Time Volume Profile

Time Volume Profile

Overview

TimeVolumeProfile brings institutional-grade market profile analysis to any instrument and timeframe — without depending on a broker's tick-volume feed. It identifies the price levels where the market has spent the most time over a configurable lookback window, exposing them as tradable reference points.

Traditional volume profile indicators are limited by the quality of the volume data provided by the broker, which varies widely across instruments and asset classes. TimeVolumeProfile bypasses this limitation entirely by measuring price-frequency: how many candles have passed through each price level. The result is a distribution that closely mirrors a true volume profile, applicable to Forex, indices, commodities and crypto alike.

The three key levels — POC, VAH and VAL — are drawn directly on the chart as a horizontal histogram and are simultaneously exposed as indicator buffers, so Expert Advisors can read them programmatically via iCustom() with no additional configuration.

How It Works

The algorithm follows the standard Market Profile methodology, adapted to work from OHLC data alone. Each step runs in O(N · B) time — linear in both the lookback window and the number of bins — ensuring no perceptible performance impact on any timeframe.

1. Range detection

   The highest high and lowest low across the entire lookback window are found. This range is divided into N equally-spaced price bins.

2. Frequency counting

   For each candle, every bin that falls between its low and its high receives a frequency increment of 1. A candle spanning multiple bins increments all of them.

3. POC identification

   The bin with the highest cumulative frequency is the Point of Control. Its centre price becomes the POC level drawn on the chart.

4. Value Area expansion

   Starting from the POC bin, the algorithm expands outward one bin at a time — always choosing the side with the higher next-bin frequency — until the cumulative count reaches the configured Value Area percentage (default 70 %).

5. Chart rendering & buffer export

   The histogram, POC line, VAH and VAL are drawn as chart objects anchored to the right edge of the lookback window. All three levels are simultaneously written into indicator buffers for EA consumption.

Features

Parameters

Expert Advisor Integration

The indicator exposes three DRAW_NONE buffers that carry the current POC, VAH and VAL values across every bar of the lookback window. Access them from an Expert Advisor as shown below.

All three values are constant across every bar of the lookback window, so any bar shift from 1 to Lookback - 1 returns the same result. Use shift 1 (the latest closed bar) as a convention to avoid repainting on the live candle.

Compatibility