Volume Profile – Session

Volume Profile (Session) allows you to build a volume profile for each trading session

Click HERE for a general overview of the various types of Volume Profiles available and useful tips

In the indicator configuration you can set up to 4 different sessions relating to the daily market phases:

  • RTH: represents the regular trading hours, in other words the hours when the market is actually open
  • pre-RTH: represents the hours BEFORE RTH session
  • post-RTH: represents the hours AFTER RTH session
  • ETH: represents the entire daily trading session including all 3 previous sessions (pre-RTH + RTH + post-RTH)

These trading session types are used for example by CME (Chicago Mercantile Exchange), but not only.

In most cases you will only set RTH session (default) or ETH. In other cases you may want to use the same indicator to view both RTH and ETH volume profile, or even split the day between Pre-RTH and RTH sessions.

Example with RTH and ETH sessions set:

Volume Profile Session can ONLY be used on charts with intraday resolutions

Calculation Properties #

You can access calculation properties from Properties Tab of the indicator configuration window.

Calculate using: specifies whether to use Volume or Tick Count (number of trades) to calculate the indicator. Unless you have special needs, we recommend you use the Volume.

Calculate on Last n Sessions: specifies the number of trading sessions on which to calculate the indicator. If you are using 1-Tick resolution data to build the indicator, we recommend you not to overdo the number of sessions. Data loading and calculation times progressively increase with the increase in the number of sessions involved. However, there is no recommended number of sessions to use. It depends on many factors and in particular on your PC performance, your Internet line and your data feed. Set this property correctly according to your needs and the performance of your PC/data-feed. If you notice very long loading times, decrease the number of sessions.

Value Area (%): specifies the Value Area width (as a percentage). Typical value of this property is 68.2 (default). We recommend you do not change it unless you have special needs.

Ticks per Row: specifies the width (in ticks) of each single price level. A tick is the smallest price movement (tick-size) defined in the instrument configuration. Usually, the correct value for this property is 1. For some instruments, where the tick-size is very small compared to the current price (eg US stocks), it may be necessary to group a number of price levels into a single level by setting this property to a value greater than 1.

Resolution: defines the resolution of data to be used to calculate the indicator:

  • Same as chart: 1-Tick or 1-Minute resolution is used depending on chart resolution
  • 1-Tick: (recommended) use this resolution to get the best possible volume profile (highest definition). Data loading and calculation times can be long.
    When the resolution is 1-Tick, by setting Bid/Ask – Calculation Method property you can choose with which calculation method the volume of every single tick is assigned to Bid or Ask:
    • Tick Direction: volume is assigned to Bid or Ask based on direction of current tick compared to previous one. In other words, if current tick price is higher than previous one the volume is assigned to Ask, if lower it is assigned to Bid, if equal it is assigned to bid or ask based on the last assignment made.
    • Bid/Ask: volume is assigned to Bid if seller is the aggressor, or to Ask if buyer is the aggressor. If the aggressor is unknown and price is between bid and ask, the volume is assigned to bid or to ask depending on last assignment made.
  • 1-Minute: use this resolution to get an approximate volume profile. Data loading and calculation times are very short

If data resolution is other than 1-Tick, total bar volume is assigned to price level corresponding to the bar close.

Initial Balance (duration in minutes): Initial Balance represents the price range established in the first x minutes of session (typically 60/120 minutes). This property specifies the Initial Balance duration.

Sessions:
The entire trading day, typically identified with the ETH session (Extended/Electronic Trading Hours), can be divided into several sessions (parts): pre-RTH, RTH and post-RTH.

RTH stands for Regular Trading Hours (hours when the market is actually open), so pre-RTH represents the time interval before RTH session, and post-RTH the next. The sum of these 3 sessions is called ETH which represents the entire day session

RTH session identifies the most important part of ETH session and that is the hours where the market is actually open and where the largest trades take place. Many traders prefer to set up their charts and indicators using RTH session only, not considering the hours before and after RTH session.
In Volume Profile Session indicator you can build a Volume Profile for each type of session. You can draw the volume profile of pre-RTH, RTH and ETH sessions all together using a single indicator.

Session pre-RTH: represents the hours BEFORE RTH session

Session RTH: represents the hours when the market is actually open. When adding new indicator, only RTH session is set. RTH session is set by default with the session defined in reference chart configuration. This means that if ETH session is set in the chart, by default this property will be set with the ETH session

Session post-RTH: represents the hours AFTER RTH session

Session ETH: represents the entire daily trading session including all 3 previous sessions (pre-RTH + RTH + post-RTH)

When adding new indicator, only RTH session is set. RTH session is set by default with the session defined in reference chart configuration. This means that if ETH session is set in the chart, by default this property will be set with the ETH session.

If you are using ONLY one session, we recommend that you only ever set Session-RTH property

In addition to the properties listed here, there are many other properties that are minor or do not need further explanation.

