OPEN-SOURCE SCRIPT
Three-Session Volume Profile
Overview
Three-Session Volume Profile divides intraday trading into three independently configurable sessions: Asia, London, and New York. Instead of combining the entire trading day into one profile, the indicator resets its calculations at the beginning of each session and displays a separate Volume Profile, Point of Control, Value Area, VWAP, and optional deviation bands for each period.
This structure is intended for traders who analyze how price and volume distribution change as market participation moves between global trading sessions. Each session is treated as its own auction, making it possible to compare where volume was accepted during one session with how price behaves during the next.
The default schedules use the America/New_York time zone:
Asia: 18:00–03:00
London: 03:00–09:30
New York: 09:30–16:00
All schedules and the time zone are configurable. The America/New_York setting automatically accounts for daylight-saving changes.
Why the components are combined
The Volume Profile, session VWAP, and deviation bands are not calculated as unrelated indicators. They all use the same independently resetting session windows.
The Volume Profile describes how the session’s volume was distributed across price. VWAP provides the session’s volume-weighted mean price, while the deviation bands describe dispersion around that mean. Together, they provide two complementary views of the same session:
Volume Profile identifies price areas with relatively high or low participation.
POC identifies the profile row containing the most allocated volume.
VAH and VAL define the boundaries of the selected value area.
VWAP represents the session’s volume-weighted average price.
Deviation bands provide context for how far price is trading from the session’s weighted mean.
The purpose of this combination is to provide a consistent session-based framework rather than merge unrelated studies.
Volume Profile calculation
For each active session, the indicator tracks the session high, low, and volume. The complete session range is divided into a configurable number of equally sized price rows.
Because standard chart data does not provide the exact price of every transaction, each chart bar’s volume is allocated across the profile rows intersected by that bar’s high-low range. The allocation is proportional to the amount of the bar’s range overlapping each row. A bar with no measurable range has its volume assigned to the row containing its representative price.
The profile is recalculated when the session’s price range expands. This keeps the rows distributed across the complete developing session range.
The Rows setting controls profile resolution and supports values from 12 to 200. More rows provide finer price segmentation but also increase calculation requirements. The profile is based on chart bars rather than tick-by-tick or lower-timeframe transaction data, so changing the chart timeframe can change the resulting distribution.
POC and Value Area calculation
The Point of Control, or POC, is the midpoint of the profile row containing the greatest allocated volume.
The Value Area begins at the POC row. The calculation then compares the next available row above and below the current Value Area and adds the side containing more volume. This process continues until the selected percentage of total session volume has been included.
The resulting levels are:
VAH: Upper boundary of the Value Area
VAL: Lower boundary of the Value Area
POC: Midpoint of the highest-volume profile row
The default Value Area contains 70% of session volume, but this percentage can be adjusted.
Developing and completed levels
While a session is active, the developing VAH, VAL, and POC can be displayed. These levels update as new price and volume information enters the session.
When the session ends, the final profile and levels are stored as completed session values. The number of completed profiles retained for each session can be controlled from the settings.
Developing values are expected to move. A new session high or low changes the profile range and can cause all rows to be redistributed. Completed levels remain fixed unless the chart data, timeframe, symbol, session schedule, or indicator settings are changed.
Session VWAP and deviation bands
The optional VWAP calculation resets independently at the beginning of each session. It uses HLC3 as the representative bar price and weights it by volume.
The session VWAP is calculated as:
Volume-weighted price sum ÷ Session volume sum
The standard deviation calculation is also volume-weighted. The selected multiplier is applied above and below VWAP to produce the upper and lower bands.
These bands are descriptive measurements of session dispersion. They are not automatic overbought or oversold signals.
Profile placement
Each profile can be positioned on either side of its own session:
Left: Anchors the profile to the session opening edge and extends it to the right.
Right: Anchors the profile to the session closing or current edge and extends it to the left.
This setting refers to the boundaries of each session, not the far-left or far-right edge of the visible chart.
The Maximum width setting controls the profile’s horizontal display width in chart bars. It changes only the visual width and does not affect the underlying volume calculations.
How to use the indicator
1. Configure the time zone
Select the time zone used to interpret all three schedules. America/New_York is suitable when session times should follow Eastern Time and adjust automatically for daylight saving.
Use a fixed UTC offset only when daylight-saving adjustment is not desired.
