Volume By Price (aka Volume Profile)

Modified on Fri, 3 Jan at 6:40 AM

The Volume By Price, better known as Volume Profile,is an indicator that represents the volume traded at various price levels over a specific period. It visually shows where most transactions occurred, helping to identify key areas such as the Point of Control (POC), the Value Area, High Volume Node and Low Volume Node.

INDEX

Settings-of-Use
How-To-Set-the-Volume-By-Price
GENERAL
- Typology
- Custom Date/Time
  - Date/Time-Start
  - Date/Time-End
- Data-Settings
- VIEW SETTINGS
  - Background/Text
  - Width/Offset
  - Visual-Aspect
  - POC (Point-of-Control)
    Settings-of-Use
    To apply the indicator Volume By Price to the chart, click on the Indicators function, and select from the list Volume By Price .
    
    How-to-Set-the-Volume-By-Price
    Clicking on the indicator's settings icon will open its configuration window, within which you will be able to make several choices regarding the indicator's functionality.
    GENERAL
    
    Typology
    1. Profile Type
      Select the type of profile to display
      - Volume
        Show the total volume traded at each price level. This option helps identify the most active price levels in terms of the amount of orders executed.
      - Ask Bid Volume
        Displays volume separately for Ask (selling) and Bid (buying) orders, allowing you to better understand the balance between buyers and sellers at each price level.
      - Delta
        Displays the volume delta, which represents the difference between the buy (bid) and sell (ask) volume. This parameter is useful for analyzing market pressure, highlighting whether the market is more oriented toward buying or selling by aggressive players.
      - Delta and Total Volumes
        It provides a combination of delta and total volume, for a more complete view of market activity at each price level. This allows you to assess both the intensity of bid and ask trades, as well as the overall size of trades.
      - Delta Percentage
        Displays the percentage of delta to total volume, providing an indication of the relative strength of market pressure. This option is particularly useful for highlighting the strength of buying or selling pressure relative to total volume.
    2. Period VBP
      Defines the reference period
      - Composite
        Calculates the volume profile over an extended period, combining the entire period of data loaded within the chart into a single profile.
      - Multiples
        Displays the volume profile for multiple separate periods, allowing you to compare different time intervals on the same graph.
      - Visible
        Calculates the volume profile only for the time interval currently visible on the graph. This allows you to focus only on the most relevant data based on the zoom or the portion of the chart you are viewing.
      - Customized
        Allows you to manually define a specific time period for the volume profile calculation, using start and end dates and times.
      - Last
        Displays the last Volume Profile in relation to the chosen length type.
    3. Length Type
      Specifies the unit of measurement for Volume Profile calculation
      - Minutes
      - Days
      - Weeks
      - Months
      - Volume
    4. Length-Value
      The Length-Value is a parameter that defines the length of the reference period for the Volume Profile, in combination with the Length Type chosen. For example, if the Length Type is set to minutes, days, weeks, months, or volumes, the Length Value specifies how many minutes, days, weeks, months, or volume units will be considered for the Volume Profile calculation, allowing precise customization of the analysis interval.
    Custom Date/Time
    1. Date/Time-Start
      Allows you to manually specify the date and time of the start of the period for Volume Profile calculation, when the VBP Period setting is set to Customized
    2. Date/Time-End
      Allows you to define the date and time of the end of the period for Volume Profile calculation, when the VBP Period setting is set to Customized
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Below is a representation with the different types of volume profiles on the Volsys platform.
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    DATA-SETTINGS
    
