[R-sig-finance] Market Profile implementation?

[davidr at rhotrading.com]

Has anyone implemented the (Peter Steidlmayer's|CBOT's) Market Profile as a (color) plot, given the market data in the appropriate form (which would be what?)

Looks like

AB
ABCGI
ACFGH
DEFH
EG

with price on the y-axis and a different letter (color) for each time interval.

I was just thinking I'd like to do it for a lark, but I didn't want to waste lots of time doing it poorly if someone already did it nicely, or use the wrong class for the intraday data.

Thanks for any advice,

David L. Reiner
 
Rho Trading
440 S. LaSalle St -- Suite 620
Chicago  IL  60605
 
312-362-4963 (voice)
312-362-4941 (fax)