Style Properties #

You can access style properties from Style Tab of the indicator configuration window.

WARNING: In addition to the properties listed here, there are many other properties that are minor or do not need further explanation.

Style properties listed below repeat for each session type set in Calculation Properties. You can define a completely different style for each type of session (pre-RTH, RTH, post-RTH and ETH).

Volume Profile #

Direction: specifies volume-bars direction: from Right to Left or Left to Right.

Position: specifies volume profile position relative to the time interval on which it is built. You can place the volume profile at the beginning or end of the range (internally or externally). In case of volume profile built on each single bar, an internal position will draw the volume profile to the center of bar, an external position will draw the volume profile on the right or left side of bar.

Width: specifies the width of each volume profile as a percentage or pixels. If percentage, the volume-profile width will be a percentage of volume-profile reference area.

Display as: specifies how volume profile is displayed:

  • Volume: volume bar is colored with a single color. Color changes according to the zone to which the bar belongs (internal or external to the Value Area) and will be more or less intense depending on bar volume and the opacity (min/max) specified.
    You can choose between a classic or smoothing style and whether or not to draw only the border (useful for making the volume profile less flashy).
  • Bid/Ask: volume bar is divided into 2 parts of different colors corresponding to the volume generated on BID and the volume generated on ASK. This displaying type requires the use of 1-Tick resolution data to build the indicator.

Current Volume Profile (LAST):

You can set a completely different position and style for current volume profile (last) compared to historical volume profiles

LAST – Position: specifies whether to draw last volume profile inside chart or on chart right margin. If drawn on right margin, you can align the volume profile to the right/center/left of the right margin.

Delta Profile #

Delta Profile is often used to complement the volume profile and shows the delta of each price level. In other words, the difference between volumes generated on ASK minus volumes generated on BID.

You can choose whether to draw Delta Profile together with Volume Profile, as an alternative to Volume Profile, or not to draw it. However, to draw Delta Profile you need to use 1-Tick resolution data to build the indicator

In case volume profile is drawn together with delta profile, some style and position properties are inherited from volume profile

Direction: specifies bars direction: from Right to Left or Left to Right.

Position: specifies whether to draw Delta Profile on the right, left or overlapped on volume profile. In case Volume Profile is NOT visible, it specifies the position of delta profile with respect to the time interval on which it is built. You can place delta profile at the beginning or end of the range (internally or externally). In case of delta profile built on each single bar, an internal position will draw delta profile to the center of bar, an external position will draw delta profile on the right or left side of bar.

Width: specifies the width of each single delta profile as a percentage of total space reserved for volume profile + delta profile. For example, if total space of volume profile + delta profile is 100 pixels and the width of delta profile is 30%, then volume profile and delta profile will be 70 and 30 pixels wide respectively (total space reserved for volume profile + delta profile is defined in volume profile Width property).
If volume profile is NOT visible, you can set delta-profile width in percentage or pixels. If percentage, delta profile width will be a percentage of delta-profile reference area.

Current Delta Profile (LAST):

As with volume profile, also for delta profile you can set a completely different position and style for the current delta profile (last) compared to historical delta profiles.
Warning: In case volume profile is drawn together with delta profile, some style and position properties are inherited from volume profile

VPOC (Volume Point of Control) #

VPOC is the price level with the greatest volume, around which the value area is calculated. Use properties available in this section to draw or not the VPOC and set it according to your needs.

Naked Line: is a horizontal line drawn from VPOC and extended to the end of chart (right side). The line is drawn ONLY if the price level has not yet been reached by current prices, or rather, by subsequent volume profiles. If multiple sessions are set (see calculation properties section), by setting Use Exclusively property (available ONLY in RTH session VPOC style), you can specify whether to calculate and display EXCLUSIVELY the Naked-Lines of RTH session.

VPOC Trace Line #

Trace-Line is a broken line showing the VPOC position over time within the period where the volume profile is calculated. Use properties available in this section to draw or not the Trace-Line and set it according to your needs.

Open Gap/Lap #

An Open Gap/Lap represents a Last price level (last price of a previous volume profile) not yet reached by current prices, or rather, by subsequent volume profiles. It is represented by a horizontal line drawn from previous Last and extended to the end of chart (right side). If multiple sessions are set (see calculation properties section), by setting Use Exclusively property (available ONLY in RTH session Open-Gap/Lap style), you can specify whether to calculate and display EXCLUSIVELY the Naked-Lines of RTH session.

Labels/Markers/Level Lines #

You can highlight through a label and/or a horizontal line some significant price levels such as Initial Balance, Open, High, Low, Last, Middle, VPOC, Value Area (high/low), Half Gap/Lap etc. Set according to your needs which levels to display using the properties available in this section.

Summary #

You can display at the bottom of each single volume profile some summary values such as Total Volume, Total Delta, High/Low Range, and Initial Balance. Set according to your needs which summary values to show using the properties available in this section.