Session Volume Profile - Open Source

The Session Volume Profile [CantoLab] indicator automatically calculates and visualizes trading activity over user-defined time intervals to identify high-interest price levels and value areas.

Usage

The Session Volume Profile tool is used to identify key market structures by analyzing volume distribution at specific price levels over set periods. Traders can use this to spot areas of high liquidity (Point of Control) and price ranges where the majority of trading activity occurred (Value Area).

Example use cases include:

• Support and Resistance: Identifying the POC as a potential magnet or pivot point for price action.
• Trend Confirmation: Observing if the Value Area is shifting higher or lower in subsequent sessions.
• Breakout Identification: Trading price movements out of the Value Area High (VAH) or Value Area Low (VAL).

The tool automatically resets its calculations based on the selected timeframe (e.g., Daily, Weekly, Monthly), ensuring that each profile is relevant to the current session's price action.

Details

The script functions by partitioning the price range of a given session into a user-specified number of rows. It then distributes the volume of each price bar within that session across the corresponding rows.

• Point of Control (POC): This is the row with the highest concentrated volume. It represents the price level where the most shares or contracts were traded during the session.
• Value Area (VA): This represents a specified percentage (default 40%) of the total session volume centered around the POC. It defines the "fair value" zone where the bulk of market participants transacted.
• Granularity: The script uses an adjustable row system (10-500) to determine the resolution of the volume profile. Higher row counts provide more detail but require more computational resources.

Settings

Time Range

• Profile Timeframe: Selects the period for which each volume profile is calculated (e.g., Daily, Weekly, Monthly).

POC & Value Area

• Show Volume Profile Rows: Toggles the visibility of the horizontal volume histogram.
• Display VAH/VAL: Toggles the visibility of the Value Area High and Value Area Low lines and labels.
• Display POC: Toggles the visibility of the Point of Control line and label.
• Value Area Background: Enables or disables shading between the VAH and VAL levels.

Appearance

• Profile Number of Rows: Sets the vertical resolution of the histogram (10 to 500 rows).
• Profile Width %: Controls how much horizontal space the histogram occupies relative to the session width.
• Height % per Row: Adjusts the vertical thickness of individual histogram bars.
• Value Area (%): Sets the percentage of total volume to be included within the Value Area calculation.

Color

• Volume Profile: Sets the color for the standard volume bars.
• Value Area Highlight: Sets the color for bars within the Value Area.
• POC / VAH / VAL Colors: Individual color pickers for the key level lines and labels.
• Value Area Background: Sets the color for the shaded region between VAH and VAL.

FAQ

How do I change the frequency of the profiles? You can adjust the "Profile Timeframe" setting in the Time Range section to switch between Daily, Weekly, Monthly, or other supported timeframes.

What does the Point of Control (POC) represent? The POC is the price level that saw the highest amount of trading volume during the specific session, often acting as a significant psychological level for traders.

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