Hi Jorgen,
Thanks for your input. Yes, I have rewritten in AFL to use PriceVolDistribution. I think C++ would give better performance though but with the lack of matrix support there, it's difficult to get it done.
> total Volume per price level has nothing to do with time frames.
Yes, that may be true for the total volume, however I am calculating VAPs from each swing low or for ranges selected by the user, so there can be multiple of them. I am storing the resulting matrices in StaticVars, appending name and start dateTimeNum.
I of course also need to store this 'request' array showing where a new profile needs to start. Compressing this is causing some values to be lost (ie. last value taken, not the first for the range to be compressed), as described in message 194895.
I just had an alternative idea, to get the relevant static var names using StaticVarInfo(ProfileSetName + "_VAP_" + Name() + "_*", "list") (where * contains a float value of the DateTime), I could go through this list. It won't be in order and I need to cross check if it's related to the visible area, but maybe it overcomes the problem I described in 194895.
Thanks.
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Posted by: gabor.s.kuti@gmail.com
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