OPEN-SOURCE SCRIPT
Session Auction & Volume Profiles [AxeAlgo]
Session Auction & Volume Profiles [AxeAlgo] is a multi-session volume profiling and Auction Market Theory (AMT) analytical tool built for intraday and swing traders across all liquid markets, including Crypto, Forex, Indices, and Commodities.
The script segments the trading day into major global auction blocks (Asia, London, and New York) and computes the true distribution of traded volume at each price level. By identifying where the market established equilibrium (acceptance) versus where it rejected prices (excess), the indicator provides objective structural benchmarks based on foundational market profile concepts pioneered by J. Peter Steidlmayer and James Dalton.
UNDERLYING METHODOLOGY & AUCTION THEORY
Financial markets are continuous double-auction mechanisms whose primary objective is to facilitate trade. Price is an advertising mechanism that moves to find volume, and volume represents the validation of price.
1. Value Area (70% Rule):
The Value Area identifies the price range where approximately 70% of the session's volume traded (one standard deviation of normal volume distribution). Prices accepted inside this band represent fair value where two-way trade facilitation occurs smoothly.
2. Point of Control (POC):
The Point of Control marks the single price bin with the highest accumulated traded volume during the session. It acts as the market's primary equilibrium node and frequently serves as a gravitational benchmark or support/resistance level in subsequent auctions.
3. Developing Point of Control (dPOC):
A live tracking path showing where the peak volume is actively migrating during the active trading session. A developing POC shifting higher indicates progressive buying acceptance, while a developing POC migrating lower indicates aggressive selling acceptance.
4. Session Initial Balance (IB):
Defined as the high, low, and 50% midpoint established during the first 60 minutes of a session. In Auction Market Theory, the Initial Balance sets the baseline range of the session. Breakouts beyond this range reflect initiative market activity (Trend Days), while containment inside reflects responsive, rotational activity (Range Days).
5. Virgin Naked POC (vPOC) Magnet Tracking:
A Virgin POC is a Point of Control that has never been retested by future price action. Because institutional traders treat untested volume peaks as unfinished liquidity references, these levels serve as strong forward reference magnets until price mitigates them.
6. Prior Session Corridor:
Projects the previous session's Value Area High (pVAH), Value Area Low (pVAL), and Point of Control (pPOC) forward into the active trading day. This gives traders an immediate benchmark for evaluating value migration (higher value, lower value, or overlapping value).
KEY FEATURES
1. Independent Multi-Session Architecture
Supports dedicated schedules and custom color schemes for Asia (Tokyo), London, and New York. Each session is calculated independently using retrospective candle arrays, ensuring mathematical precision even across session changeovers and time zone differences.
2. Full-Span Volume Profile Histogram
Renders a horizontal price-volume distribution directly on the completed session. Uses two-tone volume delta shading (gold for net buying volume, red for net selling volume), a highlighted solid gold Point of Control bar, and soft visible tail bins outside the Value Area so the full volume bell curve is visible without missing bars.
3. Shaded Value Area Canvas
Draws a subtle, non-intrusive shaded zone across the 70% Value Area corridor with dashed boundary lines marking Value Area High and Value Area Low. Historical session text is disabled by default to keep chart candles clean and unobstructed.
4. Non-Colliding Dynamic Labels
All right-axis price benchmarks (dPOC, Initial Balance, and Prior Session Corridor) are staggered at distinct forward offsets, encased in clean dark canvas tags to eliminate text overlapping and label clutter.
5. Quantitative Session Status Mini-HUD
An uncluttered heads-up display anchored to the top-right corner of the chart, reporting:
- Active Session State (Asia, London, New York, or Inter-Session)
- 70% Value Area Range (Current corridor boundaries)
- Initial Balance Status (Active 60-minute countdown, Range Coiling, or Breakout Direction)
- Key Reference Level (Active POC or dPOC benchmark)
- Untested Virgin POC Count (Number of active forward magnets)
6. Built-in Alert Conditions
Includes standard alerts for Session Openings, Session Completion and Profile Fixation, and Initial Balance Bullish/Bearish range breakouts.
HOW TO USE THIS INDICATOR
- Rotational Trading (Inside Value):
When price opens or rotates inside the prior session's Value Area, the market is balanced. Traders typically look for responsive setups, fading session extremes back toward the Point of Control.
