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.

CDA VolumeProfile indicator has been tested to work with all 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), UseTickVolume, or UseMinuteVolume. 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
  • Session Profile displayable with single color or Heat Map with full spectrum or variable opacity.
  • Concurrent Session, Micro-Composite, and Composite Profiles with single instance of indicator
  • Multiple Micro-Composite Profiles displayable with Heat Map and Date Span
  • Composite Profile displayable in Outline and/or Filled, with Heat Map, and Starting Date
  • VPOC, mcVPOC, and cVPOC Lines
  • Initial Balance Lines with Range and Period and option to highlight bars of Initial Balance area.
  • Naked Initial Balance Lines and Alerts
  • Open Swing of Session
  • Session Open, High, Low, Mid-Point, Close Lines and Range
  • Integrated session VWAP Line with Standard Deviation Bands
  • Naked VPOCs Lines and Alerts
  • Naked Gaps Lines and Alerts
  • Naked High and Low Lines and Alerts
  • 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 (% Vol above POC minus % Vol below)
  • Value Area (High and Low) Lines, Band, and Range for Session Profiles and option to highlight bars
  • Naked Session VAH & VAL Lines and Alerts
  • Value Area (High and Low) Lines for Micro-Composite and option to highlight bars
  • Export session based stats: Begin,End,TotalVol,VPOCVol,VolAboveVPOC,VolBelowVPOC,Open,High,Low,Close,VPOC,VWAP,IBH,IBL,VAH,VAL
  • Integrated plot of Cumulative Delta Volume  (Bid/Ask) overlaid on price panel.
  • Display of total Cumulative Delta Volume value
  • Display of Volume-At-Price values for Session, Micro-Composite, and full Composite profiles.
  • Block Trade ( tick volume spike) detector with audible alerts, chart notations, and email alert messages
  • Overnight High, Low, and VPOC lines
  • Custom Toolbar to facilitate changing frequently accessed parameters.
  • Range profiling based on tick volume or minute volume data with an intra-session time-span or a range spanning multiple sessions.

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 UseTickVolume and UseMinuteVolume 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 an example of many of the features enabled for a typical 5min intraday RTH chart with session, micro-composite, and full composite profiles displayed based on cached  tick volume data; most displayed content is optional and can be easily hidden and changed with a couple of mouse clicks:

CDA_VolumeProfile RTH - with volume values



The image below shows a typical 405min RTH composite chart with illustrating the various options available in the toolbar’s Hide pull-down when these features are enabled.

CDA_VolumeProfile RTH - with 405min bars and Hide Tool Pull-down