Pre-Market Volume Profile

The Pre-Market Volume Profile indicator isolates and visualizes trading volume accumulated during the pre-market session to help traders identify institutional interest and confirm the strength of price gaps before the regular market opens.

Usage

The Usage section describes how the script can be used to identify high-conviction trading opportunities. Traders typically monitor this indicator to see if a morning price gap is backed by significant liquidity, which often precedes high-volatility moves during the regular session.

• Confirming Gaps: If a stock gaps up or down on high pre-market volume (relative to the average), it suggests institutional participation, increasing the likelihood of a sustained move.
• Identifying Unusual Activity: By observing the relationship between the volume histogram and the threshold line, users can filter out "noise" and focus only on assets with significant pre-session accumulation.
• Threshold Interpretation: When the blue volume histogram exceeds the green "Multiplied Avg" line, the script considers the volume "unusual" based on the user-defined sensitivity.

Details

The script utilizes request.security to compare extended session data against regular session data. This allows it to precisely extract volume from the pre-market hours while excluding the previous day's post-market activity.

The core logic involves calculating an Exponential Moving Average (EMA) of the volume bars within the pre-market window. This average is then scaled by a multiplier to create a dynamic volatility threshold. By focusing strictly on pre-market data, the indicator provides a more accurate representation of current sentiment than standard volume indicators that mix regular and extended session data.

Settings

• SMA Length: The lookback period (number of bars) used to calculate the average pre-market volume baseline.
• SMA Multiplier: The factor by which the average volume is multiplied to define the "unusual" volume threshold. For example, a setting of 2.5 means the current volume must be 250% of the average to be considered significant.

FAQ

Does this indicator include post-market volume from the previous day? No, the script is specifically designed to filter out post-market data and only display volume accumulated during the pre-market session leading up to the open.

Can I set alerts for unusual volume spikes? Yes, the script includes a built-in alert condition that triggers a notification whenever the pre-market volume crosses above the multiplied average line.

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