    Data-Settings
    1. Data-Base
      Select the type of data to be used for profile calculation.
      - Volume
        Represents the total volume traded at each price level. This database is useful for understanding the intensity of trading and identifying the price levels at which most market activity occurred.
      - Order
        Considers order data, such as the quantity of buy and sell orders at each price level. This option is useful for assessing order pressure and analyzing the behavior of market participants.
      - Aggregate Trades
        Show the aggregate trade volume by combining the trades made on the price level. This option provides a more accurate view of trading activity levels by grouping trades executed at the same price.
      - Number of Trades
        Indicates the number of trades executed at each price level. This database is useful for understanding the frequency of trades and determining the levels of interest in the market.
    2. Filter Min
      Sets a minimum volume value to be considered in the profile calculation.
    3. Filter Max
      Sets a maximum volume value to be considered in the profile calculation. This filter allows you to exclude very high volumes that might distort the representation of the volume profile.
    Tick Grouping
    1. Grouping
      Tick Grouping Profile Type
      - Automatic
        Lets you select the automatic tick grouping mode. This option is useful for automating the definition of the level of granularity of the profile, adapting to market characteristics and chart resolution.
      - Manual
        Lets you specify a custom number of ticks for profile grouping.
    2. Grouping Factor
      Defines the grouping factor for ticks when grouping is set to automatic. A higher value represents greater aggregation.
    3. Tick-in-Manual
      Allows you to manually specify the number of ticks to be grouped together. This option provides precise control over the granularity of the profile, allowing you to tailor the grouping according to your analysis needs.
    SETTINGS-VISUALIZATION
    
    Background/Text
    1. Background
      Background Setting of Volume Profile
      - GENERAL
      - Color Mode
        None
        No coloring is applied to the volume profile. This option shows the data without color highlighting.
        Fixed
        Applies a fixed color to the volume profile. All price levels are colored uniformly, with no changes in intensity, maintaining a simple visual representation.
        Fading
        Applies a coloring with a fading effect, where the color intensity changes according to the volume. Higher volume price levels are represented with more intense colors, while smaller volumes are displayed with lighter colors, providing a more dynamic representation of volume.
        More Colors
        Uses a variety of colors to represent different volume levels. This option can be customized by the user by changing the range settings
      - Method Coloring
        Volume
        This coloring method is based on the total volume traded
        Delta
        It colors the profile based on the volume delta, which is the difference between buy (bid) orders and sell (ask) orders for each price level.
        Delta Perc
        Applies coloring based on the percentage of delta to total volume.
      - COLOR
        Fixed Color Volume
        Fixed Color Bid
        Fixed Color Ask
        Fixed Line Color
      - RANGE
      - Range Definition
        Automatic
        Platform Default Ranges
        User
        Allows user to define custom ranges of values.
    2. Text Mode
      Activating it will show the total volume for each tick/level of the Volume Profile
    3. Text
      Setting Volume Profile text. this function allows you to customize the color of the BID, ASK, Total Volume, and Font Size values
    Width/Offset
    1. Mode-Width
      Select how to calculate the width of the Volume Profile.
      - Automatic
        The Volume Profile width is automatically determined by the system based on the resolution of the chart, optimizing the representation to ensure the best possible visibility.
      - % of Period
        Defines the profile width as a percentage of the reference period. This option allows for a proportional representation, which respects the temporal characteristics of the selected interval.
      - Window Width
        Allows you to set the profile width based on the size of the window visible on the chart. This mode is useful for adjusting the width of the Volume Profile in relation to the portion of the graph you are working in.
      - Number of Bars
        The width of the profile is calculated according to a specific number of bars. This setting is useful to have an accurate representation that directly depends on the amount of bars selected.
    2. Width Last
      Sets the width of the volume profile being formed (the last profile available)
    3. Last Offset
      Defines an offset of the volume profile being formed (the last profile available) i.e. the distance from the formation axis/position
    4. Previous Width
      Determines the width of the profiles previous to the one being formed. For example, with this function it is possible to set a different width of the volume profiles of previous days than that of the current day.
    5. Offset Previous
      Sets an offset for the profiles previous to the one being formed
    Visual-Appearance
    1. Number-Profiles
      Defines the number of Volume Profiles to be displayed simultaneously on the selected period chart.
    2. Profile Opacity
      Controls the opacity of the Volume Profile. A lower value makes the profile more transparent, while a higher value makes the profile more opaque and visible.
    3. Thickness-Edge
      Adjusts the thickness of the edge of the volume profile bars. A thicker border makes the profile more visible and helps to highlight price levels.
    4. Show-in-First-Plan
      When enabled, the volume profile is displayed in the foreground relative to the other elements of the chart.
    5. Visual-Style
      Enables choosing a visual style for the profile and adapting the visual representation to the user's preferences.
      - Automatic
        The system automatically selects the visual style that best suits the current condition of the graph.
      - Solid
        Displays the volume profile with a solid, continuous fill.
      - Vacuum
        Displays the volume profile using contours without fill. This style is lighter visually and allows you to maintain a clean graphical appearance, making other indicators on the chart more visible.
      - Line
        Displays the volume profile using only an outline. This style minimizes the amount of graphical elements, which is ideal for those who prefer a less loaded but still informative graph of traded volumes.
      - Combined
        Use a combination of styles (such as solid and line) to represent the volume profile in more detail. This style can be useful for displaying different information simultaneously, such as total volume and delta differences, facilitating a more complete analysis.
    1. Align-to-Right
      Aligns the volume profile to the right of the graph.
    2. Scrub
      Reverses the representation of the volume profile.
    3. Always-Visible
      If activated, the volume profile will always remain visible on the graph, regardless of how you move within it or zoom in.
    Volsys allows multiple Volume By Price indicators to be included in the same chart, allowing different profiles to be displayed based on user needs. Shown below is an image illustrating the use of multiple Volume By Price on the chart, positioned using offset settings
    POC (Point-of-Control)
    
