Marketman Intraday Profile Indicator

//@version=5
indicator("Marketman Intraday Profile Indicator", overlay=true, shorttitle="Mktm Profile Ind", max_labels_count=500)

// --- Compatibility notes -----------------------------------------------------
// TradingView only indicator version.
// Use this script to display session VWAP, VWAP bands, POC/VAH/VAL, PDH/PDL, and session phase shading.
// Adapt for Tradovate / TradeLocker by consuming plotted levels and exported session data.

var string SYMBOL_ROOT = syminfo.root_symbol
bool isES = str.contains(SYMBOL_ROOT, "ES")
bool isNQ = str.contains(SYMBOL_ROOT, "NQ")

float tickSize = isES or isNQ ? 0.25 : syminfo.mintick
float tickValue = isES ? (str.contains(SYMBOL_ROOT, "M") ? 5.0 : 50.0) : isNQ ? (str.contains(SYMBOL_ROOT, "M") ? 0.5 : 20.0) : 1.0

string nySession = "0930-1600"
string lunchSession = "1130-1330"
string pmSession = "1530-1600"

bool inSession = not na(time(timeframe.period, nySession, "America/New_York"))
bool inLunch = not na(time(timeframe.period, lunchSession, "America/New_York"))
bool inPM = not na(time(timeframe.period, pmSession, "America/New_York"))

bool sessionOpen = inSession and not inSession[1]

float pdh = request.security(syminfo.tickerid, "D", high[1], lookahead=barmerge.lookahead_off)
float pdl = request.security(syminfo.tickerid, "D", low[1], lookahead=barmerge.lookahead_off)

float sessionVWAP = ta.vwap
float ema21 = ta.ema(close, 21)
float ema8 = ta.ema(close, 8)
float atr14 = ta.atr(14)
float rsi14 = ta.rsi(close, 14)

bool lowVolatility = atr14 < ta.sma(atr14, 20) * 0.75
int rsiUpper = lowVolatility ? 60 : 70
int rsiLower = lowVolatility ? 40 : 30

var float[] profilePrices = array.new_float()
var float[] profileVolumes = array.new_float()

if sessionOpen
    array.clear(profilePrices)
    array.clear(profileVolumes)

if inSession
    array.push(profilePrices, hlc3)
    array.push(profileVolumes, volume)

f_profile(_prices, _vols, _bins) =>
    float[] bins = array.new_float(_bins, 0.0)
    float priceMin = array.size(_prices) > 0 ? array.min(_prices) : na
    float priceMax = array.size(_prices) > 0 ? array.max(_prices) : na
    if na(priceMin) or na(priceMax) or priceMax == priceMin
        [na, na, na]
    else
        float width = priceMax - priceMin
        float step = width / _bins
        for i = 0 to array.size(_prices) - 1
            float p = array.get(_prices, i)
            float v = array.get(_vols, i)
            int index = int(math.floor((p - priceMin) / step))
            index := math.min(_bins - 1, math.max(0, index))
            array.set(bins, index, array.get(bins, index) + v)
        int pocIndex = 0
        float maxVol = 0.0
        for i = 0 to _bins - 1
            float currentVol = array.get(bins, i)
            if currentVol > maxVol
                maxVol := currentVol
                pocIndex := i
        float totalVol = 0.0
        for i = 0 to _bins - 1
            totalVol += array.get(bins, i)
        float targetVol = totalVol * 0.7
        int lowIndex = pocIndex
        int highIndex = pocIndex
        float running = array.get(bins, pocIndex)
        while running < targetVol and (lowIndex > 0 or highIndex < _bins - 1)
            float leftVol = lowIndex > 0 ? array.get(bins, lowIndex - 1) : -1.0
            float rightVol = highIndex < _bins - 1 ? array.get(bins, highIndex + 1) : -1.0
            if leftVol >= rightVol and lowIndex > 0
                lowIndex -= 1
                running += leftVol
            else if highIndex < _bins - 1
                highIndex += 1
                running += rightVol
            else
                break
        float pocPrice = priceMin + (pocIndex + 0.5) * step
        float vahPrice = priceMin + (highIndex + 1) * step
        float valPrice = priceMin + lowIndex * step
        [pocPrice, vahPrice, valPrice]

float sessionPOC = na
float sessionVAH = na
float sessionVAL = na
if array.size(profilePrices) > 0
    [sessionPOC, sessionVAH, sessionVAL] = f_profile(profilePrices, profileVolumes, 24)

float devSD = ta.stdev(hlc3, 20)
float vwapUpper1 = sessionVWAP + devSD
float vwapUpper2 = sessionVWAP + devSD * 2
float vwapLower1 = sessionVWAP - devSD
float vwapLower2 = sessionVWAP - devSD * 2

plot(sessionVWAP, title="Session VWAP", color=color.blue, linewidth=2)
plot(vwapUpper1, title="VWAP +1σ", color=color.new(color.blue, 80))
plot(vwapLower1, title="VWAP -1σ", color=color.new(color.blue, 80))
plot(vwapUpper2, title="VWAP +2σ", color=color.new(color.blue, 90), linewidth=1)
plot(vwapLower2, title="VWAP -2σ", color=color.new(color.blue, 90), linewidth=1)
plot(sessionPOC, title="Session POC", color=color.orange, linewidth=2)
plot(sessionVAH, title="Session VAH", color=color.green, linewidth=2)
plot(sessionVAL, title="Session VAL", color=color.red, linewidth=2)
plot(pdh, title="Previous Day High", color=color.gray, linewidth=1)
plot(pdl, title="Previous Day Low", color=color.gray, linewidth=1)

bgcolor(inSession ? (inPM ? color.new(color.teal, 90) : inLunch ? color.new(color.yellow, 90) : color.new(color.green, 95)) : na)

var label infoLbl = na
if barstate.islast
    label.delete(infoLbl)
    infoLbl := label.new(bar_index, high, "POC:" + str.tostring(sessionPOC, format.price) + " VAH:" + str.tostring(sessionVAH, format.price) + " VAL:" + str.tostring(sessionVAL, format.price), xloc=xloc.bar_index, yloc=yloc.price, color=color.new(color.black, 90), textcolor=color.white, style=label.style_label_left)