2. Configure the sessions
Set the opening and closing time for Asia, London, and New York. Overnight schedules, such as 18:00–03:00, are supported.
The sessions may overlap if desired. When they overlap, each session continues to calculate independently.
3. Select profile resolution
Increase the number of rows for more detailed price segmentation. Lower values produce broader profile levels and require fewer calculations.
Profile precision also depends on the chart timeframe. Lower chart timeframes generally provide more granular source bars, while higher timeframes provide a broader approximation.
4. Select the Value Area percentage
The standard default is 70%. Increasing the percentage produces a wider Value Area, while reducing it produces a narrower area around the POC.
5. Choose completed or developing levels
Developing levels can be used to observe how the current session’s distribution changes. Completed levels provide fixed references from prior sessions.
Traders may examine whether price:
Accepts or rejects a previous session’s Value Area
Rotates around a prior POC
Moves from one session’s value region toward another
Holds above or below a prior VAH or VAL
Trades near or away from the active session VWAP
These are contextual observations rather than predefined entry or exit signals.
6. Enable VWAP and deviation bands if needed
VWAP can provide a session-weighted reference price alongside the distribution-based profile. Deviation bands can be enabled to visualize dispersion around that reference.
Interpretation
A wide section of the profile represents a row receiving relatively more allocated volume. A narrow section represents relatively less allocated volume.
POC and Value Area levels identify areas of historical participation, but they do not guarantee future support or resistance. Their interpretation depends on market structure, volatility, liquidity, instrument type, and the trader’s broader methodology.
On centralized futures markets, the script uses the exchange-reported volume available on the chart. On markets where only tick volume is available, the profile reflects that data instead of centralized transaction volume.
Recalculation and limitations
The indicator does not request future data or use lookahead calculations. Completed sessions are based only on bars belonging to those sessions.
Developing profiles and levels update during the active bar as its high, low, and volume change. This is normal real-time recalculation and should not be interpreted as a fixed signal.
The profile is an approximation created from chart-bar ranges and volume. It is not a tick-level bid/ask profile, footprint chart, or reconstruction of individual transactions. Results can differ from volume-profile tools that use lower-timeframe or transaction-level data.
This indicator is an analytical tool and does not provide trade entries, exits, profit projections, or guarantees of future performance.
Three-Session Volume Profile divides intraday trading into three independently configurable sessions: Asia, London, and New York. Instead of combining the entire trading day into one profile, the indicator resets its calculations at the beginning of each session and displays a separate Volume Profile, Point of Control, Value Area, VWAP, and optional deviation bands for each period.
This structure is intended for traders who analyze how price and volume distribution change as market participation moves between global trading sessions. Each session is treated as its own auction, making it possible to compare where volume was accepted during one session with how price behaves during the next.
The default schedules use the America/New_York time zone:
Asia: 18:00–03:00
London: 03:00–09:30
New York: 09:30–16:00
All schedules and the time zone are configurable. The America/New_York setting automatically accounts for daylight-saving changes.
Why the components are combined
The Volume Profile, session VWAP, and deviation bands are not calculated as unrelated indicators. They all use the same independently resetting session windows.
The Volume Profile describes how the session’s volume was distributed across price. VWAP provides the session’s volume-weighted mean price, while the deviation bands describe dispersion around that mean. Together, they provide two complementary views of the same session:
Volume Profile identifies price areas with relatively high or low participation.
POC identifies the profile row containing the most allocated volume.
VAH and VAL define the boundaries of the selected value area.
VWAP represents the session’s volume-weighted average price.
Deviation bands provide context for how far price is trading from the session’s weighted mean.
The purpose of this combination is to provide a consistent session-based framework rather than merge unrelated studies.
Volume Profile calculation
For each active session, the indicator tracks the session high, low, and volume. The complete session range is divided into a configurable number of equally sized price rows.
Because standard chart data does not provide the exact price of every transaction, each chart bar’s volume is allocated across the profile rows intersected by that bar’s high-low range. The allocation is proportional to the amount of the bar’s range overlapping each row. A bar with no measurable range has its volume assigned to the row containing its representative price.
The profile is recalculated when the session’s price range expands. This keeps the rows distributed across the complete developing session range.
The Rows setting controls profile resolution and supports values from 12 to 200. More rows provide finer price segmentation but also increase calculation requirements. The profile is based on chart bars rather than tick-by-tick or lower-timeframe transaction data, so changing the chart timeframe can change the resulting distribution.
