Description

The Volume Profile indicator is a free NinjaTrader 8 indicator which has the following features

• Display of volume profile on each bar (or a period of bars)
• Display of volume profile on each trading session with an optional time interval settings
• Calcuation and display of value area on each volume profile
• Split of volume profile clusters interactively with a mouse click
• Merge and grouping (composition) of volume profile interactively with a mouse click
• Unique Auto Composition of volume profiles based on value area overlapping
• Works Seamlessly with or without OrderFlow Data or Tick Replay
• Works Seamlessly on any timeframe including Renko Bars
• Precise visualization of Price Discovery and Balances areas

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Examples

Here are few examples of the indicator in action:

Auto detect ranges based on value area confluence

The most basic usage of the indicator is to display volume profiles on each bars on the chart. The volume profiles will show value areas calculated on a parametrizable percentage. The confluence between the value area bounds, the open and close prices and the point of control of the bar can show opportunities for short term scalping

In this example, where the Auto Merge feature is enabled, you can see that the indicators was able define price ranges based on volume activity on each range

This automatic range detection feature allows to generate range breakout signals when a bar breaks out long or short from the last range formed. As you can see on the example chart, the red arrows point to two candles where the price breaks out of the Balanced region and started trending long

Volume Profile on Renko Chart

The built-in NinjaTrader 8 OrderFlow Volume Profile indicator is great but has limitations. One of its limitations is that it can't be used on Reno Charts, and it can't be used if you don't have the Lifetime NinjaTrader license which is a bit costly. Our Volume profile indicator desn't have these limitations. It is a free indicator that can be used even if you don't have OrderFlow data enabled on your Ninjatrader platform. And it works on both regular candlestick charts and on any type of renko charts.

Entry Strategy Example

One trading strategy that can be built on the Session based volume profile is an opening range strategy

In this strategy, a volume profile is calculated between 01 AM and 09 AM Eastern Time, 30 minutes before market open. This volume profile defines a range between its value area levels

When the price breaks from the range defined by the value area levels one can follow the breakout and enter long or short.

You can see on the image above the strategy in action.

Parameters

We always try to keep the parameters to minimum.

License
License	This is the free license key you get when you create an account on automated-trading.ch. After creating an account, copy your license key from the billing page. You need to set this parameter only once per month, once the license key is validated it will be remembered for the rest of the billing cycle.
General
Use OrderFlow Data	This parameter tells the indicator if you have OrderFlow data enabled (NinjaTrader Lifetime license) or not. You should check this if you have OrderFlow. And uncheck it if you don't have OrderFlow data, in which case you should enable TickReplay on your chart for the indicator to work properly
Align	This parameter sets the drawing alignment of the profiles on the chart Left: Start drawing the profile from the left side to the right side of the candle bar(s) Right: Start drawing the profile from the right side to the left side of the candle bar(s)
Width %	This parameter sets the profile width in percentage of the total with of the candle bars(s). The value of 100 will fill the whole area.
Profile Period	This parameter sets the profile period type. It can have two possible values Bars: This will make the indicator draw volume profiles for each bar on the chart Sessions: This will make the indicator draw one volume profile per trading session
Bars Period	This parameter is only available when the Bars value is selected for the Profile Period parameter. This parameter sets the number of bars for one volume profile. If you set this value to 1, the indicator will draw a profile for each bar. If you set this to 2, the indicator will draw one volume profile for each couple of bars. Notice that you can merge or split bars manually which will affect this initial clustering period
Time Zone	This parameter sets the time zone to be used for setting the Session Interval parameter below. Since futures markets are open and closed based on US market time zone which is EST (US Eastern, New York), this parameter allows you to specifiy trade time interval on another timezone which is your local machine timezone EST: This will use EST (Eastern Time) timezone while setting the Session Interval Local Time: This will use the local machine timezone
Session Interval (hh:mm-hh:mm)	This parameter is only available when the Sessions value is selected for the Profile Period parameter. This parameter sets the time interval that defines the trading session. For example if you want to draw a volume profile on the RTH session, the value of this parameter should be "09:30-16:15"
Ticks Per Level	This parameter sets the option to group multiple ticks er level. which can provide a more accurate representation of the market activity at each price level. When volume data is grouped per level, the indicator aggregates the volume for each price level, rather than showing each individual tick. This can be especially useful in markets with high trading volumes such as the nasdaq (NQ or MNQ)
Value Area %	This will set the percentage used to calculate the Value Area of profiles. The value area is the area in which x% of trading volume occured. The standard value for this is 68% which represents the value are of a Normal distribution. But you can set this to other values such as 40%, in this case the value area will be calculated, on each new price tick, to show the price levels that represent 40% of the total volume of the profile. The value are is the area around the POC (Point of Control) which is the price level having the maximum traded volume
Auto Merge Profiles	This will enable/disable the automatic composition of adjacent profiles based on the overlapping of their value areas. This can be useful to automatically detect ranges of balance, and when the price breakout of those ranges in price discovery mode. Those two events can build the foundation of a trading strategy based on market auction theory
Min Refresh Rate (Seconds)	This parameter will set a minimum refresh rate to calculate value area in seconds. This can be set to for example 5 seconds or 10 seconds to define a delay in seconds between two consecutive calculations of the value area and its drawing.
Rendering
Profile Opacity	The opacity to render the body of the profile. I personally set this value to 40
Value Area Opacity	The opacity to render the value area of the profile. In general you would want to set this to a slightly higher value than the body opacity to create a clear contrast between the two areas
Profile Body Color	Draw Color of profile levels other than the POC and value area levels
POC Color	Draw Color of the POC level (point of control)
Value Area Color	Draw Color of the value area levels
Show POC	Enable/Disable highlighting the POC level with its own color
Show Value Area	Enable/Disable highlighting the value area levels with their own colors
Show Labels	Enable/Disable showing pivot levels labels
Font Size	This sets the font size of the labels if they are enabled

Interactive Commands

Interactive commands are operations of merge/split that can be applied to volume profiles on the chart by right-clicking on them

Merge Right
	This command is accessible on Right-Click on the chart on a Volume profile item. If the clicked profile has a successor profile, this Context-menu button will be visible and you can click it to merge the selected profile with its right-hand profile. The result of this merge will be the concatenated profile from the two profiles. Profile before merge: Profile after merge: The resultant composite profile can be further composed with its right or left profiles
Merge Left
	This command is accessible on Right-Click on the chart on a Volume profile item. If the clicked profile has a prdecessor profile, this Context-menu button will be visible and you can click it to merge the selected profile with its left-hand profile. The result of this merge will be the concatenated profile from the two profiles. The resultant composite profile can be further composed with its right or left profiles
Split Profile
	This command is accessible on Right-Click on the chart on a Volume profile item. If the clicked profile is composed of more than one candlestick, this Context-menu button will be visible and you can split the selected profile into multiple unit profiles. The split profiles can be re-merged afterwards.

Download & Installation Instructions

Frequantly Asked Questions

Release Notes

User Comments & Feedback