clusters.pine

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Ildar Akhmetgaleev (AkhIL)
// See https://github.com/akhilman/vol-poorofile
// vim: shiftwidth=2 tabstop=2

{# Template settings -#}
{% set n_rows = (n_rows or 15) | int -%}
{% set block_size = (block_size or 15) | int -%}
{% set visual_row_width = (visual_row_width or 10) | float -%}
{% set block_colors = (block_colors or 'purple,teal') | split(',') -%}
{% set boundary_color = boundary_color or 'blue' -%}
{% set vpoc_color = vpoc_color or 'orange' -%}
{% set filter_size = (filter_size or 200) | int -%}
{% set max_bars_back = (max_bars_back or 500) | int -%}

//@version=4
study("Poor man's volume clusters", "PMVolClust", overlay=true, max_bars_back={{max_bars_back}})

block_size = input({{block_size}}, "Bars in profile block", minval=10, maxval={{max_bars_back//3}})
visual_row_width = input({{visual_row_width}}, "Visual row width", minval=10)
show_vpoc = input(true, "Show volume point of control")
filter_size = input({{filter_size}}, "Profile maximum high pass filter size in bars")
use_custom_volume_source = input(false, "Use custom volume source")
volume_source_symbol = input("", "Custom volume source symbol", input.symbol)

BOUNARY_COLOR = color.{{boundary_color}}
{%- for color in block_colors %}
PROFILE{{loop.index}}_COLOR = color.{{color}}
{%- endfor %}
VPOC_COLOR = color.{{vpoc_color}}

custom_volume = use_custom_volume_source ? security(volume_source_symbol, timeframe.period, volume, lookahead=barmerge.lookahead_on) : volume

////
// Calculate profiles
///

block_index = floor(bar_index / block_size)
block_bar = bar_index % block_size

rolling_high = highest(block_bar + 1)
rolling_low = lowest(block_bar + 1)

block_high = rolling_high[block_bar+1]
block_low = rolling_low[block_bar+1]

// plot(block_high, color=color.green)
// plot(block_low, color=color.green)

block_height = (block_high - block_low)
row_height = block_height / {{n_rows}}
n_rows_affected = 0

{% for n in range(n_rows) %}
row{{n}}_low = block_low + row_height * {{n}}
row{{n}}_high = block_low + row_height * {{n+1}}
row{{n}}_price = (row{{n}}_low + row{{n}}_high ) / 2
row{{n}}_value = 0.0
if high[block_size] > row{{n}}_low and low[block_size] < row{{n}}_high
	row{{n}}_value := custom_volume[block_size]
	n_rows_affected := n_rows_affected + 1
{% endfor %}

{% for n in range(n_rows) -%}
row{{n}}_value := row{{n}}_value / n_rows_affected / row_height
{% endfor %}

// plot(row0_value, color=color.red, style=plot.style_linebr)

if block_bar != 0
	{% for n in range(n_rows) -%}
	row{{n}}_value := row{{n}}_value + row{{n}}_value[1]
	{% endfor %}

float vpoc_price = na
highest_row_value = 0.0
if block_bar == block_size - 1
	{% for n in range(n_rows) -%}
	if highest_row_value < row{{n}}_value
		highest_row_value := row{{n}}_value
		vpoc_price := row{{n}}_price
	{% endfor %}
else
	highest_row_value := highest_row_value[1]

highest_row_value_avg = ema(highest_row_value, filter_size)

// plot(row0_value)
// plot(highest_row_value, color=color.yellow)
// plot(highest_row_value_avg, color=color.blue)

{% for n in range(n_rows) -%}
row{{n}}_width = floor(visual_row_width * row{{n}}_value / highest_row_value_avg[block_bar+1])
{% endfor %}

// plot(row0_value, color=color.red, style=plot.style_linebr, offset=-block_size)

////
// Draw history blocks
///

// draw boudns

bounds_high_y = block_bar != block_size -1 ? block_high[block_bar+1] : na
bounds_low_y = block_bar != block_size -1 ? block_low[block_bar+1] : na
plot(bounds_high_y, color=BOUNARY_COLOR, style=plot.style_linebr, offset=-block_size*2, title="History block high")
plot(bounds_low_y, color=BOUNARY_COLOR, style=plot.style_linebr, offset=-block_size*2, title="History block low")

