As of 11/3/16 thinkorswim's volume profile remains inaccurate. To see evidence of this - plot a profile and expand the price axis until the volume numbers appear. Then its revealed that they are plotting the same value for each price within a bar.

workarounds:

The 1 day aggregations are accurate enough for folks that trade areas rather than a specific tick. It seems that accuracy improves as the period is increased. I suppose this is due to an averaging effect because each error is confined to a bar's range and the errors become smaller relative to the increasing price range introduced as the period is increased. A 1m chart is more accurate than a 30m chart for the same period. Obviously, the "custom row height" setting is a ruse.

Customized aggregation periods are extremely limited. Specifying begin/end dates is not available. The 2 methods are: 1) use a single profile and set the period to chart, then adjust the chart period. Sometimes the period, or price range of interest can be gleaned. 2) set the period to day and bump up the multiplier. This function is broken and has been for years. To test it, step through the multiplier values and take a quick look at the result after each one. Method 1 is like a short-handled shovel and 2 should be avoided.

WilleeMac 

I've brought this up before in another thread at thinkscripter (and here) and it's something that needs attention Pull up a volume profile on a fast moving product (/6E) when news is out or an event etc Set chart to today M1 Set study to ticksize, time per profile day, multiplier 1, on expansion no Zoom in enough so that the chart will show you the volume numbers within each node You will notice that several nodes above and below price are adding volume simultaneously Because ToS receives their data in blocks (not true tick data) it causes the nodes to do this I've brought this up to ToS at least twice w/ no definitive answer -Bill P.S. I just did this on /ES M15 20 day and several nodes above and below price are adding volume - today here now

Thanks for this post. Do you know if TOS ever changed it from data blocks to true tick data ?

Thanks

I'm trying to expose yesterday's vpoc as a label. I attached the indicator that I am using on a 3 minute chart. I inserted line 12, 14, and 27 to try and accomplish but have not had any luck. Hope someone can help. Thanks in advance.

thinkorswim Sharing

If you want to use ToS monkey stuffs for market structure's information like where is the main value areas, support & resistance are then it's usable but you still need to rewrite the codes to split the date, time etc. Too much works w/ minimum rewards. It's better to use different platforms.

I know this is an old thread, but I've been trying to find code that will identify high and low volume nodes in the TOS volume profile, much like Sierra's volume profile does. Has anyone taken a swing at doing this? It seems as of the TOS volume profile study is wholly inadequate for any serious work.

Thanks!

n7ekg 

...trying to find code that will identify high and low volume nodes in the TOS volume profile....It seems as if the TOS volume profile study is wholly inadequate for any serious work.

I don't use code, but since its nearly useless as a charting tool, I doubt that there's anything to extract with code.

I also use NT8 and they have a number of better volume profile tools. One of which is the Order Flow Volume Profile drawing. They use the same workaround that thinkorswim uses (previously discussed in this thread), so its not completely accurate, but its a lot more functional and very usable for chart work. The caveat is that the NT8 basic drawing tools are lacking a lot of basic functionality.