    POC
    1. Enable
      Turns on or off the display of the Point of Control (POC) on the chart. The POC represents the price level with the highest volume.
    2. Highlight
      Highlights the POC visually, making it easier to identify than other price levels on the chart.
    3. Color-Evidence
      Allows you to select the color used to highlight the POC, improving the visibility of this key level.
    4. Show Line
      Defines whether and how to display a line for the POC on the chart, such as displaying the POC for the entire selected period or only on certain intervals.
      - None
        Does not display any line for the POC. This option is useful when you do not want to highlight the POC graphically on the chart.
      - Display
        Displays a solid line for the POC at the price level where the maximum volume was recorded. This option makes the POC easily identifiable, helping to display the most important level of market activity.
      - Dynamic
        Displays a dynamic line that updates with the movement of the POC over time. This option is useful for monitoring the change in the POC during the selected period, helping to understand the evolution of market conditions.
      - Extend Shifted
        Extends the POC line by plotting highlighted areas on the graph that indicate the shift zones of the poc as it evolves.
    5. Extend Line
      Sets the extension of the POC line, such as extending the line to the right boundary of the graph to make the POC position evident even at later times.
      - None
        Does not extend the POC line beyond the selected period.
      - Vergines
        Extends the POC line only until it is "touched" or exceeded by price. This means that the POC is shown as long as the maximum volume level remains untested, which helps identify price levels that have not yet been taken up by the market, often called "virgin" or "naked."
      - Always
        Extends the POC line continuously across the chart. This keeps the POC visible even after it has been exceeded.
    6. Line-Color
      Selects the color of the line representing the POC.
    7. Line-Thickness
      Adjusts the thickness of the POC line. A thicker border makes the line more obvious, making it easier to identify.
    8. Dynamic POC Time-Start
      Specifies the start time to calculate the dynamic POC, which is useful for analyzing the POC relative to a given time interval.
    9. Grouping Tick Shift POC
      Defines the number of ticks to group before the POC is shifted on the profile to a new position.
    10. Opacity Grouping POC
      Controls the opacity of the grouped POC. A higher value makes the area visible, while a lower value makes it more transparent.
    Alert Shift POC
    1. Enable Notification
      Turns on or off the notification for when the POC changes position. This alert is useful for dynamically monitoring POC changes.
    2. Sound Notification
      Select the type of sound to be played for the POC move alert.
    3. Popup
      Activates or deactivates the display of a popup window to notify of POC displacement, providing a visual reminder of the event.
    VALUE AREA
    1. Enable (Value Area)
      Toggles the display of the Value Area on or off. The Value Area represents the price range within which a certain percentage volume of total trades occurred.
    2. % Value Area
      Defines the percentage of total volume that is used to calculate the Value Area. For example, setting a value of 70% will show the price range within which 70% of the total volume occurred.
    3. Highlight
      Enable the option to visually highlight the Value Area on the candle. This allows the area of greatest volumetric activity to be highlighted.
    4. Color-Exterior
      Select the color used to highlight the area outside the Value Area. This helps to clearly differentiate the area inside from the area outside the selected value.
    5. Show-Line
      Delimits the extremes of the Value Area High and Low by drawing a line on the chart
    6. Dynamic
      Dynamic mode plots the shift of the Value Area Low and Value Area High on the chart, continuously adapting to changes in traded volume. This feature allows you to view real-time changes in the price levels that contain most of the market activity.
    7. Extend Line
      - None
        Does not extend Value Area lines beyond the selected period.
      - Vergin
        Extends Value Area lines only as long as it is not "touched" or exceeded by price. This means that Value Area lines are shown until they are taken up by the market. These levels are often called "virgin" or "naked" levels.
      - Always
        Extends the Value Area lines continuously across the chart. This allows them to remain visible even after it has been passed.
    8. Line-Color
      Allows you to select the color of the line that delimits the price range of the Value Area on the chart
    9. Line-Thickness
      Allows you to adjust the thickness of the line that delimits the Value Area on the chart according to user preference.
    PICKS AND VALLI
    
