Volume profile - By Leviathan

The Market Sessions and Volume Profile indicator provides session-based value area analysis and liquidity sweep detection signals. It identifies high-conviction reversal opportunities by combining volume profile metrics with price action filters at key institutional levels.

Usage

The Usage section focuses on identifying institutional footprints within specific time-bound sessions. Users can select between various timeframes (Daily, Weekly, Monthly, Quarterly, Yearly) or specific Forex sessions (Tokyo, London, New York) to isolate volume data.

Volume Profile Interpretation

The indicator calculates and displays the Point of Control (POC), Value Area High (VAH), and Value Area Low (VAL). These levels represent where the majority of trading activity occurred. Traders can use these levels as dynamic support and resistance or as targets for mean reversion.

Sweep Signals

The tool detects "sweeps," which are failed breakouts or breakdowns at key value area levels. These are visualized as triangles on the chart:

• Bearish Sweeps (Red Triangle Down): Occur when price moves above a level (VAH/VAL/POC) but fails to sustain the breakout, closing below the level and the previous candle's low. This suggests a "stop-run" where liquidity was harvested before a reversal.
• Bullish Sweeps (Green Triangle Up): Occur when price moves below a level but closes back above it and the previous candle's high. This indicates institutional buying after a liquidity grab.

Details

The script utilizes a lower timeframe (LTF) data request to construct a high-resolution volume profile. It segments volume into "Up Volume" and "Down Volume" to provide a granular view of market participant intent.

The sweep detection logic requires a specific sequence of price action:

1. Interaction: Price must breach the specific Value Area level.
2. Rejection: Price must close back within the level.
3. Confirmation: Price must break the previous candle's extreme (High for bullish, Low for bearish) while the previous candle must be of the opposite color of the expected reversal.

Settings

• Session Type: Selects the period for volume calculation (e.g., Tokyo, Daily, Weekly).
• Resolution: Adjusts the granularity of the profile. Higher values provide more detail but may limit the number of profiles displayed.
• Value Area Volume %: Defines the percentage of total volume used to calculate the Value Area (typically set to 68% or 70%).
• Display Mode: Controls the visual representation of the volume bars (Mode 1, 2, or 3).
• Profile Data Type: Choose between standard Volume or Open Interest (for supported futures symbols).
• Show Sweep Signals: Toggles the visibility of the liquidity grab triangles.
• Extended Lines: Options to extend POC, VAH, and VAL from the previous session into the current session for reference.

FAQ

How do I interpret the different colors in the volume profile? The profile typically uses two colors to represent "Up" and "Down" volume. This allows traders to see if a specific price level was dominated by buyers or sellers during that session.

What timeframe is best for the sweep signals? While the indicator works on various timeframes, the sweep signals are generally more reliable on the 1-hour timeframe and above, especially during high-volatility windows like the London or New York open.

How can I access this indicator? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.