Volume Profile

Volume Profile plots session-based volume-at-price horizontal histograms overlaying the price bars.  The Volume Profile is based on FuturesTrader71′s refinements to Dalton’s Market Profile approach and is distinguished from the latter, by the increased accuracy of detailed volume-at-price tracking versus time-at-price as a means to assess the relative value of the price action based on market auction theory.

With the v227 release, CDA VolumeProfile indicator has been tested to work with Futures, Stock, Index, and Currency market instruments.

The indicator has a Volume-At-Price Mode parameter which can be used to select either UseCache (default), UseTickData, or UseMinuteData. Cache can be built using Tick and/or Minute volume data.

The indicator is feature-rich with several options to customize the appearance of a full array of profiling information, including:

  • Minute and/or Tick Volume-At-Price Based Profiles with Cache for optimization of historical data
  • Concurrent Session, Micro-Composite, and Composite Profiles with single instance of indicator
  • Micro-Composite Profile displayable with Heat Map and Date Span
  • Composite Profile displayable in Outline and/or Filled and with Starting Date
  • VPOC, mcVPOC, and cVPOC Lines
  • Initial Balance Lines with Range and Period
  • Open Swing of Session
  • Session Open, High, Low, Mid-Point, Close Lines and Range
  • Session VWAP Line with Standard Deviation Bands
  • Naked VPOCs Lines
  • Naked Gaps Lines
  • Composite High & Low Value Nodes (CHVN/CLVN) as Lines and/or Bands
  • Micro-Composite High & Low Value Nodes (mCHVN/mCLVN) Lines
  • Total Volume and Imbalance Factor

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    The indicator’s UseCache Volume-At-Price (VAP) Mode expedites drawing of historical profiles. Volume-At-Price (VAP) Tick and Minute cache files are built using UseTickData and UseMinuteData VAP Modes, respectively, and need only be done once on contract rollover day or when returning from an absence. Cached data is automatically updated with the processing of the real-time data stream. See FAQ page for more details.

    Many other 3rd party Volume Profile indicators do not offer the use of tick-based volume data (for historical data) and take the approach of assuming minute-based volume data is good enough.   We disagree and have implemented an easy to use approach to take advantage of caching and can readily help new users by providing a free-of-charge cache file to get you up and running right away, with cached TICK VAP data.

    (Click images to enlarge)

    The image below shows a typical 3min intraday RTH chart with session, micro-composite, and full composite profiles displayed based on cached minute and tick volume data:

     

     

     

     

     

    The image below shows a typical 405min RTH composite chart with several micro-composite profiles displayed with the full composite profile displayed based on cached minute and tick volume data:

     

     

     

     

     

     

     

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