Daily Volume Profile Pro

The Daily Volume Profile Pro indicator constructs a comprehensive volume-based market context for each trading session, distributing volume across price bins to identify fair value and institutional participation zones. It provides critical insights into session dynamics through automated Point of Control (POC), Value Area (70%), and Day Type classification.

Usage

The Usage section describes how the script can be used, examples should be provided in this section. This tool is designed for intraday timeframes (1M to 30M) to analyze how volume is distributed relative to price movement within a single day.

• Market Context: Use the Value Area (VA) and Point of Control (POC) to determine if the market is in balance (trading inside the VA) or seeking new value (trading outside the VA).
• Gap Filling: Monitor Single Prints—bins with less than 15% of the POC volume—as these thin-volume zones often act as magnets where price may return to fill the liquidity gap.
• Opening Bias: Observe price relative to the Initial Balance (IB). Price staying above the IB High suggests bullish conviction, while staying below the IB Low suggests bearish dominance.
• Support/Resistance: Utilize Naked POCs (nPOC) from previous days as potential horizontal support or resistance levels, as these represent "unfinished business" where the market established fair value but has not yet returned.

Details

The indicator utilizes a candle-range proportional allocation method to distribute volume. Unlike standard profiles that assign volume to a single price point, this script calculates the overlap between each candle's range and the price bins, distributing volume proportionally for a smoother, more accurate profile.

The Value Area calculation follows the CME expansion method, starting at the POC and expanding toward the adjacent bin with the highest volume until 70% of the total session volume is accounted for. Day Type classification is determined by the shape of the distribution:

• Trend: Volume concentrated in a narrow area (significant bins < 35%).
• Neutral: Volume spread evenly (significant bins > 65%).
• Normal: Bell-curve distribution.
• Double Distribution (DD): Bimodal distribution with two distinct value areas.

Settings

Main Settings

• Days to Show: Determines how many historical daily profiles (up to 7) are displayed on the chart.
• Profile Bins: Adjusts the price resolution of the volume distribution. Higher values provide more granularity.

Volume Profile

• Delta Coloring: When enabled, colors profile bins based on buy/sell pressure (close vs. open).
• Show Single Prints: Highlights price levels where volume was exceptionally low relative to the POC.
• Profile Side: Switches the profile alignment to either the left or right side of the daily session.

Levels & Lines

• Show POC / Extend POC: Toggles the Point of Control line and its forward extension for a specified number of days.
• Show Naked POCs: Enables the historical scan for unvisited POC levels.
• Value Area (VAH/VAL): Toggles the 70% Value Area boundaries and optional background shading.
• Session VWAP: Displays the Volume-Weighted Average Price for the current session.

Initial Balance

• IB Period: Sets the duration (15–120 minutes) for calculating the session's opening range.
• Extend IB Lines: Extends the IB High and Low lines to the end of the trading session.

FAQ

How do I interpret the different profile colors? The profile bins are colored based on Delta: green indicates a dominance of buying volume, while red indicates selling volume. The brightest yellow bin represents the Point of Control (POC).

Why do some levels extend to the right of the chart? If "Extend Today's Levels" is enabled, the current session's POC, VAH, and VAL are projected to the right edge of the chart to provide real-time reference levels for current price action.

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