OPEN-SOURCE SCRIPT
Session Volume Profile by AUMBaumgartner
# Session Volume Profile – VPOC | TPOC | VAH | VAL
This indicator calculates the volume profile of a complete trading session and displays the key statistical price levels directly on the chart — based on the Market Profile principles developed by J. Peter Steidlmayer.
The volume of each session is distributed evenly across the High-Low range of each bar and accumulated into price buckets. This produces the following levels:
**VPOC – Volume Point of Control**
The price with the highest traded volume of the session. This is the fairest price, as the most trading activity occurred here.
**TPOC – Time Point of Control**
The price touched by the most bars during the session. The time-based variant of the POC.
**VAH – Value Area High**
The upper boundary of the Value Area. Above this level, price is statistically overvalued.
**VAL – Value Area Low**
The lower boundary of the Value Area. Below this level, price is statistically undervalued.
**Value Area (VA)**
The price range in which 70% of session volume was traded. Within the Value Area, price is fairly valued. The Value Area is calculated according to Steidlmayer's original method: starting from the VPOC, the next two price levels above and below are compared. The side with the higher volume is added to the Value Area. In case of a tie, the upper side is preferred. This process repeats until 70% of total volume is captured.
The horizontal histogram displays the volume distribution across all price levels of the session. The VPOC bar is highlighted and the Value Area is shown in a distinct colour.
**How to use**
Buy when price is below VAL, sell when price is above VAH — as long as the market is in balance. If price remains outside the Value Area for 30 minutes or more, a new price level is likely developing.
**Settings**
Session start and end (HHMM), Value Area percentage, Tick Multiplier for bucket granularity, volume distribution over Range or Close, histogram left or right of the session, and all colours individually customisable.
Optimised for EUREX futures (DAX, Euro Stoxx), but works on all markets and timeframes.
Based on the Market Profile theory of J. Peter Steidlmayer.
This indicator calculates the volume profile of a complete trading session and displays the key statistical price levels directly on the chart — based on the Market Profile principles developed by J. Peter Steidlmayer.
The volume of each session is distributed evenly across the High-Low range of each bar and accumulated into price buckets. This produces the following levels:
**VPOC – Volume Point of Control**
The price with the highest traded volume of the session. This is the fairest price, as the most trading activity occurred here.
**TPOC – Time Point of Control**
The price touched by the most bars during the session. The time-based variant of the POC.
**VAH – Value Area High**
The upper boundary of the Value Area. Above this level, price is statistically overvalued.
**VAL – Value Area Low**
The lower boundary of the Value Area. Below this level, price is statistically undervalued.
**Value Area (VA)**
The price range in which 70% of session volume was traded. Within the Value Area, price is fairly valued. The Value Area is calculated according to Steidlmayer's original method: starting from the VPOC, the next two price levels above and below are compared. The side with the higher volume is added to the Value Area. In case of a tie, the upper side is preferred. This process repeats until 70% of total volume is captured.
The horizontal histogram displays the volume distribution across all price levels of the session. The VPOC bar is highlighted and the Value Area is shown in a distinct colour.
**How to use**
Buy when price is below VAL, sell when price is above VAH — as long as the market is in balance. If price remains outside the Value Area for 30 minutes or more, a new price level is likely developing.
**Settings**
Session start and end (HHMM), Value Area percentage, Tick Multiplier for bucket granularity, volume distribution over Range or Close, histogram left or right of the session, and all colours individually customisable.
Optimised for EUREX futures (DAX, Euro Stoxx), but works on all markets and timeframes.
Based on the Market Profile theory of J. Peter Steidlmayer.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.