// draw profile

{% for color in block_colors %}
{% set pn = (loop.length - loop.index + 1) % loop.length + 1 -%}
{% set num_colors = loop.length -%}

history{{pn}}_block_bar = (block_index + {{loop.index}}) % {{num_colors}} * block_size + block_bar

{% for n in range(n_rows) -%}
history{{pn}}_row{{n}}_price = row{{n}}_price[history{{pn}}_block_bar+1]
history{{pn}}_row{{n}}_width = min({{block_size * num_colors - 2}}, row{{n}}_width[history{{pn}}_block_bar+1])
history{{pn}}_row{{n}}_y = history{{pn}}_block_bar <= history{{pn}}_row{{n}}_width ? history{{pn}}_row{{n}}_price : na
{% endfor %}

{% for n in range(n_rows) -%}
plot(history{{pn}}_row{{n}}_y, color=PROFILE{{pn}}_COLOR, style=plot.style_linebr, linewidth=2, offset=-block_size*2, title="History {{pn}} row {{n}}")
{% endfor %}
{% endfor %}

// draw vpoc

vpoc_y = show_vpoc ? vpoc_price : na
plotshape(vpoc_y, title="VPoC", location=location.absolute, color=VPOC_COLOR, style=shape.diamond, size=size.tiny, offset=-block_size*2)

////
// Caclulate and draw last three blocks
///

{% for rn in range(3) -%}
var line recent{{rn}}_high_line = na
var line recent{{rn}}_low_line = na
{% if rn < 2 %}
var label recent{{rn}}_vpoc_label = na
{% endif %}
{% for n in range(n_rows) -%}
var line recent{{rn}}_row{{n}}_line = na
{% endfor -%}
{% endfor %}

if barstate.islast
	{% for rn in range(3) -%}
	recent{{rn}}_start_i = block_size * {{rn}} + block_bar
	recent{{rn}}_end_i = max(block_size * {{rn}} - (block_size - block_bar) + 1, 0)

	recent{{rn}}_color_n = (block_index[recent{{rn}}_end_i] + 3) % {{block_colors | length}}
	recent{{rn}}_color = {% for color in block_colors -%}
	{% if not loop.first %}else {% endif %}if recent{{rn}}_color_n == {{ loop.index - 1 }}
		color.{{ color }}
	{% endfor %}

	if not na(time[recent{{rn}}_start_i]) and recent{{rn}}_start_i - recent{{rn}}_end_i > 5

		// high/low bounds

		if na(recent{{rn}}_low_line)
			recent{{rn}}_low_line := line.new(bar_index, high, bar_index, high, color=BOUNARY_COLOR)
		if na(recent{{rn}}_high_line)
			recent{{rn}}_high_line := line.new(bar_index, low, bar_index, low, color=BOUNARY_COLOR)

		recent{{rn}}_block_high = rolling_high[recent{{rn}}_end_i]
		recent{{rn}}_block_low = rolling_low[recent{{rn}}_end_i]

		line.set_xloc(recent{{rn}}_low_line, time[recent{{rn}}_start_i], time[recent{{rn}}_end_i], xloc.bar_time)
		line.set_y1(recent{{rn}}_low_line, recent{{rn}}_block_low)
		line.set_y2(recent{{rn}}_low_line, recent{{rn}}_block_low)

		line.set_xloc(recent{{rn}}_high_line, time[recent{{rn}}_start_i], time[recent{{rn}}_end_i], xloc.bar_time)
		line.set_y1(recent{{rn}}_high_line, recent{{rn}}_block_high)
		line.set_y2(recent{{rn}}_high_line, recent{{rn}}_block_high)

		// calculate profile rows

		recent{{rn}}_block_height = recent{{rn}}_block_high - recent{{rn}}_block_low
		recent{{rn}}_row_height = recent{{rn}}_block_height / {{n_rows}}

