Volume profile
Also called: volume by price · volume at price
A volume profile is a horizontal histogram of how much volume traded at each price over a chosen window. It answers where business was done, never where price is going. Its shape reveals the prices the market accepted and the prices it only passed through on the way somewhere else.
The axis flip
Ordinary volume is vertical: how much traded per unit of time. A volume profile rotates the question ninety degrees — how much traded at each price, regardless of when. Stack those bars and you get a silhouette of where the session did its business.
The longest bar is the point of control. The band around it holding roughly 70% of the volume is the value area. The bulges are high volume nodes; the pinches between them are low volume nodes.
Row size is a setting, and it changes your levels
The profile buckets prices into rows. Fine rows give detail and noise; wide rows are readable but merge distinct levels. A workable starting point is 30 to 60 rows per session profile — the session's typical range divided by roughly 40 to 50.
This is not a cosmetic setting. Two traders looking at the same session with different row sizes will read different levels, and neither of them is wrong.
It aggregates, it does not take sides
A volume profile sums total volume at each price. It says nothing about which side was aggressive — that is what a footprint chart is for. Colouring a profile by buyer and seller is a category error, and some platforms do it anyway.
A worked example
On a synthetic ES session profiled at four ticks per row, 39 rows cover a 38-point range. The point of control sits at 5 332.00 with 115 710 contracts on that single row, and the value area runs from 5 326.00 to 5 335.00 — nine points wide, or 450 $ per contract from one edge to the other.
Note what that width tells you: the value area covers less than a quarter of the day's range. Three quarters of the session was spent at prices the market did not settle on.
The trap
Believing a node you can see. Take a session profiled at one tick per row and re-profile it at two: on a real example, three low volume nodes at one tick become two at both wider settings. The one that vanished never existed — the row size manufactured it.
That same session also moves its own point of control by three ticks between the finest and the widest setting, on identical data. Before you trade a node, widen the rows by one step. If it does not survive, it is not a level.
Frequently asked
- Volume profile or market profile — which is better?
- Neither, and the question is usually asked by someone selling one of them. A market profile stacks time at price, a volume profile stacks contracts. Their disagreement is itself informative: a news spike trades enormous volume in two minutes, producing a volume point of control where almost no time was spent.
- What percentage should the value area be?
- 70% by default, because that is the convention inherited from the CBOT, rounded from one standard deviation of a normal distribution. It is adjustable from 50 to 80 on most platforms. What matters is that you fix it, write it down, and never compare two profiles built with different settings.
- Does volume profile work on crypto?
- The construction works anywhere there is a traded volume series. The complication is that crypto trades continuously and across fragmented venues, so there is no natural session boundary. You have to pick one convention — UTC midnight is a reasonable default — record it, and never mix it with another.