Building a Session Market Profile Indicator with Value-Area Levels

Summary

This ProRealTime indicator is intended to visualize intraday trading activity by price level. Its script scans a configurable price range, counts how often bars touch each level, and highlights the most frequently visited prices. It also draws a center line and estimates value-area high and low boundaries using the session’s range and a volatility-style calculation. Opening and closing prices, session extremes, and selected time windows such as the Asian session and an opening-range period are marked with lines, rectangles, and labels.

The intended use is to help traders inspect areas of concentrated activity, possible support or resistance, and consolidation. The document describes features and includes a long, partly truncated code listing, but offers no chart examples, validation, or trading performance evidence. Some code fragments appear inconsistent or incomplete, and the later value-area estimate based on average highs and lows differs from the earlier range-based calculation. The indicator is therefore best understood as a customizable visualization aid, not a validated signal or standalone strategy.

Key ideas

• The indicator estimates activity at price levels by counting how often bars touch each level.
• It displays frequently visited prices, session extremes, opening and closing prices, and estimated value-area boundaries.
• Configurable time windows mark periods such as the Asian session and an opening-range interval.
• The proposed use is exploratory support for reading activity concentrations and possible support or resistance.
• The code is incomplete in places and gives no empirical validation or trading results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.