Volume Profile Indicator for Tradestation

Introduction

Market Profile, originally devised by J. Peter Steidlmayer, a trader at the Chicago Board of Trade, is a popular way of

looking at the market in terms of its price distribution over a series of 30 min. time segments. Steidlmayer actually

wrote a 342 page book on the subject.

Market Profile doesn’t include Volume, however. New research suggests that Profiling Volume using a vertical histogram

is the logical extension, and perhaps replacement, for Market Profile. NTT’s Volume Profile indicator is an extremely

powerful tool to help traders analyze how Volume is distributed by price and time.

Technical Info

Previous attempts at developing Volume Profile tools for TradeStation were limited by several factors. First, they lacked

the ability to review profiles on historical data. This makes it impossible to use Volume Profile for back testing purposes.

NTT has developed an algorithm that creates an approximation of volume-at-price using historical data and real time

data. This approximation of the Volume distribution is generally sufficient for day trading purposes. Whether you’re

back testing or trading in real time, our algorithm will provide you with the same results.

Our algorithm works on any time-based chart, with a 1-minute chart giving the closest approximation to ‘reality.’

Control Functionality

The Volume Profile indicator now has functionality that will help you control the Control Panel.

There are now elements that help with this.

1. Using the SHIFT key on your keyboard. Hold down the SHIFT key on your keyboard and left click anywhere on

the chart of the control panel you would like to control. This action toggles the Control Panel in and out

2. SHIFT-Right click on any trend line added by Volume Profile and you’ll be presented with settings menu

associated with that instance of Volume Profile.

3. For Modes 3 & 5 that place vertical lines on the screen in order to select an area you can now select the location

of those verticals via cursor location.

a. To change the location of the vertical to a bar location simply click on the chart price candles, you’ll see

them highlighted, then use SHIFT-Right Click at the location where you’d the vertical placed and you’ll

be presented with a context menu where you’ll select the vertical to be moved.

Save / Import Settings

Volume Profile now has the ability for you to save the settings of the profile you are working on. While each instance of

the Volume Profile indicator remembers what your settings were from the last time the chart was loaded, if there ever

was a glitch with the chart that caused the settings to be lost they were unrecoverable. Now you can save the settings

using a unique filename of your choice. If you’d like those settings to be applied to a profile on a new chart you simply

import the settings file you created.

There’s also a new setting that allows the settings to be saved on exit, so anytime your workspace is shut down, the

settings will be safely stored to your computer using the unique filename you created. As long as the setting

‘SaveSettingsonExit’ is set true and you’ve saved your settings to a unique name at least once any changes in settings

will automatically be saved.

All files use the vpx extension.

Tab Names

When an instance of the Volume Profile indicator is first inserted onto a chart it will be given a default Tab Name based

on the initial mode selected.

If there are multiple instances of the indicator inserted with the same mode selected the Tab names can be changed so

that you can uniquely identify each instance. You will find this option at the top of the settings area. Be sure to click the

Recalculate Volume Profile button to save the changes.

Indicator Modes

Our Volume Profile indicator has 6 modes that you can select to provide different perspectives.

Mode1 – Rolling Day Lookback

This mode allows you to specify the number of days that you’d like to create a profile for. A 1 day lookback period is

going to show you the price action for today if you’re using a .D chart or the current session if you’re using a 24 hour

chart. A 2 day lookback period the last two days, etc. A choice is offered where to start the profile, Yesterdays close,

midnight or Today’s open.

As each new day starts, the profile starts to redraw based on the new data for that period.

Mode 2 – Fixed Date Lookback

This mode allows you to consistently have the profile drawn from a date in time that you choose. Some individuals use

this mode because they like to see how the Volume Profile is developing over the current month. Clearly, on the first

day of the month profiles created in this mode will look like a 1 day rolling lookback, however, as the month progresses

the profile will continue to build.

Mode 3 – User Selected Period

Imagine being able to go back in time and seeing what a profile would have looked like. An absolute necessity for

backtesting. In this mode you can.

When this mode is selected, two vertical lines are placed on the screen for the user to drag to the location they choose

to highlight, on the second click on the moved vertical line, the profile will be drawn for the period highlighted.

The user may also use the control panel to the right that can be used to select specific date and time parameters.

If a user decides they want to draw profiles on swing action that happens throughout their trading day, they can simply

place as many versions of the Volume Profile indicator they choose onto their chart, customize as required to show the

volume profile areas they’re interested in.

Mode 4 – Rolling number of bars Lookback

Some users like to see the volume profile for the last x number of bars back. For instance, if you had the indicator on a 1

minute chart, you could set the lookback to 30 and you’d create a rolling 30 minute Volume profile. The possibilities are

endless.

Want to see both a 30 minute and a 60 minute rolling lookback, insert a second Volume Profile indicator, set the

lookback on one to 30, the other to 60, customize so you can tell the difference and then watch them interact with each

other.

