Volume and TPO Value Area Indicator and Function

Latest Update:
Version 1.04 – 2019-07-04

This indicator tracks the volume at each price and the Time Price Opportunity (TPO) count for the chart it is applied to. Based on this tracking it displays the price where the highest volume was traded and the price with the highest number of TPOs. These two values are called volume point of control (VPOC) and point of control (POC). The study also displays a value area around the VPOC and POC. The value area usually encompasses 70 % (roughly one standard deviation) of the daily volume (in case of the Volume Value Area) or the total TPO numbers for the day. This concept goes back to J. Peter Steidlmayer, who as a CBOT trader developed an intraday charting-technique called Market Profile[1].

Fast Calculation Using Minute Data

Multicharts comes with the ability to compute and display the value area build in, so why use a separate tool? First of all the TPO count is not build into Multicharts as of now, so this indicator offers additional features. Another difference is that this indicator computes the volume at price derived from the bar interval you apply it to. My suggestion would be to use a 1 minute bar interval for the computations. This allows for a longer history with most data providers compared to tick data, which is what the build-in volume tool uses. Wouldn’t volume profiles calculated from tick data offer more accurate results? This is correct, but our studies have shown that the difference when using one minute data usually is negligible. This means the significant values are usual exactly the same or fall within one tick of each other. For further information please check this research project comparing minute and tick data accuracy when it comes to the price of the volume point of control (VPOC).

Use the Value Areas in your own indicator or system

One of the most unique features is that the tool comes with a function that allows you to access the realtime and historical values. You can use the values in your own studies and even use them within systems for automated trading. You will also receive a comprehensive manual that explains the inputs for both indicator and function, in case you want to customize the studies to your needs.

As a bonus a demo indicator is included that exactly shows you how to call the function, so you can easily use it in your own code. This way you can create your own signals and indicators that use the support and resistance values computed by the value area tool.

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[1]. Market Profile® is a CME Group owned market data product. If you are interested in reading more information about it, the CBOT Market Profile six part study book is a good start. It’s available for free download via the CME website. If you are serious about it, I would suggest buying a copy of the great book Mind Over Markets by James F. Dalton, Eric T. Jones and Robert B. Dalton.