Creating Market profile with MATLAB

Some Day Traders use CBOT Market Profile for Day Trading purposes. I am NOT a fan of Technical Analysis, but nevertheless, I thought why not write a matlab program to create one.

Here is a quote from CBOT----

Market Profile is a graphical organization of price and time information. Market Profile displays price on the vertical axis and time on the horizontal axis. Letters are used to symbolize time brackets. marketprofile is an analytical decision support tool for traders—not a trading system.

CBOT Overview:

http://www.cbot.com/cbot/pub/page/0,3181,1168,00.html

CBOT Examples:

MATLAB CODE:

% clear all
% clc;
% %assuming tick by tick data
% data = load('may01d.mat');
% ESdata = data.ESlast;
ESdata=close;

ESprices=unique(ESdata);
bars=20;
timertick=1;
periods=floor(size(ESdata,1)/(timertick*bars));
MP=zeros(size(ESprices,1),periods);
for i=1:periods
g=ESdata(timertick*bars*(i-1)+1:timertick*bars*i,1);
for m=1:size(g,1)
s=g(m);
s1=find(ESprices==s);
MP(s1,i)=i;
end
end

B = MP;%A(:,2:end) ;
B(B==0) = inf ;
B = sort(B,2) ; % sort each row
B(isinf(B)) = 0 ;

TPO=zeros(size(B));
for l=1:numel(B)
if B(l)~=0
TPO(l)=B(l)+64;
end
end

Final_MP={ESprices char(TPO)};