Building Session Volume Profiles with Tick Data, POC, and Value Area

Summary

This article describes an MQL5 indicator that builds a session-based volume profile from tick data. It collects ticks within configured session boundaries, maps prices into discrete bins, accumulates each tick's weight, identifies the Point of Control (POC), and expands from the POC to find the Value Area High and Low. The Value Area algorithm greedily adds the more active adjacent bin until the selected share of total session activity is covered. The profile and its reference levels are drawn with native chart objects.

A key caveat is that many retail forex and CFD feeds provide no exchange volume. The article therefore treats ticks with a valid bid or ask as unit-weight observations, producing a tick-density profile rather than true traded volume at price. It outlines the indicator's modular architecture and computational steps, but provides no evidence that the resulting levels predict future price behavior. Session times, bin size, broker data quality, and the tick-volume proxy all affect interpretation.

Key ideas

• The indicator collects ticks within a user-defined session and aggregates them into price bins.
• The POC is the bin with the greatest accumulated weight, and the Value Area expands outward from it until the target share of activity is covered.
• On many OTC forex and CFD feeds, tick counts serve as a proxy because exchange volume fields may be empty.
• The resulting profile represents tick density rather than actual traded quantity when unit weights are assigned.
• Broker data, session boundaries, and bin size influence the profile, and the article does not establish predictive performance.

Tags

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