Per-Candle Volume and Delta Profiles from Lower-Timeframe Data

Summary

This indicator builds a small volume or delta profile inside each chart candle using lower-timeframe observations. It divides the candle’s price range into configurable rows and allocates each lower-timeframe observation’s volume across the rows spanning that observation’s high and low. In volume mode, the resulting profile shows where activity concentrated; in delta mode, signed volume is estimated from price direction, or from bid and ask comparisons for tick data.

The profile marks the point of control, the row with the greatest volume, and can shade a value area containing roughly 70% of accumulated profile volume. Optional labels show volume or delta by level, while colors distinguish profile direction and the point of control. The tool offers minute, second, and tick granularity choices, subject to the availability of lower-timeframe data. Delta is an estimate based on price movement rather than a direct measure of buyer and seller intent, and the displayed distributions depend on the chosen granularity and row allocation. The description offers interpretation ideas but no performance evidence or tested trading rules.

Key ideas

• Lower-timeframe highs, lows, and volume are used to distribute activity across price rows within each candle.
• Volume mode visualizes activity concentration, while delta mode signs volume according to inferred price direction.
• The point of control identifies the row with the greatest allocated volume.
• The optional value area expands from the point of control to cover about 70% of profile volume.
• Delta is an estimate and profile readings depend on data granularity and the row allocation method.

Tags

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