)]; up_offset++; } else { TPOcount += TPOperPrice[(int)(belowPrice / onetick)]; down_offset++; } } string LastName = " " + TimeToString(Time[daystart], TIME_DATE); // Delete old Median if (ObjectFind(0, "Median" + LastName) >= 0) ObjectDelete(0, "Median " + LastName); // Draw a new one ObjectCreate(0, "Median" + LastName, OBJ_RECTANGLE, 0, Time[daystart + 16], PriceOfMaxRange, Time[(int)(MathMax(daystart - MaxRange - 5, 0))], PriceOfMaxRange + onetick); ObjectSetInteger(0, "Median" + LastName, OBJPROP_COLOR, MedianColor); ObjectSetInteger(0, "Median" + LastName, OBJPROP_STYLE, STYLE_SOLID); // Delete old Value Area if (ObjectFind(0, "Value Area" + LastName) >= 0) ObjectDelete(0, "Value Area " + LastName); // Draw a new one ObjectCreate(0, "Value Area" + LastName, OBJ_RECTANGLE, 0, Time[daystart], PriceOfMaxRange + up_offset * onetick, Time[daystart] + (MaxRange + 1) * SecondsInPeriod, PriceOfMaxRange - down_offset * onetick); ObjectSetInteger(0, "Value Area" + LastName, OBJPROP_COLOR, ValueAreaColor); ObjectSetInteger(0, "Value Area" + LastName, OBJPROP_FILL, false); // Go to the newer day only if there is one or more left if (DaysToCount - i > 1) { daystart = dayend - 1; dayend = FindDayEndByDate(Time, Time[daystart], rates_total); } } FirstRunDone = true; return(rates_total); } //+------------------------------------------------------------------+ //| Finds the day's starting bar number for any given bar number. | //| n - bar number for which to find starting bar. | //+------------------------------------------------------------------+ int FindDayStart(const datetime &Time[], int n, int rates_total) { MqlDateTime dt1, dt2; int x = n; TimeToStruct(Time[n], dt1); TimeToStruct(Time[x], dt2); while ((dt1.day_of_year == dt2.day_of_year) && (x < rates_total)) { x++; TimeToStruct(Time[x], dt2); } return(x - 1); } //+------------------------------------------------------------------+ //| Finds the day's end bar by the day's date. | //+------------------------------------------------------------------+ int FindDayEndByDate(const datetime &Time[], datetime date, int rates_total) { MqlDateTime dt1, dt2; int x = 0; TimeToStruct(date, dt1); TimeToStruct(Time[x], dt2); while ((dt1.day_of_year < dt2.day_of_year) && (x < rates_total)) { x++; TimeToStruct(Time[x], dt2); } return(x); } //+------------------------------------------------------------------+ //| Puts a dot (rectangle) at a given position and color. | //| price and time are coordinates. | //| range is for the second coordinate. | //| bar is to determine the color of the dot. | //+------------------------------------------------------------------+ void PutDot(double price, datetime time, int range, int bar) { string LastName = " " + IntegerToString(time + range * SecondsInPeriod) + " " + DoubleToString(price); if (ObjectFind(0, "MP" + LastName) >= 0) return; ObjectCreate(0, "MP" + LastName, OBJ_RECTANGLE, 0, time + range * SecondsInPeriod, price, time + (range + 1) * SecondsInPeriod, price + onetick); // Color switching depending on the distance of the bar from the day's beginning int colour, offset1, offset2; switch(ColorScheme) { case 0: colour = DarkBlue; offset1 = 0x020000; offset2 = 0x000002; break; case 1: colour = DarkRed; offset1 = 0x000002; offset2 = 0x000200; break; case 2: colour = DarkGreen; offset1 = 0x000200; offset2 = 0x020000; break; } if (_Period == PERIOD_M30) colour += bar * offset1; else if (_Period == PERIOD_M15) colour += bar * (offset1 / 2); else colour += (bar / 3) * (offset1 / 2); if (_Period == PERIOD_M30) colour -= bar * offset2; else if (_Period == PERIOD_M15) colour -= bar * (offset2 / 2); else colour -= (bar / 3) * (offset2 / 2); ObjectSetInteger(0, "MP" + LastName, OBJPROP_COLOR, colour); // Fills rectangle ObjectSetInteger(0, "MP" + LastName, OBJPROP_FILL, true); } //+------------------------------------------------------------------+
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