Market Structure Volume Profiles

The Market Structure Volume Profiles indicator combines market structure analysis with volume profiling and Cumulative Volume Delta (CVD) to visualize how participation develops within specific structural legs. It dynamically generates a new volume profile for each confirmed Break of Structure (BoS) or Change of Character (CHoCH), allowing traders to study internal auctions independently of fixed time sessions.

Usage

The script tracks market structure in real-time and recalculates volume distribution whenever a structural change occurs. When a BoS or CHoCH is confirmed, the volume accumulated during that specific completed leg is organized into a profile.

Interpretation Examples:

• Strong Continuations: High volume concentration (POC) near the breakout point suggests strong support for the move.
• Weak Breaks: A structural break with thin volume or high sell-side delta inside a bullish leg may indicate an exhaustive move rather than a sustained trend.
• Reversals: Using the "Split" profile mode, traders can see if a CHoCH was driven by aggressive market selling or a lack of buying interest.

The tool features two main visualization styles:

• Detailed Profiles: Used when sufficient bar data exists to provide a granular view of the auction.
• Mini Profiles: A compact version that triggers when structural legs are short or have limited data, ensuring visual clarity on all timeframes.

Details

The script utilizes lower timeframe (LTF) data to build high-resolution internal volume distributions. By breaking down each structural leg into its component price levels, it calculates:

• Auction Shape: Visualizing whether a move was balanced (rotational) or imbalanced (trending).
• Value Area (VA): Highlighting the range where 70% of the volume for that specific structural move took place.
• CVD Context: Unlike session-based CVD, this script resets delta based on market structure (or optional time intervals), linking aggressive participation directly to structural shifts.

Settings

Main Settings

• Use Mini Profile: Toggles the compact profile view for structural legs.
• Lower Timeframe Volume: Sets the granularity of volume data used to build profiles.
• Profile Type: Choose between "Stacked" (combined volume) or "Split" (buy vs. sell side) profiles.
• Profile Size: Adjusts the vertical resolution/number of rows for detailed profiles.
• Show Structure Stats: Displays a label with range, volume, delta, and return for the completed leg.

Market Structure

• Show BoS / CHoCH: Toggles the detection and labeling of structural events.
• Color Candles by Market Structure: Changes candle colors based on the current structural regime.

Volume & POC

• Show POC: Displays the Point of Control for each structural leg.
• Extend/Naked POC: Extends the POC line until it is mitigated by price action.
• Show VA: Displays the Value Area boundaries for each completed structure.

CVD Settings

• Reset CVD: Determines the trigger for resetting the Cumulative Volume Delta (options include CHoCH, BoS + CHoCH, Day, or Week).

FAQ

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

What is the difference between BoS and CHoCH in this script? BoS (Break of Structure) represents trend continuation, while CHoCH (Change of Character) signifies a potential trend reversal. The script anchors separate volume profiles to each to show how participation differs during these phases.

Why does the profile sometimes change to a small box? This is the "Mini Profile" feature. When there is not enough historical bar data for a detailed calculation at the selected LTF, the script uses a simplified box to maintain performance and visibility.