Volume profile is a key study when comes to understanding the auction trading process. Volume Profiles will show you exactly how much volume, as well as relative volume, occurred at each price as well as the exact number of contracts for the entire session. It is a visualization tool to understand the high activity zone and low activity zone.
Volume profile measures the confidence of the traders in the market. From short term trading perspective monitoring the developing volume profile in realtime make more sense to track current market participation behavior to take better trading decisions.
Here is the simple AFL Code we developed to understand the Intraday Volume Profile Distribution using Amibroker PriceVolDistribution and low-level graphics functions. Volume Point of Control is highlighted with red color block as it is the place where market finds its equilibrium and where most of the traders agree to trade at the fair value for the day.
External Chart Control is added to vary the TPO Size and Lot Size for each and every individual scripts. After applying the indicators one can control the values by right clicking over the charts and select parameters.
1)Code is compatible with Amibroker 6.0 and above and will not work in lower versions as lower Amibroker versions doesn’t support matrix operations.
2)If you are applying the indicator to cash markets then set the Lot Size as 1. In case of future scrips relevant lot size. Final output of the volume profile on the left side is shown in term of no of contracts traded at each and every price level for that given day.
Intraday Volume Profile Distribution – Amibroker AFL Code