Market Profile and Volume Profile

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Overview

This indicator displays both the  Market Profile / TPO Profile and Volume Profile for each session. It's packed with features and allows users to fully configure it to their liking. It supports displaying the profile as letters or blocks. Supports both unsplit and split profiles and shows all the important levels like the point of control, value area high/low, opening range, initial balance.

   

Features

  • Plots the Market (TPO) profile for each session (RTH, ETH, or both)
  • Plots the Volume profile (VP) for each session (RTH, ETH, or both)
  • Users can define the RTH session start/end time
  • Users can choose to show Regular Trading Hours session (RTH) or Extended Trading Hours session (ETH) or Both
  • Market/TPO profile can be displayed as Letters or Blocks (per profile)
  • Market/TPO profile can be displayed as split or unsplit (per profile)
  • Market/TPO profile can be displayed in multiple colors or single color (per profile)
  • Market/TPO profile highlights the first letter of every period (per profile)
  • Merge/Unmerge profiles
  • User can specify different settings for RTH/ETH sessions
  • Value Area high & low
  • Point of Control (POC)
  • Volume Point of Control (VPOC)
  • Initial Balance low & high
  • Initial Balance extensions
  • Opening Range low & high
  • Session Open & Close price
  • Session High & Low price
  • Shading of the value area
  • Highlighting POC
  • Show number of TPOs above/below the POC for the current day, or all days
  • Statistics with:
    • Date
    • Total TPO's
    • Session range
    • Opening range
    • Initial balance range
    • Value Area
    • Total volume traded
    • Buying Tails / Selling tails
    • Poor Lows / Poor His
    • Weak Lows / Weak His
  • User can choose if (and which) horizontal lines should extend lines until broken
  • User can choose if the price should be shown for the horizontal levels
  • User can choose if candles should be shown or hidden
  • Users can configure the number of ticks per letter
  • Users can configure the number of minutes per letter
  • Context menu to quickly switch between letters/blocks  per profile
  • Context menu to quickly show/hide volume profile
  • Context menu to quickly show/hide levels per profile
  • Context menu to quickly show/hide volume profile  per profile
  • All colors, font (sizes) can be defined/changed 
  • Exports plots of all the important levels
  • Bloodhound/Blackbird support
  • Can be plotted on any chart, timeframe, and instrument
  • Works with any version of NinjaTrader 8 !!
  • Does NOT require any level 2 data subscription (level 1 is required)


Market (TPO) Profile and Volume Profile

The indicator displays both the Market (TPO) profile and Volume Profile for each session together with all the important levels and area's like the opening range (OR), initial balance (IB), Point of Control (POC), and the Value Area (VAL-L and VAL-H)

The value area can be highlighted with a background color which can be changed.

The POC can be highlighted with a rounded rectangle color which can be changed.

Optionally you can show the number of TPOs above/below the POC for the current day, all days, or choose to now show it at all

You can show The volume profile for the current day, all days, or choose to now show it at all

The VPOC will be shown with a line (red line in the screenshot). The color that can be changed 

The first letter of every period can be boxed with a rectangle (white in the screenshot). Of course, you can choose your own color. 

 Market Profile

Letters Or Blocks 

The indicator can display both the normal (unsplit) and split profiles. Split profiles makes it much easier to recognize trends and pullbacks to important levels.

Split vs Unsplit Profiles

The indicator can display both the normal (unsplit) and split profiles. Split profiles make it much easier to recognize trends and pullbacks to important levels.

Merging and Unmerging Market Profile

When markets go sideways for several days we will see multiple profiles which are kind of overlapping.  In cases like this, it might be useful to look at the bigger picture by merging the individual profiles into 1 bigger profile. You can easily do this by selecting the merge profile from the context menu as shown below.

You can merge as many profiles together as you like

Merging and unmerging market profiles

Market Profile Statistics

Market Profile Statistics

The market profile indicator can display session statistics for each session.  It will show the session range, initial balance range, opening range, and total volume traded during the session. It will also notify you about any Poor Lows/His, Weak Lows/Highs, and Selling/Buying tails. Statistics can be shown for all days, current day only, or turned off

 

Strategies / Bloodhound & Blackbird support

The indicator exports plot for all the important levels which can be used when you want to develop your own strategies using for example Bloodhound/ Blackbird, The Strategy build or plain ninjascript

 

What is Market profile?

Market profile is used to represent price acceptance or price rejection over a specific period. This representation is done graphically, so a trader can immediately have a picture of what is happening in the market. It provides traders with an important way of understanding the market and is used for different analyses.

