Volume Profiler

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Volume Profiler

The Divergence Software, Inc. Volume Profiler is a price/volume analysis study that will calculate and display the total volume traded at each price level for the current trading day and up to 20 historical trading days. It can be run in any Advanced Chart with an intraday bar interval from 1-min and up. The study will operate with stocks, futures, bonds, notes and currencies in conjunction with any eSignal Time Template.

The Volume Profiler looks at the actual volume traded at each specific price level for the entire day and displays this information in the form of a histogram (one histogram for each trading day). When run in realtime, the histogram for the current trading day will update automatically as new trades come in (subject to the update frequency that you have specified).

Example chart with current and historical price histograms plotted, histogram color coding and prior Value Area extension features turned on.

Application

Can be loaded into any eSignal Advanced Chart that is using an intraday bar interval from 1-min and up. This study will not work with tick charts and will not work with daily, weekly or monthly charts.

Features

All operations are fully menu-driven.

Will work with any instrument that has a tick value. Has built-in logic to auto-detect the Tick Value for the security you are charting.

Allows you to override the auto-detect feature and specify a custom Tick Value and decimal Precision value.

Historical price/volume histograms can be toggled on/off and the realtime price/volume histogram can also be toggled on/off. In addition to the realtime price/volume histogram, up to 20 days worth of historical histograms and Value Area calculations can be plotted on the same chart.

The realtime price/volume histogram has graphics to help you track the the open and closing price of the day and the volume above and below the price level with the highest volume for the day (Point of Control).

Lines for the Upper Value Area, Lower Value Area, Volume Weighted Average Price (VWAP), and Point of Control are plotted on the chart along with the price/volume histogram(s). All line styles and colors are fully user-definable.

Two different algorithms are provided for the Value Area calculations: the standard 70% algorithm and a true One-Standard Deviation calculation. Either one can be selected from the study menu.

The study can be configured to update at any frequency from 1 second to 5000 seconds. With this option you can control the amount of system resources utilized by the study.

Fully functional in eSignal Bar Replay mode.