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Trade Volume Profile


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Trade Volume Profile

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  #1 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
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I am trying to profile the volume in ES or NQ. In other words I want to create a chart that shows the % of total volume for certain intervals....like 1-5, 6-10, 11-20, 21-30, etc.
Is the only way to do this is to create a chart with a 1 tick interval and then create an indicator which sends the volume to a .CSV file ?
Then use Excel (or Tableau) to plot the percentages by interval.

So if there are 1 million contracts traded for a given day, how is that volume distributed by interval ?
Typical questions to be answered include:
What percentage of the trading volume was comprised of trades above 50 contracts ?

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 forgiven 
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what charting platform are you using and are your volume profile tools a third party add on .

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  #3 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
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Multicharts.
Their volume profile does not allow for exporting to Excel.
Also, I don't want volume by price, but volume per hour.

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gary88888888
Changsha, China
 
 
Posts: 3 since Sep 2018
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Have you read this book? "Practical Trading Applications of Market - Tom Alexander"
I don't think there's a big difference between volume profile and price/time profile. And I also don't think there is a big difference between these two profiles with what you said.
The definition "value area" maybe is what you need.
Of course you can code volume per hour using easylanguage(no need CSV files and Excel), but it is complex.
I prefer just counting the trading volume of the last N bars and choosing the most important price level . That is more practical.

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