Market profile was developed by J. Peter Steidlmayer in 1984, as a means of graphically representing whether traders accept or reject different prices. His work was done in collaboration with the Chicago Board of Trade. Traders who are accustomed to the statistical Bell curve will recognize market profile as a hybridization of that.

Market profile uses both price and time to create a distribution. Steidlmayer also had a background in software development, which along with his extensive experience in trading, helped him to develop market profile as a form of technical analysis. Traders use market profile to identify opportunities in the market that they would not have readily recognized without the understanding that they gain through this chart.

While market profile presents a simple picture to each trader, it is rich in terms of the details that can be obtained from it. A number of elements are combined in a format that can be understood quickly, allowing you to make fast but accurate decisions about the direction that you want to take with a security.

Is market profile the same as volume profile?

Market profile and volume profile are not the same. They are two different tools but often used together. Market profile shows you how long price traded at each level. The volume profile tells you how much volume was traded at each price level..

Many traders like to use the volume information because they feel that volume moves markets and not necessarily price. That is, they are more interested in learning that 5,000 or 10,000 units of a particular stock were traded at a particular level because that shows a lot of people were willing to trade the stock at that point.

Both market profile and volume profile can be used to learn more about the market. As a trader, it's important to understand what's happening in the market as completely as possible. Making decisions based on a single tool is not always the wisest course, since no single indicator captures all the data.


Information Over A Specific Time

Market profile give you information on what is happening in the market during a specific interval. It is usually developed over a thirty-minute interval and that is regarded as the industry standard. Each half-hour range is denoted by a letter of the alphabet, making it easy to compare one with another during group analyses. Information on the array of prices during that half-hour can be determined from the y-axis.

The letters that correspond to each half-hour are known as TPO or Time Price Opportunity. Every time the price sweeps into a new zone, the letters are registered. In other words, a TPO is thought of as the essential or basic unit on any market profile chart and it represents a point in time when the market touches a particular price. When you look at a market profile chart, you will see a distribution of letters, forming a particular shape with a concentration of letters in one area.

Consecutive half-hour arrays are constantly added to the display. Every time a price reaches a particular level during a half-hour interval, the corresponding letter is printed on the chart. The repeated prices move one column to the right and prices that represent new highs or new lows stay on the left. What you get is a distribution that looks like a bell curve that is tilted on its side. The belly of the chart represents the prices that are frequently traded, giving you a goldmine in terms of predicting the prices that you are likely to see with that stock.

The thinner parts of the chart also give you information on possibilities., although those are rarer. When you look at the edges of the distribution, you can view the areas of lower frequency of trade. While the frequency of trade decreases at these price points, you can watch out for them in the future.

What can a market profile graph look like?

The market profile graph can take different forms but the standard shape is that of a normalized bell curve, with the belly in the middle. At the end of a trading session, the TPOs are accumulated on different price levels. For example, suppose we have a security that is known as PLTNM. We want to look at the market profile for PLTNM in order to learn what price it is being traded at and what kind of support or resistance exists. When we look at the market profile chart, we might observe that there are several TPOs. at a price of $2.75 but only one or two TPOs at a price of $.50.

In very efficient markets, you would be getting real, unbiased estimates of the actual value of the security. In these efficient markets, you would find that the shape of the distribution would change. The graph does not have the traditional normalized Bell shape and tends to look more like a skewed bell curve. It has a heavy concentration of the letters or TPOs that represent different time frames towards either of the vertical extremes.

When a market profile has a preponderance of letters towards either extreme, it is called a hybrid market profile. You might obtain a market profile that shows price rejection at one end. That is, it shows a preponderance of letters at the lowest end of the price axis. You could also get a chart with a preponderance of letters at the higher end.

With a glance at the market profile, you can tell the price that the security has been at the most during the trading session. If the price of PLTNM keeps on hitting $3.75 and that price is represented by a G, you'll see a lot of Gs on the chart. These Gs may sometimes all be in the range of the $3.75 point on the Y-axis and you can tell immediately that the market favored that price. The Control Point is the most traded price level on the market profile chart.

How To Use Market Profile

With market profile, you get details on volumes traded at specific prices, elapsed time and number of ticks. You can use market profile to identify the prices that the market has rejected or accepted over a specific time. You can use it to identify levels of support or resistance so that you can anticipate price movements that may come.