- Initiative Breakout Trading (Outside Value):
When price breaks out and accepts above the prior Value Area High or below the Value Area Low with sustained volume, it indicates directional conviction. Traders look for trend continuation retests of the broken Value Area boundary.
- Initial Balance Expansion:
If price expands beyond the first 60-minute Initial Balance high or low, it signals initiative participation. The 50% Initial Balance midpoint (Half-Back) frequently serves as dynamic support or resistance during trend pullbacks.
- Virgin POC Magnet Targets:
Untested forward rays represent historical liquidity pools. When price approaches an unmitigated vPOC line, monitor for sharp reactions or liquidity sweeps. Once touched, the ray automatically erases to keep your chart uncluttered.
INPUT CONFIGURATION GUIDE
- Session Configuration: Toggle individual sessions on or off and set custom time windows (defaulted to UTC).
- Value Area Volume %: Set the statistical Value Area width (default 70%).
- Volume Profile Price Bins: Adjust the granularity of horizontal profile rows (16 to 64 bins, default 32).
- Volume Profile Scope: Display the most recent completed profile or show profiles across all active sessions.
- Outside Value Area Bars: Choose between Soft Two-Tone Delta, Muted Institutional Slate, or Full Saturation for profile bins outside the 70% Value Area.
- Initial Balance (IB 60m): Enable or disable the first-hour bracket and select between Compact Tags, Full Descriptive Text, or Lines Only.
- Virgin Naked POC Tracking: Toggle forward rays, configure the maximum active rays, and set auto-mitigation cleanup.
- HUD Position and Sizing: Select between Top Right, Top Left, Bottom Right, or Bottom Left, and adjust text sizing.
DISCLAIMER & TRANSPARENCY
This indicator is an analytical tool designed for market structure evaluation and volume profiling. It does not provide financial advice, trading signals, or guarantees of profit. All calculations are strictly non-repainting and execute on confirmed candle closes. Past volume distribution is no guarantee of future market direction. Always manage risk responsibly and combine volume analysis with your broader trading framework.
The script segments the trading day into major global auction blocks (Asia, London, and New York) and computes the true distribution of traded volume at each price level. By identifying where the market established equilibrium (acceptance) versus where it rejected prices (excess), the indicator provides objective structural benchmarks based on foundational market profile concepts pioneered by J. Peter Steidlmayer and James Dalton.
UNDERLYING METHODOLOGY & AUCTION THEORY
Financial markets are continuous double-auction mechanisms whose primary objective is to facilitate trade. Price is an advertising mechanism that moves to find volume, and volume represents the validation of price.
1. Value Area (70% Rule):
The Value Area identifies the price range where approximately 70% of the session's volume traded (one standard deviation of normal volume distribution). Prices accepted inside this band represent fair value where two-way trade facilitation occurs smoothly.
2. Point of Control (POC):
The Point of Control marks the single price bin with the highest accumulated traded volume during the session. It acts as the market's primary equilibrium node and frequently serves as a gravitational benchmark or support/resistance level in subsequent auctions.
3. Developing Point of Control (dPOC):
A live tracking path showing where the peak volume is actively migrating during the active trading session. A developing POC shifting higher indicates progressive buying acceptance, while a developing POC migrating lower indicates aggressive selling acceptance.
4. Session Initial Balance (IB):
Defined as the high, low, and 50% midpoint established during the first 60 minutes of a session. In Auction Market Theory, the Initial Balance sets the baseline range of the session. Breakouts beyond this range reflect initiative market activity (Trend Days), while containment inside reflects responsive, rotational activity (Range Days).
5. Virgin Naked POC (vPOC) Magnet Tracking:
A Virgin POC is a Point of Control that has never been retested by future price action. Because institutional traders treat untested volume peaks as unfinished liquidity references, these levels serve as strong forward reference magnets until price mitigates them.
6. Prior Session Corridor:
Projects the previous session's Value Area High (pVAH), Value Area Low (pVAL), and Point of Control (pPOC) forward into the active trading day. This gives traders an immediate benchmark for evaluating value migration (higher value, lower value, or overlapping value).