In keeping with the way original Market Profile theory was discussed, you can also choose to leave the prior period

profile on the screen for the profile length you choose.

Mode 5 – Rolling VP from fixed point

Some users like to see what the volume profile would look like projected from a fixed point in the past to the current

bar. This option allows you to set that fixed point. Volume Profile will automatically update from that fixed point as each

bar completes.

When this mode is selected, a single vertical line is presented on the screen, which the user can drag to the location they

choose to select the Volume Profile starting point.

Mode 6 –Prior Day Regular Session

Use this option to show a profile from yesterday’s session or perhaps the day before. Insert multiple instances to get a

picture of what has happened during the last trading week perhaps. As each new day rolls over the profile automatically

moves to the next day.

Indicator Inputs

TraditionalInputs

Set this input to true to maintain control over the indicator via the Inputs Tab. If you’d like to use the more convenient

custom menu, set this input to False.

SaveSettingsonExit

Set this input True if you’d like your settings to be automatically saved for the profile. (you must have saved your

settings at least once prior for this functionality to work)

LookBackMode

Use this option to select your lookback mode

1 = Rolling Day

2 = Fixed Date

3 = User Selected

4 = Rolling bars back

5 = Rolling Fixed

6 = Prior Day Regular Session

LookBack

For Mode

1, selects the number of days the profile is to be created

2, 3, 5 and 6 - Not required

4, selects the number of bars to lookback

FixedDateLookback

Not required for Modes 1, 3, 4, 5 and 6

For Mode 2, Enter a date in the form mm/dd/yyyy to select the date from which the profile is to be created. Profile is

created from midnight of the selected date

Show Desc

Set this to False if you do not wish to show the description of the profile that is shown by default along the top of every

profile

Mode 1 Profile Start

Use this field to choose where the profile will be created from for Lookback Mode 1

1. End of Yesterdays Session

2. Midnight

3. Start of Days session

AreaMarkerColor

For Lookback Mode 3 only. Enter a color, or RGB color combination to identify the profile

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

ExtendRight

Used only in Mode 3.

Set this option to True if you wish the Point of Control(POC) and, Upper and Low Value areas (UVA, LVA) to be extended

to the right of the right hand vertical marker.

AutoBarLookback

Used in mode 3, set this to true so that you can have a fixed period that the verticals will stay apart as you drag the right

hand vertical. Useful if you want to quickly go and study 30 minute intervals, for instance.

LeaveProfileAfterPeriod

Used in lookback Mode 4. If you’d like to see what a 30 minute rolling profile looks like, setting this field to true allows

the prior period profile to be left on the screen.

EndofSessionOffset

This setting is for Mode 6. Set to 0 will show the end of the day session, set to 15 will show the profile ending 15

minutes earlier.

PeriodStart

Used in Lookback Mode 4, set a time, usually market open, when the period will start. This will also be the time when

the indicator resyncs.

FillScreenPercent

Use this input to set up how much of the screen or profile area that you would like the volume profile histogram to take

up. By default this percentage is set to 35.

For Lookback Mode 1 and 2, if the profile start time is past the left hand edge of your screen, the profile will be plotted

on the left hand edge and take up the percent of the screen you specified.

For Lookback Mode 3, the profile will take up the percentage specified between the two vertical markers

For Lookback Mode 4, the profile will take up the percentage between the number of bars looking back and the right

hand edge of the price action.

ProfileAlwaysVisible

Used in Modes 3, 5 and 6.

Sometimes the Zone Start maker is off the screen left, set this option to True to leave the marker in its place but display

the profile on the current screen. This is helpful when you’d like to reference a profile from a previous day but would

like to see the actual profile displayed while current price action is happening.

VAsCalcMode

Use this option to determine the mode in which the Value Areas are to be calculated

1 = Around the POC

2 = Around the Price Midpoint

Delta Price

Delta price is used to set the distance between when a new high or low volume node will be plotted. Depending on the

profile, the user may have to modify this setting to achieve the desired number of high and low volume node markings

Node Strength

Node Strength determines how strong the node has to be before it will be signaled as either a high or low volume node.

User preference can be determined on this setting.

Plot2SDLine

The UVA and LVA lines that are plotted are what’s considered 1 Standard Deviation. If you’d like to see the 2nd

standard

deviation lines plotted, set this input to True.

Plot3SDLines

The UVA and LVA lines that are plotted are what’s considered 1 Standard Deviation. If you’d like to see the 3rd

standard

deviation lines plotted, set this input to True.

PlotNodeText

If you’d like to see the values and markings of each node, set this input to True to show that information on the screen

NodeTextLocation

Use this option to set the location of the plotted node text

Option:-

1 = Histogram Edge

2 = Screen or profile right hand edge

NodeTextShift

Sometimes it’s hard to get the text in the users preferred location, use this input to enter either a negative or positive

number. This number will correspond to the number of bars that the text will be shifted.

