Volume/Market Profile

The Volume/Market Profile indicator provides a comprehensive dual-function visualization of volume and price distribution across specific timeframes or custom lookback periods. It facilitates the identification of high-interest price levels by compiling volume data (Volume Profile) or time-at-price data (Market Profile) progressively as the chart develops.

Usage

The Usage section describes how the script can be used to identify key support and resistance zones through auction market theory concepts.

• Volume vs. Market Profile: By default, the tool calculates a Volume Profile based on executed volume. Enabling the "Calculate As Market Profile" setting switches the input to a Time Price Opportunity (TPO) style calculation, assigning a value of 1 to each price level hit per bar regardless of volume.
• Dynamic Granularity: The tool uses a combination of boxes and lines to bypass standard platform limitations, allowing for up to twice the standard granularity. The "Sensitivity" and "Profile Rows" settings determine the vertical resolution of the profile.
• Value Area Analysis: The tool automatically calculates the Value Area (VA), representing the price range where a specified percentage (typically 70%) of volume occurred. Traders use the Value Area High (VAH), Value Area Low (VAL), and Point of Control (POC) as primary reference points for mean reversion or breakout strategies.
• Volume Nodes: High Volume Nodes (HVN) signify areas of high liquidity and consolidation, while Low Volume Nodes (LVN) represent areas of price rejection or fast movement.

Details

The script utilizes a specialized volume profile function that can be extracted for broader analytical use. It employs two distinct calculation modes:

• Progressive Calculation: Resets the profile on each new bar of the requested timeframe (e.g., a "Daily" profile restarts at the market open).
• Lookback Calculation: Compiles a profile based on a fixed historical window (e.g., the last 500 bars), providing a rolling view of market structure.

To optimize performance, the indicator adjusts its granularity calculation based on the chart's price range. Users can override these settings manually if they require specific row counts for high-resolution analysis in replay mode or for developing "Rolling" POC/VAH/VAL lines.

Settings

Profile Settings

• Timeframe: Sets the aggregation period for the profile (e.g., 1D, 1W).
• Use Lookback Calc?: Toggles between a progressive timeframe-based reset and a rolling historical lookback.
• Value Area %: Determines the percentage of total volume used to define the Value Area (default is 70%).
• Calculate As Market Profile: Changes the calculation logic from Volume-weighted to TPO-weighted.

Display Settings

• Display Size: Adjusts the horizontal width of the profile bars relative to the chart axis.
• Display Offset: Moves the profile's vertical axis left or right from the current bar.

Additional Data Displays

• Extend POC/VAH/VAL: Extends the key profile levels across the chart for easier visual reference.
• Rolling POC/TPO: Displays how the Point of Control has moved over the duration of the profile's formation.
• Rolling VAH/VAL: Shows the developing boundaries of the Value Area.

High/Low Volume Nodes

• Highlight Nodes: Enables visual markers for HVNs and LVNs.
• Analysis Width %: Sets the sensitivity for detecting volume nodes relative to the overall profile shape.

Manual Overrides

• Lookback: Manually defines the number of bars to include in a Lookback calculation.
• Profile Rows: Manually sets the number of horizontal rows (granularity) for the profile calculation.

FAQ

How do I view both Volume Profile and Market Profile at the same time? You must add the indicator to your chart twice. Set the first instance to the default volume calculation and toggle "Calculate As Market Profile" on the second instance. Use the "Display Offset" setting to position them side-by-side.

Why does the POC sometimes look tied with other values? This is typically a visual constraint caused by the "Display Size" setting or the scaling of the chart. The calculation remains precise, but if multiple levels have very similar volume, they may appear identical in length.

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