		{% for n in range(n_rows) -%}
		recent{{rn}}_row{{n}}_low = recent{{rn}}_block_low + recent{{rn}}_row_height * {{n}}
		recent{{rn}}_row{{n}}_high = recent{{rn}}_block_low + recent{{rn}}_row_height * {{n+1}}
		recent{{rn}}_row{{n}}_value = 0.0
		{% endfor %}

		for i = recent{{rn}}_start_i to recent{{rn}}_end_i + 1
			bar_n_rows_affected = 0
			{% for n in range(n_rows) -%}
			bar_row{{n}}_value = 0.0
			if low[i] < recent{{rn}}_row{{n}}_high and high[i] > recent{{rn}}_row{{n}}_low
				bar_row{{n}}_value := custom_volume[i]
				bar_n_rows_affected := bar_n_rows_affected + 1
			{% endfor %}
			{% for n in range(n_rows) -%}
			recent{{rn}}_row{{n}}_value := recent{{rn}}_row{{n}}_value + bar_row{{n}}_value / bar_n_rows_affected / recent{{rn}}_row_height
			{% endfor %}

		recent{{rn}}_avg_i = min(recent{{rn}}_start_i + 1 + block_size * {{rn + 2}}, bar_index)
		{% for n in range(n_rows) -%}
		recent{{rn}}_row{{n}}_price = (recent{{rn}}_row{{n}}_low + recent{{rn}}_row{{n}}_high ) / 2
		recent{{rn}}_row{{n}}_width = floor(visual_row_width * recent{{rn}}_row{{n}}_value / highest_row_value_avg[recent{{rn}}_avg_i])
		{% endfor %}

		// calculate vpoc

		float recent{{rn}}_vpoc_price = na
		float recent{{rn}}_highes_row_value = 0
		{% for n in range(n_rows) -%}
		if recent{{rn}}_highes_row_value < recent{{rn}}_row{{n}}_value
			recent{{rn}}_highes_row_value := recent{{rn}}_row{{n}}_value
			recent{{rn}}_vpoc_price := recent{{rn}}_row{{n}}_price
		{% endfor %}

		// draw profile rows

		{% for n in range(n_rows) -%}
		if na(recent{{rn}}_row{{n}}_line)
			recent{{rn}}_row{{n}}_line := line.new(bar_index, close, bar_index, close, width=2)
		{% endfor %}

		{% for n in range(n_rows) %}
		line.set_xloc(recent{{rn}}_row{{n}}_line, time[recent{{rn}}_start_i], time_close[max(recent{{rn}}_start_i - recent{{rn}}_row{{n}}_width, 0)], xloc.bar_time)
		line.set_y1(recent{{rn}}_row{{n}}_line, recent{{rn}}_row{{n}}_price)
		line.set_y2(recent{{rn}}_row{{n}}_line, recent{{rn}}_row{{n}}_price)
		line.set_color(recent{{rn}}_row{{n}}_line, recent{{rn}}_color)
		{% endfor %}

		{% if rn < 2 %}
		// draw vpoc

		if show_vpoc
			if na(recent{{rn}}_vpoc_label)
				recent{{rn}}_vpoc_label := label.new(bar_index, close, yloc=yloc.price, style=label.style_diamond, size=size.tiny, color=VPOC_COLOR)

			label.set_xloc(recent{{rn}}_vpoc_label, time[recent{{rn}}_start_i + 1], xloc.bar_time)
			label.set_y(recent{{rn}}_vpoc_label, recent{{rn}}_vpoc_price)

		if not show_vpoc and not na(recent{{rn}}_vpoc_label)
			label.delete(recent{{rn}}_vpoc_label)
			recent{{rn}}_vpoc_label := na
		{% endif %}

		0

	else

		// remove unused lines

		if not na(recent{{rn}}_low_line)
			line.delete(recent{{rn}}_low_line)
			recent{{rn}}_low_line := na
		if not na(recent{{rn}}_high_line)
			line.delete(recent{{rn}}_high_line)
			recent{{rn}}_high_line := na
		{% if rn < 2 %}
		if not na(recent{{rn}}_vpoc_label)
			label.delete(recent{{rn}}_vpoc_label)
			recent{{rn}}_vpoc_label := na
		{% endif %}
		{% for n in range(n_rows) -%}
		if not na(recent{{rn}}_row{{n}}_line)
			line.delete(recent{{rn}}_row{{n}}_line)
			recent{{rn}}_row{{n}}_line := na
		{% endfor %}

		0

	{% endfor %}