TextVerticalAlign

Use this option to select the vertical alignment of the plotted text around its corresponding profile line

0=Beneath, 1=Above, 2=Centered

TextHorizontalAlign

Use this option to select the horizontal alignment of the plotted text to its corresponding profile line

0=RightofBar, 1=LeftOfBar, 2=Centered

HistogramLineWidth

Use this option to set the width of the histogram lines

0 is the thinnest, 6 is the fattest

HistogramLineStyle

Use this option to set the style of the histogram line

0=Solid, 1=Dashed, 2=Dotted, 3=Dashed2, 4=Dashed3

HistogramOpacity

Use this option to set the transparency of the histogram lines.

0 = Transparent, 255 = Fully Opaque

ShowHighVolumeNodes

Use this option set True or False to choose to display the high volume nodes

HighVolumeNodeColor

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

HighVolumeNodeWidth

Use this option to set the width of the High Volume Node lines

0 is the thinnest, 6 is the fattest

HighVolumeNodeStyle

Use this option to set the style of the High Volume Node lines

0=Solid, 1=Dashed, 2=Dotted, 3=Dashed2, 4=Dashed3

ShowLowVolumeNodes

Use this option set True or False to choose to display the Low volume nodes

LowVolumeNodeColor

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

LowVolumeNodeWidth

Use this option to set the width of the Low Volume Node lines

0 is the thinnest, 6 is the fattest

LowVolumeNodeStyle

Use this option to set the style of the Low Volume Node lines

0=Solid, 1=Dashed, 2=Dotted, 3=Dashed2, 4=Dashed3

POCNodeColor

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

POCNodeWidth

Use this option to set the width of POC Node Line

0 is the thinnest, 6 is the fattest

POCNodeStyle

Use this option to set the style of the POC Node Line

0=Solid, 1=Dashed, 2=Dotted, 3=Dashed2, 4=Dashed3

UVANodeColor

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

UVANodeWidth

Use this option to set the width of UVANode Line

0 is the thinnest, 6 is the fattest

UVANodeStyle

Use this option to set the style of the UVA Node Line

0=Solid, 1=Dashed, 2=Dotted, 3=Dashed2, 4=Dashed3

LVANodeColor

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

LVANodeWidth

Use this option to set the width of LVA Node Line

0 is the thinnest, 6 is the fattest

LVANodeStyle

Use this option to set the style of the LVA Node Line

0=Solid, 1=Dashed, 2=Dotted, 3=Dashed2, 4=Dashed3

AboveValueAreaColor

Set the color of the area above the UVA on the histogram with this option

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

ValueAreaColor

Set the color of the value area on the histogram with this option

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

BelowValueAreaColor

Set the color of the area below the LVA on the histogram with this option

Standard Colors:

EasyLanguage

color reserved

word

EasyLanguage

RGB Value

EasyLanguage

legacy color

value

Black 0 1

Blue 16711680 2

Cyan 16776960 3

Green 65280 4

Magenta 16711935 5

Red 255 6

Yellow 65535 7

White 16777215 8

DarkBlue 8388608 9

DarkCyan 8421376 10

DarkGreen 32768 11

DarkMagenta 8388736 12

DarkRed 128 13

DarkBrown 32896 14

DarkGray 8421504 15

LightGray 12632256 16

If entering a RGB color, use the following syntax

RGBColor(R,G,B)

R = Red value

G = Green value

B = Blue value

UseTLA

TLA = TrendLinesAnywhere

Set this option to True to be able to transfer the Volume profile generated by this indicator to another chart

TLSender

If this instance of Volume Profile is to be the sender, set this option to True

TLNameSet

Use this option to set a unique name for this profile when using TLA

When setting up a sender and a receiver chart, this name must match on both. It makes sure that there is always a pair.

As a reminder, TLA can be used as a one (sender) to many (receivers)

ShowPlots

Use this option to show the histogram plot.

This option may be useful to the user if they’re setting up a 1 minute chart that has multiple senders set up and the

histograms don’t matter on the sender chart.

Disclaimer

Commodity Futures Trading Commission Futures and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don’t trade with money you can’t afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures, stocks or options on the same. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL, OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED WITHIN THIS SITE, SUPPORT AND TEXTS. OUR COURSE(S), PRODUCTS AND SERVICES SHOULD BE USED AS LEARNING AIDS ONLY AND SHOULD NOT BE USED TO INVEST REAL MONEY. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS SHOULD BE YOUR OWN.

This Tool is provided by “New Trend Trader, LLC” (NTT). Please be advised that NTT is not a Registered broker, financial advisor, nor is registered in any way with any government regulator agency. NTT makes this information, its products and services available through this website under the First Amendment of the Unites States Constitution. NTT has made great effort to list all information to be very accurate. All data included in this website is considered HYPOTHETICAL.

Futures, Forex, Options and any trading or investing contains risk. Especially trading in leveraged vehicles such as futures, forex or related markets. NTT products and services may not be suitable for everyone. Trading should only be done with true risk capital. Past performance is not indicative of future performance.