Module volume_profile 

Levels & Auction Theory: Volume Profile (POC, VAH, VAL)

Concept & Theoretical Foundation

Volume Profile is an Auction Market Theory study originally conceived by J. Peter Steidlmayer (1984, Chicago Board of Trade Market Profile) and later adapted into modern volume-at-price histograms.

While standard volume indicators plot volume over time (x-axis), Volume Profile plots traded volume across discrete price buckets (y-axis) over a rolling lookback window. This reveals:

• Point of Control (POC): The price level with the highest traded volume in the window, representing maximum market consensus / acceptance.
• Value Area (VA): The price range surrounding the POC that contains a specified percentage of total volume (conventionally 70%, reflecting one standard deviation in a normal distribution).
• Value Area High (VAH): The upper boundary of the Value Area.
• Value Area Low (VAL): The lower boundary of the Value Area.
• Profile High / Low: The highest and lowest prices traded across the window.

Formula References

• J. Peter Steidlmayer & Kevin Koy (1986). Markets & Market Logic.
• CBOT Market Profile Handbook (1984, CME Group).
• TradingView Visible Range Volume Profile (VPVR): https://www.tradingview.com/support/solutions/43000703076-visible-range-volume-profile/

Structs

BarData

A single OHLCV bar input for Volume Profile computation.

PriceBin

A discrete price bin within the volume profile histogram.

VolumeProfile

Auction Market Theory Volume Profile indicator.

VolumeProfileState

Output state emitted by VolumeProfile for each bar.

Enums

ValueAreaMethod

Calculation method used to expand the Value Area (VAH and VAL) from the Point of Control.

VolumeAllocationMethod

Strategy for allocating a bar’s volume across overlapping price bins.

Constants

VOLUME_PROFILE_METADATA