Session Volume Profile by AUMBaumgartner

The Session Volume Profile indicator calculates the volume profile of a complete trading session and displays key statistical price levels directly on the chart based on Steidlmayer’s Market Profile principles. This tool helps traders identify high-activity zones, value areas, and fair price levels for any given session.

Usage

The Usage section describes how the script can be used to identify market sentiment and potential reversal or breakout points. The indicator is particularly effective for identifying whether the market is in a state of balance or imbalance.

• Trading Strategy: In a balanced market, traders often look to buy when the price is below the Value Area Low (VAL) and sell when the price is above the Value Area High (VAH).
• Market Imbalance: If the price remains outside the Value Area for 30 minutes or more, it suggests a potential shift in market sentiment and the development of new price levels.
• Histogram Interpretation: The horizontal histogram visualizes volume distribution. The wider the histogram at a specific price, the more trading activity occurred there.

Details

The script implements concepts developed by J. Peter Steidlmayer to organize market data into structural components:

• VPOC (Volume Point of Control): The price level with the highest traded volume, representing the "fairest" price where the most activity occurred.
• TPOC (Time Point of Control): The price level touched by the most bars during the session, providing a time-based perspective on price acceptance.
• Value Area (VA): The price range where 70% of the session's volume was traded. It is calculated starting from the VPOC and adding adjacent price levels with the highest volume until the 70% threshold is reached.
• VAH & VAL: The upper and lower boundaries of the Value Area. Prices above VAH are statistically overvalued, while prices below VAL are statistically undervalued for that session.
• Calculation Method: Users can choose between "Range" distribution (Steidlmayer’s method of distributing volume across the high-low range) or "Close" distribution (assigning volume only to the closing price).

Settings

Session

• Session Start (HHMM): Defines the start time of the session in 24-hour format (e.g., 2200).
• Session End (HHMM): Defines the end time of the session in 24-hour format.

Calculation

• Value Area %: Sets the percentage of total volume used to calculate the Value Area (default is 70%).
• Tick multiplier: Adjusts the granularity of the price buckets used for the profile. Higher values create larger buckets.
• Volume distribution: Chooses between distributing volume across the bar's "Range" or only at the "Close."

Display

• Histogram max width (bars): Determines the maximum horizontal length of the volume histogram.
• Show histogram: Toggles the visibility of the volume profile histogram.
• Show POC/VAH/VAL lines: Toggles the horizontal level lines.
• Show labels: Toggles text labels for the key levels.
• Histogram side: Determines if the histogram appears on the "Left" or "Right" of the session.

Colors

• VPOC / TPOC / VAH / VAL / Histogram: Individual color settings for each level and the volume bars to customize visual clarity.

FAQ

How do I interpret the Value Area?
The Value Area represents the range where 70% of the session's volume took place. It is considered the zone where the market found a "fair price." Prices outside this area are considered overvalued or undervalued relative to that session.

What is the difference between VPOC and TPOC?
VPOC is based on the highest volume traded at a specific price, while TPOC is based on the amount of time (number of bars) the price spent at a specific level.

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.