[R-sig-finance] Market Profile implementation?
davidr at rhotrading.com
davidr at rhotrading.com
Thu May 12 22:47:33 CEST 2005
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)
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