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How to calculate volume profile in excel (if your platform doesnt have it)
Started:February 12th, 2014 (10:39 PM) by budfox Views / Replies:1,497 / 4
Last Reply:February 13th, 2014 (03:09 AM) Attachments:1

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How to calculate volume profile in excel (if your platform doesnt have it)

Old February 12th, 2014, 10:39 PM   #1 (permalink)
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How to calculate volume profile in excel (if your platform doesnt have it)

Hello there,

So I have been reading mind over markets, I am interested in volume profile.

It seems like most people here have fancy platforms like ninja, MT4, thinkorswim etc which apparently has volume profile included in it.

My platform does not.

Can anyone please tell me how to I could calculate volume profile in excel? wondering if anyone on this forum actualy knows.

Thank You,


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Old February 12th, 2014, 10:39 PM   #2 (permalink)
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Old February 13th, 2014, 02:12 AM   #3 (permalink)
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Volume profile is simply volume at price. No more complicated than that.

If you were to do it manually you will need the ability to export data from your trading platform. This will need to be at the lowest timeframe available to you to ensure the best accuracy. If you aren't able to export tick data, go for 1 minute data. But obviously the higher you go away from tick data, the less accurate you're going to be.

Once you've got the data in excel, price in one column, volume in another,...sort by price and add all the volume at each price together. If you're not using tick data then just choose one data point per bar consistently, ie open/close/high/low. Or perhaps the mid of each bar. Or perhaps use a range of price levels per volume bar. Up to you,...either way it will not be completely accurate without tick data but should be fairly representative. So if at price 1234 you've got 4 entries for volume, add those 4 entries together. What you're left with is price along the left with no repeating values and the corresponding volume.

Obviously you'll need to actually put some effort in to get the above right.

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Last edited by DarkPoolTrading; February 13th, 2014 at 02:17 AM.
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Old February 13th, 2014, 03:05 AM   #4 (permalink)
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I've done it on excel, and I don't recommend it. Not one of my smarter endeavours.
Imagine the summary page with price in column A and dates in Row 1 - and that's only the daily volume profile. I actually made volume bars (200 or so per day) - each years worth of Volume Profile was 100MB - a few of those and it gets so big the machine can hardly handle it. It's frustrating to work with.

My code probably wasn't that efficient but the VBA took a long time and hung the machine multiple times. I endured this multiple times as I processed 6months at a time.

You'll probably also want to run this on more than one market.

You are MUCH better off signing up to Sierra Chart or something similar. Use the trial version and do what you want (you have 15 days free). It will take you less time to learn that, than you'll use trying to do it in excel.

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Old February 13th, 2014, 03:09 AM   #5 (permalink)
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I have done that years ago for longer term volume profiles. What DarkPoolTrading wrote pretty much sums it up. I found easier to already sum the volume within my platform (with a custom indicator) and only export the sunmation data to Excel.
Another way to deal with the problem of not having tick data is using 1 minute data and dividing the total volume of the bar by the range of the bar in ticks. Then give each price in the bar the same volume. A while back I have done a study on the difference of POC prices when comparing profiles build on tick or minute data. The bottom line was that it seems accurate enough to use 1 minute data and the proposed method of dividing the volume.

The image shows the difference of the POC in ticks between the two calculation methods. You can see the majority is at the same price or within one tick. Days with huge differences come from days with multiple distributions and one those days the validity of only one POC is arguable anyway.

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