Volume Profile Indicator [Advanced]

Description

• Display of volume profile in 3 modes:
  • Session Mode: displays a volume profile defined on a time interval for each trading session
  • Bars Mode: displays a volume profile on each bar or an aggregate of bars, with auto-merging support
  • Click & Drag Mode: interactively creates volume profiles on the chart using mouse clicks
• Calculation and display of the value area on each volume profile
• Merging and grouping (composition) of volume profiles interactively with a mouse click
• Splitting of volume profile clusters interactively with a mouse click
• Unique auto-composition of volume profiles based on value area overlapping
• Works seamlessly with or without OrderFlow data (no OrderFlow data requires Tick Replay)
• Works seamlessly on any timeframe, including Renko bars
• Uses a Machine Learning algorithm to classify profile types (P-Shape, D-Shape, b-Shape)
• Displays POC and Value Areas as progressing lines through the volume profile
• Shows Value Area Gaps, the volume version of Fair Value Gaps

Examples

RTH Session Volume Profile

The most straightforward usage of the indicator is to lay out RTH session volume profiles and trade on POC and Value Area levels of the previous day's volume profile. The session time interval can be adjusted to whatever suits the instrument, and works on both time-based timeframes and price-based ones such as Renko or Range bars. Two separate intervals for the same trading session can be tracked by adding two instances of the indicator, each with its own session interval.

Auto-detecting ranges based on value area confluence

Displaying volume profiles on each bar shows value areas calculated on a parametrizable percentage. The confluence between the value area bounds, the open/close prices, and the point of control can highlight opportunities for short-term scalping. This mode also modifies the volume profile sequence according to a merging algorithm based on value area overlap — profiles can also be manually merged or unmerged by right-clicking on a volume profile and using the context menu.

Bars-based volume profiles with automatic type detection

The volume profile can have three main types: P shape (most volume at the top of the profile — a hint that price may continue higher when confirmed by price action), D shape (most volume in the middle — no directional bias confirmed), and b shape (most volume at the bottom — a hint that price may continue lower). The profile type can be used to confirm a directional bias, for example a "b" cluster followed by price breaking down, or a "P" profile marking a price reversal.

Click & Drag manual drawing of volume profiles

Under Click & Drag mode, click once on a start anchor on the chart — a rectangle is drawn following the mouse movement — then click a second time where the volume profile should end. The resulting profile can be transformed (click to activate, then drag), removed (right-click → Remove Profile), or extended into the latest bar to keep it active and recalculating with new live price bars.

POC and Value Area as progressive plots for Sessions and Bar based profiles

With the POC and Value Area render modes set to "Progress" instead of "Last Value", the lines are drawn progressively for each bar — visualizing how volume changed inside the profile's bar cluster, which can create trading opportunities when price action revisits those levels.

Value Area Gaps

Value Area Gaps are the volume equivalent of Fair Value Gaps, and provide more accurate reference levels. They're created when price leaves a value area up or down without mitigating it, marking a zone that can act as a support/resistance zone when price returns to it. One should observe the behavior of price around a Value Area Gap before deciding to trade it — if the zone acts as support or resistance, it's a good indication the zone is worth watching. Value Area Gaps sometimes overlap with Fair Value Gaps, but not always; in practice, price tends to respect Value Area Gaps more than Fair Value Gaps.

Parameters

We always try to keep the parameters to a minimum.

Interactive Commands

Interactive commands on the Click & Drag mode

Extend To Last Bar extends the clicked volume profile until the most recent bar on the chart — the profile stays active, extending to new bars and recalculating at each new tick. Stop Extending marks the clicked profile as inactive, so it stops extending to new bars. Remove Profile removes the profile from the chart entirely — needed since the "Delete" keyboard button can't be used to remove a profile.

Interactive commands on the Bars mode

Interactive commands are merge/split operations applied to volume profiles by right-clicking on them. Merge Right and Merge Left concatenate the clicked profile with its successor/predecessor profile (visible only when one exists) — the resultant composite profile can be further composed with its neighbors. Split Profile, visible when the clicked profile is composed of more than one candlestick, splits it into multiple unit profiles, which can be re-merged afterward.

Signals & Usage in Strategy Builder

Starting from version 2.0.0.0, this indicator can no longer be used as a signal generator on other platforms.

Download & Installation Instructions

Installation Steps

1

Import the downloaded .zip file into NinjaTrader using the Import NinjaScript menu item.

2

Open a new chart window.

3

Right-click the chart and choose Indicators... to add the indicator to the chart.

4

Copy/paste your license key, found on the billing page, into the license parameter.

5

After adding the indicator to the chart with a valid license, it runs on the chart's historical data first, then continues running on live market data.

Frequently Asked Questions

General

Release Notes