Criticaldata – CDA Indicators (Jule 2011)
Volume Profile
Volume Profile plots session-based volume-at-price horizontal histograms overlaying the price bars. The Volume Profile is based on FuturesTrader71’s refinements to Dalton’s Market Profile approach and is distinguished from the latter, by the increased accuracy of detailed volume-at-price tracking versus time-at-price as a means to assess the relative value of the price action based on market auction theory.
CDA VolumeProfile indicator has been tested to work with all Futures, Stock, Index, and Currency market instruments.
The indicator has a Volume-At-Price Mode parameter which can be used to select either UseCache (default), UseTickVolume, or UseMinuteVolume. A cache can be built using Tick and/or Minute volume data.
The indicator is feature-rich with several options to customize the appearance of a full array of profiling information, including:
Minute and/or Tick Volume-At-Price Based Profiles with Cache for optimization of historical data
Session Profile displayable with single color or Heat Map with full-spectrum or variable opacity.
Concurrent Session, Micro-Composite, and Composite Profiles with a single instance of the indicator
Multiple Micro-Composite Profiles displayable with Heat Map and Date Span
Composite Profile displayable in Outline and/or Filled, with Heat Map, and Starting Date
VPOC, mcVPOC, and cVPOC Lines
Initial Balance Lines with Range and Period and option to highlight bars of Initial Balance area.
Naked Initial Balance Lines and Alerts
Open Swing of Session
Session Open, High, Low, Mid-Point, Close Lines, and Range
Integrated session VWAP Line with Standard Deviation Bands
Naked VPOCs Lines and Alerts
Naked Gaps Lines and Alerts
Naked High and Low Lines and Alerts
Composite High & Low-Value Nodes (CHVN/CLVN) as Lines and/or Bands
Micro-Composite High & Low-Value Nodes (mCHVN/mCLVN) Lines
Total Volume and Imbalance Factor (% Vol above POC minus % Vol below)
Value Area (High and Low) Lines, Band, and Range for Session Profiles and option to highlight bars
Naked Session VAH & VAL Lines and Alerts
Value Area (High and Low) Lines for Micro-Composite and option to highlight bars
Export session-based stats: Begin, End, TotalVol, VPOCVol, VolAboveVPOC, VolBelowVPOC, Open, High, Low, Close, VPOC, VWAP, IBH, IBL, VAH, VAL
The integrated plot of Cumulative Delta Volume (Bid/Ask) is overlaid on the price panel.
Display of total Cumulative Delta Volume value
Display of Volume-At-Price values for Session, Micro-Composite, and full Composite profiles.
Block Trade ( tick volume spike) detector with audible alerts, chart notations, and email alert messages
Overnight High, Low, and VPOC lines
Custom Toolbar to facilitate changing frequently accessed parameters.
Range profiling is based on tick volume or minute volume data with an intra-session time span or a range spanning multiple sessions.
The indicator’s UseCache Volume-At-Price (VAP) Mode expedites the drawing of historical profiles. Volume-At-Price (VAP) Tick and Minute cache files are built using UseTickVolume and UseMinuteVolume VAP Modes, respectively, and need only be done once on contract rollover day or when returning from an absence. Cached data is automatically updated with the processing of the real-time data stream. See the FAQ page for more details.
Many other 3rd party Volume Profile indicators do not offer the use of tick-based volume data (for historical data) and take the approach of assuming minute-based volume data is good enough. We disagree and have implemented an easy-to-use approach to take advantage of caching and can readily help new users by providing a free-of-charge cache file to get you up and running right away, with cached TICK VAP data
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