    Pikes and Valleys on the Volume Profile visually represent the price areas with the highest and lowest volume traded. Peaks indicate price levels where high trading volume was concentrated, often highlighting areas of strong market interest. Valleys, on the other hand, represent price areas where there has been low trading volume, signaling levels of lower interest or potential "void zones" that can facilitate rapid price movements. These key points help traders to identify potential areas of equilibrium or disequilibrium in the market, providing useful information for planning entry and exit strategies.
    General
    1. Peak Enable
      Turn on the peak identification feature.
    2. Valley Enable
      Activates the valley identification feature.
    3. Sensitivity
      Adjusts the sensitivity of peak and valley detection. A higher value makes the detection more accurate by identifying fewer peaks and valleys, while a lower value reduces the identification filter by showing more levels.
    4. Exclude Max/Min
      Automatically excludes from the calculation the extreme peaks or valleys placed on the Maximum and Minimum zones of the Volume Profile.
    Peak
    1. Highlight
      Allows you to visually highlight the Peaks on the Volume Profile
    2. Minimum Volume
      Defines the minimum volume value to identify a peak. Peaks with volumes less than this value will not be displayed.
    3. Color-Evidence
      Selects the color to highlight peaks, making them more visible on the graph. The color chosen allows easy distinction of high volume areas.
    4. Show Line
      Show a line for each calculated peak. This line provides an additional visual reference, highlighting the price level continuously on the chart.
    5. Extend Line
      Defines whether to extend the peak line along the chart.
      - None
        Does not extend the Peak lines beyond the selected period.
      - Vergin
        Extends the Peak lines only as long as it is not "touched" or exceeded by price. This means that the Peak lines are shown until they are taken up by the market. These levels are often called "virgin" or "naked" levels.
      - Always
        Extends the Peak lines continuously across the chart. This keeps them visible even after they have been passed
    6. Line Thickness
      Adjusts the thickness of the line representing the peak. Greater thickness makes the line more noticeable.
    7. Line Color
      It allows you to select the color of the peak line, helping to customize the graph and making it easier to distinguish between different elements.
    Valley
    1. Highlight
      Lets you visually highlight Valleys on the Volume Profile
    2. Minimum Volume
      Defines the minimum volume value to identify a Valley. Valleys with volumes less than this value will not be displayed.
    3. Color-Evidence
      Selects the color to highlight Valleys, making them more visible on the chart. The color you choose allows easy distinction of low-volume areas.
    4. Show Line
      Show a line for each calculated valley. This line provides an additional visual reference, highlighting the price level continuously on the chart.
    5. Extend Line
      Defines whether to extend the Valley line along the chart.
      - None
        Does not extend the Valley lines beyond the selected period.
      - Vergin
        Extends the Valley lines only as long as it is not "touched" or exceeded by price. This means that Valley lines are shown until they are taken up by the market. These levels are often called "virgin" or "naked" levels.
      - Always
        Extends the Valleys lines continuously across the chart. This keeps them visible even after they are crossed
    6. Line Thickness
      Adjusts the thickness of the line representing the Valley. Greater thickness makes the line more noticeable.
    8. Line Color
      Allows you to select the color of the Valley line, helping to customize the chart and making it easier to distinguish between different elements.
    VWAP
    
