Market Profile (市场功能 MT4 MT5指标)[MT5公式]

适用于MetaTrader 4和MetaTrader 5平台。

Market Profile MT4 MT5 指标 — 是一种经典的市场概况执行指标，可显示价格的密集程度，描述日交易时段最重要的价格水平，值域以及控制值。该指标可附加到5分钟、15分钟和30分钟图表，可显示日交易时段的市场概况。虽然5分钟时间框架的精确性更高，但由于30分钟时间框架具有更高的可视性，故推荐使用30分钟的时间框架。该指标有3种颜色组合可用于描绘市场阻力。该指标基于纯粹的价格行为，不使用任何标准MetaTrader指标。

输入参数：

StartFromDate (默认 = '') — 如果StartFromToday设置为false，那么该指标将从此日期描绘市场概况。它往回进行描绘。例如，如果您设置为2010.07.20，DaysToCount设置为2，那么它会描绘2010.07.20和2010.07.19的市场概况。

StartFromToday (默认 = true) — 如果设置为true，那么该指标将从今日开始描绘，否侧将从StartFromDate设置的日期开始。

DaysToCount (默认 = 2) — 指描绘市场概况的天数。

ColorScheme (默认 = 0) — c市场概况阻力的颜色组合：

0 — 蓝色到红色.

1 — 红色到绿色.

2 — 绿色到蓝色.

MedianColor (默认 = White) — 控制值（中值）的颜色。

ValueAreaColor (默认 = White) — 值域边界的颜色。

图表屏幕显示了2日外汇交易时段计算得出的市场概况。时间框架为30分钟图表，第二日仍在进行当中。最早的价格标记为蓝色，最后的价格为红色。中值和值域使用白线标记，并显示最重要的价格区域。如果突破行为的交易量不够大，交易商更倾向于返回那些区域。以高交易量突破这些区域意味着真实的突破。了解更多关于市场概况的内容，请查阅此简短的电子书：市场概况书籍。

标签:MT4 MT5指标源码

MT4源码：
//+------------------------------------------------------------------+ //| MarketProfile.mq4 | //| Copyright � 2010, EarnForex.com | //| http://www.cxh99.com/ | //+------------------------------------------------------------------+ #property copyright "www.cxh99.com" #property link "www.cxh99.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源码：//+------------------------------------------------------------------+ //| MarketProfile.mq5 | //| Copyright � 2010, EarnForex.com | //| http://www.cxh99.com/ | //+------------------------------------------------------------------+ #property copyright "www.cxh99.com" #property link "http://www.cxh99.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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