Speed Up The Calculation of Volume Profiles and TPO. MZpack 3.15.6 beta

mzVolumeProfile
– Profile accuracy = Minute mode.
E.g. calculation of profiles for one year of ES futures requires only 10-15 seconds on an average machine now.
Use Profile accuracy = Minute with disabled Tick replay to speed up the calculation of Volume Profiles or TPO for huge periods like months or years.
Tick replay data are not used with Minute accuracy.
Also, we recommend setting ‘Ticks per level’ = 10..20
Note, to emulate Daily bars use 1440 Minute bars. See video.

HISTORICAL DATA
Minute volumes are being spread proportionally across each minute range.
Volumes of up bars are buy volumes, volumes of down bars are sell volumes.
For strategies API: Calculation of the profiles will be OnBarClose – this means ‘on close of each 1 Min interval according to Profile Accuracy’.

REAL-TIME DATA
Orderflow Calculation mode is ‘UpDownTick’
The rest is the same as for Tick accuracy

Orderflow settings are not available for Minute accuracy.

NOTICE.
On historical data, the Minute accuracy shows volume spreading is very close to Tick accuracy for large profiles.
But we don’t recommend using Delta with Minute accuracy on historical data!
TPO is identical in both modes for historical and real-time.

– ‘Profile accuracy’ has been moved to ‘Common’ section.
– Added two workspaces to illustrate TPO+VP features and Minute accuracy.

mzMarketDepth
– Rendering optimization
– Added ‘General – Refresh delay, ms’ parameter. The default value is 250 ms. Min value is 50 ms. Don’t use low values on slow machines.
– Fix. Historical DOM is not fully visible when ‘Hold levels’ disabled.
– Fix. Enumeration exception may occur