POC and Value Area calculation
The Point of Control, or POC, is the midpoint of the profile row containing the greatest allocated volume.
The Value Area begins at the POC row. The calculation then compares the next available row above and below the current Value Area and adds the side containing more volume. This process continues until the selected percentage of total session volume has been included.
The resulting levels are:
VAH: Upper boundary of the Value Area
VAL: Lower boundary of the Value Area
POC: Midpoint of the highest-volume profile row
The default Value Area contains 70% of session volume, but this percentage can be adjusted.
Developing and completed levels
While a session is active, the developing VAH, VAL, and POC can be displayed. These levels update as new price and volume information enters the session.
When the session ends, the final profile and levels are stored as completed session values. The number of completed profiles retained for each session can be controlled from the settings.
Developing values are expected to move. A new session high or low changes the profile range and can cause all rows to be redistributed. Completed levels remain fixed unless the chart data, timeframe, symbol, session schedule, or indicator settings are changed.
Session VWAP and deviation bands
The optional VWAP calculation resets independently at the beginning of each session. It uses HLC3 as the representative bar price and weights it by volume.
The session VWAP is calculated as:
Volume-weighted price sum ÷ Session volume sum
The standard deviation calculation is also volume-weighted. The selected multiplier is applied above and below VWAP to produce the upper and lower bands.
These bands are descriptive measurements of session dispersion. They are not automatic overbought or oversold signals.
Profile placement
Each profile can be positioned on either side of its own session:
Left: Anchors the profile to the session opening edge and extends it to the right.
Right: Anchors the profile to the session closing or current edge and extends it to the left.
This setting refers to the boundaries of each session, not the far-left or far-right edge of the visible chart.
The Maximum width setting controls the profile’s horizontal display width in chart bars. It changes only the visual width and does not affect the underlying volume calculations.
How to use the indicator
1. Configure the time zone
Select the time zone used to interpret all three schedules. America/New_York is suitable when session times should follow Eastern Time and adjust automatically for daylight saving.
Use a fixed UTC offset only when daylight-saving adjustment is not desired.
2. Configure the sessions
Set the opening and closing time for Asia, London, and New York. Overnight schedules, such as 18:00–03:00, are supported.
The sessions may overlap if desired. When they overlap, each session continues to calculate independently.
3. Select profile resolution
Increase the number of rows for more detailed price segmentation. Lower values produce broader profile levels and require fewer calculations.
Profile precision also depends on the chart timeframe. Lower chart timeframes generally provide more granular source bars, while higher timeframes provide a broader approximation.
4. Select the Value Area percentage
The standard default is 70%. Increasing the percentage produces a wider Value Area, while reducing it produces a narrower area around the POC.
5. Choose completed or developing levels
Developing levels can be used to observe how the current session’s distribution changes. Completed levels provide fixed references from prior sessions.
Traders may examine whether price:
Accepts or rejects a previous session’s Value Area
Rotates around a prior POC
Moves from one session’s value region toward another
Holds above or below a prior VAH or VAL
Trades near or away from the active session VWAP
These are contextual observations rather than predefined entry or exit signals.
6. Enable VWAP and deviation bands if needed
VWAP can provide a session-weighted reference price alongside the distribution-based profile. Deviation bands can be enabled to visualize dispersion around that reference.
Interpretation
A wide section of the profile represents a row receiving relatively more allocated volume. A narrow section represents relatively less allocated volume.
POC and Value Area levels identify areas of historical participation, but they do not guarantee future support or resistance. Their interpretation depends on market structure, volatility, liquidity, instrument type, and the trader’s broader methodology.
On centralized futures markets, the script uses the exchange-reported volume available on the chart. On markets where only tick volume is available, the profile reflects that data instead of centralized transaction volume.
Recalculation and limitations
The indicator does not request future data or use lookahead calculations. Completed sessions are based only on bars belonging to those sessions.
Developing profiles and levels update during the active bar as its high, low, and volume change. This is normal real-time recalculation and should not be interpreted as a fixed signal.
The profile is an approximation created from chart-bar ranges and volume. It is not a tick-level bid/ask profile, footprint chart, or reconstruction of individual transactions. Results can differ from volume-profile tools that use lower-timeframe or transaction-level data.
This indicator is an analytical tool and does not provide trade entries, exits, profit projections, or guarantees of future performance.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.