KEY FEATURES
1. Independent Multi-Session Architecture
Supports dedicated schedules and custom color schemes for Asia (Tokyo), London, and New York. Each session is calculated independently using retrospective candle arrays, ensuring mathematical precision even across session changeovers and time zone differences.
2. Full-Span Volume Profile Histogram
Renders a horizontal price-volume distribution directly on the completed session. Uses two-tone volume delta shading (gold for net buying volume, red for net selling volume), a highlighted solid gold Point of Control bar, and soft visible tail bins outside the Value Area so the full volume bell curve is visible without missing bars.
3. Shaded Value Area Canvas
Draws a subtle, non-intrusive shaded zone across the 70% Value Area corridor with dashed boundary lines marking Value Area High and Value Area Low. Historical session text is disabled by default to keep chart candles clean and unobstructed.
4. Non-Colliding Dynamic Labels
All right-axis price benchmarks (dPOC, Initial Balance, and Prior Session Corridor) are staggered at distinct forward offsets, encased in clean dark canvas tags to eliminate text overlapping and label clutter.
5. Quantitative Session Status Mini-HUD
An uncluttered heads-up display anchored to the top-right corner of the chart, reporting:
- Active Session State (Asia, London, New York, or Inter-Session)
- 70% Value Area Range (Current corridor boundaries)
- Initial Balance Status (Active 60-minute countdown, Range Coiling, or Breakout Direction)
- Key Reference Level (Active POC or dPOC benchmark)
- Untested Virgin POC Count (Number of active forward magnets)
6. Built-in Alert Conditions
Includes standard alerts for Session Openings, Session Completion and Profile Fixation, and Initial Balance Bullish/Bearish range breakouts.
HOW TO USE THIS INDICATOR
- Rotational Trading (Inside Value):
When price opens or rotates inside the prior session's Value Area, the market is balanced. Traders typically look for responsive setups, fading session extremes back toward the Point of Control.
- Initiative Breakout Trading (Outside Value):
When price breaks out and accepts above the prior Value Area High or below the Value Area Low with sustained volume, it indicates directional conviction. Traders look for trend continuation retests of the broken Value Area boundary.
- Initial Balance Expansion:
If price expands beyond the first 60-minute Initial Balance high or low, it signals initiative participation. The 50% Initial Balance midpoint (Half-Back) frequently serves as dynamic support or resistance during trend pullbacks.
- Virgin POC Magnet Targets:
Untested forward rays represent historical liquidity pools. When price approaches an unmitigated vPOC line, monitor for sharp reactions or liquidity sweeps. Once touched, the ray automatically erases to keep your chart uncluttered.
INPUT CONFIGURATION GUIDE
- Session Configuration: Toggle individual sessions on or off and set custom time windows (defaulted to UTC).
- Value Area Volume %: Set the statistical Value Area width (default 70%).
- Volume Profile Price Bins: Adjust the granularity of horizontal profile rows (16 to 64 bins, default 32).
- Volume Profile Scope: Display the most recent completed profile or show profiles across all active sessions.
- Outside Value Area Bars: Choose between Soft Two-Tone Delta, Muted Institutional Slate, or Full Saturation for profile bins outside the 70% Value Area.
- Initial Balance (IB 60m): Enable or disable the first-hour bracket and select between Compact Tags, Full Descriptive Text, or Lines Only.
- Virgin Naked POC Tracking: Toggle forward rays, configure the maximum active rays, and set auto-mitigation cleanup.
- HUD Position and Sizing: Select between Top Right, Top Left, Bottom Right, or Bottom Left, and adjust text sizing.
DISCLAIMER & TRANSPARENCY
This indicator is an analytical tool designed for market structure evaluation and volume profiling. It does not provide financial advice, trading signals, or guarantees of profit. All calculations are strictly non-repainting and execute on confirmed candle closes. Past volume distribution is no guarantee of future market direction. Always manage risk responsibly and combine volume analysis with your broader trading framework.
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
◆ AxeAlgo | axealgo.com
6 years building Pine Script indicators & strategies
6 years building Pine Script indicators & strategies
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
◆ AxeAlgo | axealgo.com
6 years building Pine Script indicators & strategies
6 years building Pine Script indicators & strategies
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。