Volume profile

The shape, drawn

The smallest arrangement the definition admits. It is a drawing of a rule, not a reading of a market — nothing here is measured, and the table below it is the authoritative version.

FIG. 01ILLUSTRATIVE

1. Traded volume by price level over the window — a histogram lying on its side against the price axis.
2. The widest row: the level where the window traded most. A fact about the past of one feed’s tape.
3. The tape the profile summarises. The time axis is still there; the profile just refuses to use it.

Commonly confused with

Neighbouring concepts that get used interchangeably, and the distinction that actually separates them.

Market profile

Market profile builds its histogram from time spent at each price, organised into TPO brackets; volume profile builds it from volume traded at each price. On liquid sessions the two often rhyme, and they are different measurements that diverge exactly when the difference matters — heavy volume traded quickly.

The volume bar

A volume bar totals a time slice and says nothing about where inside the bar's range the business was done. The profile redistributes that same trading onto the price axis, which is the whole point: two identical volume bars can hide opposite profiles.

A footprint chart

The footprint keeps per-bar, per-price detail with the aggressor side split out; the profile aggregates a whole window into one shape and discards the sequencing. One is a microscope for single bars, the other a map of a session or a range.

Resting liquidity

A profile shows volume that traded; the book shows size that rests. High-volume nodes are records of past business, not evidence of present depth — conflating the two reads a history as a promise.

How to measure it in your own data

A definition you cannot test is a definition you have to take on trust. This is the shortest honest route from the concept to a number you computed yourself.

Records you need

Tick or per-trade data with prices, sizes and timestamps over the declared window — and, in FX, the identity of the feed, because there is no consolidated tape and every profile is a profile of somebody's book.

What you compute

Bucket traded volume by price at a declared increment; the modal price is the point of control, and the tightest band holding a declared share of the window's volume — seventy percent by convention — is the value area. Window, increment and share are all elections, and different elections draw different shapes from the same tape.

What the answer tells you

A profile with pronounced high-volume nodes marks prices where trade concentrated — acceptance, in the vocabulary — and thin low-volume gaps mark prices crossed without business. What any of that implies about future behaviour at those prices is a separate, testable claim.

Questions and answers

Related terms

Derived from the links this entry makes and the entries that link back to it.

• Anchored VWAPThe volume-weighted average price computed from a chosen starting event forward — the session VWAP's generalisation, where the anchor is an election and the line is only as meaningful as the anchor's case.
• Footprint chartA candle opened up: per price level within each bar, the volume that traded — usually split by aggressor side — so the bar shows not just where price went but who paid to move it.
• Liquidity heatmapA time-history of the order book rendered as colour — resting size at each price, frame by frame — so the ladder's usually-invisible past becomes a picture of where depth sat, moved and vanished.
• Liquidity VoidA moment in which resting orders are withdrawn faster than they are replaced, leaving stretches of the price axis with nothing to trade against, so that price traverses them in near-vertical jumps.
• Market profileA histogram of time spent at each price, built from half-hour TPO brackets into a distribution whose value area and point of control describe where the session found acceptance.
• The Two LensesA framework in quantitative trading where every metric is evaluated through both its theoretical statistical properties and its physical microstructure execution constraints.
• Tick Data ProvenanceThe documented history of a market dataset: where each tick was captured, when, through what aggregation, and every alteration — cleaning, backfill, merge, adjustment — applied to it since capture.