    The VWAP (Volume Weighted Average Price) is a trading indicator that represents the volume-weighted average price of trades made during a certain period of time. VWAP is calculated by summing the value of all trades (price per volume) and dividing the result by the total volume. This indicator is thought to be particularly used by institutional traders to determine the average price at which trades were executed, viewing volume as an important factor in measuring market behavior.
    
    The VWAP is often used as a benchmark to assess whether a buy or sell price is good relative to the market. If the price of a security is above the VWAP, it means it is above the weighted average price and could be considered expensive. If the price is below the VWAP, it could be considered cheap.
    
    The Standard Deviations of the VWAP are a way to measure price volatility relative to the volume-weighted average value. Standard deviations are bands that are drawn above and below the VWAP to identify the average distance of prices from the mean value. Each standard deviation indicates a "band" in the price range, providing traders with an idea of how far price is deviating from the VWAP by going to contextualize Premium and Discount zones.
    
    In particular:
    - First Standard Deviation (+1/-1): Shows the main level of volatility and represents the area where price tends to stay most of the time.
    - Second Standard Deviation (+2/-2): Indicates an area of higher volatility and signals potential significant changes in price.
    - Third Standard Deviation (+3/-3): Represents rarer events, signaling extreme price movements.
      The standard deviations of the VWAP are useful for identifying overbought and oversold areas and to help traders make entry or exit decisions based on price deviation from the VWAP.
    VWAP
    1. Enable
      Enable the display of VWAP (Volume Weighted Average Price) on the chart.
    2. Highlight
      Highlights the VWAP within the Volume Profile to make it more visible on the chart. This feature makes it easy to distinguish the VWAP from other indicators and price levels.
    3. Color-Evidence
      Allows you to select the color used to highlight the VWAP. Choosing an appropriate color improves readability and helps visually identify the VWAP quickly.
    4. Show Line
      Enables or disables the display of a continuous line representing the VWAP. When enabled, the line provides a graphical representation of the weighted average value of the price.
    5. Developing VWAP
      Enables the Developing VWAP, a dynamic version of the VWAP that updates in real time as new volumes are traded by plotting the developing line on the chart.
    6. Extend Line
      Enables extending the VWAP line along the entire chart.
      - None
        Does not extend valley lines beyond the selected period.
      - Vergines
        Extends the VWAP line only as long as it is not "touched" or exceeded by price. This means that the line is shown until it is taken up by the market. These levels are often referred to as "virgin" or "naked" levels.
      - Always
        Extends the VWAP line continuously across the entire chart. This allows it to remain visible even after it has been crossed
    7. Line Color
      Defines the color of the VWAP line, further customizing the display to improve readability on the chart.
    8. Line Thickness
      Adjusts the thickness of the VWAP line. A greater thickness makes the line more visible, making it easier to identify in the context of the chart.
    9. Line-Style
      Select the VWAP's line style, as hatching or solid. This option allows you to choose the visual style that best suits the context of the graph and the user's preferences.
    ENVELOPES
    1. Enable Bands
      Enable the display of the VWAP's bands (Envelopes), which represent the standard deviations around the VWAP.
    2. Set Bands
      Opens the settings menu to further configure the VWAP's bands, such as the number of standard deviations or other customization options.
    3. Bands Style
      Allows you to choose the style of the VWAP's bands
      - Solid
        Bands are displayed with a solid, continuous line, providing a clear and strong representation of deviation levels. This style is useful when you want to keep the visibility of the bands to a maximum.
      - Trending
        Bands are represented with a dashed line. This style allows a clear view of the bands without making the graph too loaded, leaving more visibility to other elements.
      - Point
