Configurable Volume Profile with Bar-Based Data Arrays

Summary

This volume profile variant adds a configurable start time and two ways to define the profile's bar range: a fixed number of bars or a fixed bar width. The fixed-width option is intended to keep bar sizes constant from day to day and can be adjusted in pips. It also stores volume and average bar-position values in arrays, making them available for later calculations such as finding extrema, computing statistics, or interpolating an average curve between profile points.

The document contrasts its candle-based volume assignment with ProRealTime's tick-mode profile. The latter is described as more accurate because it can use individual tick and price-level detail, whereas this version assigns each candle's volume to one price point. It suggests using an average or median price for that assignment, but provides no comparative measurements or trading results. Profile quality therefore depends on the available data granularity and the chosen price representation; the described arrays enable further analysis but do not establish a trading signal on their own.

Key ideas

• The profile can begin at a chosen time and use either a fixed bar count or fixed bar width.
• A fixed width can keep profile bars consistent across days.
• Volume and average bar position are stored for further calculations and interpolation.
• The candle-based method assigns each candle's volume to a single price point.
• Tick-level profile data is described as more detailed, but no accuracy comparison is quantified.

Tags

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