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 ?
Can you help answer these questions from other members on futures io?
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.