The market profile immediately tells you where the price that is traded most often actually is. You can tell that with just a glance at the market profile image. You can also learn what the volumes are at each price level. For example, if you are trading a security that's known as PLTNM, you'll know immediately that a particular price level saw high volumes of trade and therefore, much more interest. At another price level, hardly anyone was interested in buying PLTNM.

You can make decisions about what you will sell or buy PLTNM at based on the information that you get from a market profile. if you know that no one will be willing to buy PLTNM from you at a specific level, you can ensure that you sell the PLTNM you have before it reaches that level, with enough room for you to get a good price and find enough traders who are willing to buy from you.


Value Area On the Market Profile

While knowing the Control Point or the most traded price level is important, there are other prices that you may be interested in as a trader who is either looking to sell or buy a security. You may want to know what other prices in the range interested other traders. You can get this from the Value Area.

The Value Area is the price range at which 70% of the trading took place. This range of prices covers the majority of the trading volume. It can be helpful to look back at this information at the end of a trading day. The whole Value Area is about one standard deviation above and below the average highest volume price.

Intraday traders often want to trade the Value Area. You can get the Value Area from most market profile charts but sometimes you'll see a chart that does not overtly display it. Despite that, you can still use the chart to do a rough estimate of the Value Area in minutes, just by looking at where the majority of the trading is taking place.

There are several things to bear in mind when you look at the Value Area. You should keep in mind that this is where institutions may be playing a role in guiding the market. You should also consider that this is where the smart money is entering and leaving the market. Any intraday strategies that you use should capitalize on market behavior in this area.

80% Rule

There is an 80% rule that is associated with the Value Area and this rule s used by people who include market profile as part of their trading arsenal. The 80% Rule states that when the market opens above the value area, moves above the value area or moves below the Value Area, and then returns to the Value Area twice for two half-hour periods, you have an 80% chance that the Value Area will get filled.

If you observe that the market opens above the Value Area but it does not return to it, this is a bullish signal If the market opens above the Value Area but returns to the Value Area, this is a bearish signal. It s also considered a bearish signal if the market opens below the Value Area but does not return to it. if the market opens below the Value Area but returns to it, this is a bullish signal. This is one of the ways in which your market profile could be used to guide bullish or bearish actions.

This 80% Rule works because it is indicative of pressure from the financial institutions that are trading on the market. if the market opens below or above the Value Area and stays below or above, it tells you that the banks and other financial houses are buying. It is not wise to go in the opposite direction of that amount of money because you'll lose.


Keeping Market Profile In Perspective

it's always important to remember that some of the tradings that you may see with respect to any security may be done by people or institutions that have a plan and will not swerve from that plan no matter what. Some may have the money necessary to initiate trading at a particular level in order to try to force the market to go in a particular direction. You should always be aware of this when you are looking at a market profile graph for a stock.

While the Value Area on your market profile should be where the security is being traded for what is considered a fair price, it has limitations. The Value Area only covers price in the short term. You should never be tempted to use it alone to make predictions on what price will be like a few days, weeks or more down the road. Whenever price wanders out of the Value Area on your market profile, always consider that as a test, to determine whether price will break out and move into a new Value Area.

 

Changelog

27-nov-2021 v1.0.1.6

  • Fixed few small bugs.
  • Added support for Bloodhound/Blackbird and automated strategies

16-Aug-2021 v1.0.1.5

  • Fixed issue that line widths could not be changed.

29-03-2021 v1.0.1.4

  • Added option to merge/unmerge profiles

28-03-2021 v1.0.1.2

  • Added option to change highlighting of the first letter of each period to none, outline or letter color

23-03-2021 v1.0.1.1

  • added option to show both ETH & RTH profiles
  • added separate settings for both ETH & RTH profiles
  • Better support for resizing charts so profiles will always stay clearly visible
  • fixed various issues

    06-03-2021 v1.0.0.6

    • Added session open/close levels
    • Added session high/low levels
    • An added highlight of PoC
    • Added shading of the Value Area
    • Added Price for levels
    • Added Session Statistics

    03-03-2021 v1.0.0.2 - first release

     

    Terms

    All our indicators and packages come with

    • a one-time fee only
    • lifetime license for 1 pc (we offer 20% discount for 2nd licenses)
    • includes free future updates

    We also offer a 100% free 5-day trial of all our indicators allowing you to test our software before you decide to invest in it. Since you are able to test all our software before buying it all sales are final and non-refundable

    Media

    Market Profile

    letters with normal profile

     

    letters with split profile
    blocks with split profile
    blocks with normal profile

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