        Bands are represented with a series of points, making the line less obtrusive. This style is useful when you want a visual indication of the presence of the bands, but want to maintain a light appearance.
      - Point Portrait
        Bands are drawn with an alternating pattern of strokes and dots. This style combines the visibility of the stroke with the lightness of the dot, offering a line that is clearly identifiable but less pronounced than a solid line.
      - Tratto Punto
        Bands are depicted with an alternating one stroke and two dots, offering a visually interesting line that is distinct from others.
```
The following image shows a custom configuration of the VWAP, with the addition of 6 additional Envelope bands to delineate a buffer/trigger area around the VWAP and +2/-2 standard deviations.
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    REVIEW
    
    The Summary of Volume Profile feature allows you to view a detailed summary of the volume data traded for each profile on the chart. The summary shows information such as total volume, delta, number of trades, number of ticks, and other statistics related to market activity. This summary is useful for quickly understanding the key characteristics of the current volume profile and previous profiles, facilitating analysis and comparison of different market sessions.
    1. Enable Summary
      Enable the display of summary data for each volume profile on the chart.
    2. Summary-Volume
      Show the summary of the total volume traded.
    3. Summary-Trade
      Turns on the display of the total number of trades (trades) made during the period of the volume profile.
    4. Text Color
      Allows you to select the color of the text used for the summary, improving readability and customization of the visual appearance on the chart.
    5. Ask Color
      Defines the color for the volume of orders in ask (sell).
    6. Color Bid
      Defines the color for the volume of orders in bid (buy).
    CUSTOM HOURS (BUSINESS HOURS-MARKET)
    
    The Custom Time Table feature of the Volume By Price allows you to configure specific time sessions for volume profile calculation. This is particularly useful for tailoring volume analysis to financial markets that operate in different time zones.
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For example, a trader trading in U.S. markets can set the start and end of the session according to U.S. time (such as Eastern Time or Central Time), ensuring that the Volume Profile accurately reflects the relevant market sessions.
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    1. Mode Filter
      It allows you to select the type of time filter to apply to the Volume Profile. The filter option allows you to define a specific interval for volume analysis, isolating the desired period or dividing into multiple periods, e.g. ETH and RTH.
      - None
        No filter is applied. All volume profile data is displayed without any changes, maintaining a complete and detailed representation of trading volume for the selected period.
      - Filter
        Allows you to apply a custom temporal filter to limit volume profile data to a specific period. This mode is useful for analyzing a specific time slot of interest, isolating relevant data.
      - Split
        Divides the volume profile into separate sections, for example by morning and afternoon trading session. This mode allows the volume data to be analyzed separately for each part of the day, providing a more detailed view of volume distribution.
      - Triple
        Applies a triple split to the volume profile data, useful for examining specific trading periods such as opening, mid-session, and closing. This mode provides a segmented view of the volume to analyze how trading interest changes throughout the day.
    2. Session Start
      Sets the start time of the trading session to be considered for profile calculation. This value is specified according to the U.S. time zone, allowing the start of the session to be aligned with the opening of the U.S. market.
    3. End Session
      Defines the end time of the trading session. Again, this value follows the U.S. time zone, ensuring that the volume profile calculation covers the entire relevant trading period.
    4. Use End Session as Start Day
      This setting, when enabled, uses the end time of the previous session as a reference for the start of the new trading day. It is useful for maintaining continuity in volume analysis and aligning consecutive sessions.