Volume By Price Study

Volume by Price

Introduction

The Volume by Price study overlays a Volume Profile graph for each period onto a bar chart. The cumulative volume at each price increment over a specified period of time are displayed as horizontal bars in the background of a bar chart. Refer to the image at the top of this page for an example.

The Volume by Price study is included with Sierra Chart package 3. Sierra Chart package 5 also includes the Draw Volume Profile drawing tool (explained below).

Step By Step Instructions

  1. Select Chart >> Chart Settings. Make sure the Tick Size is set correctly. The Tick Size is the minimum increment that a symbol trades in. If the Tick Size is too small, then it will take a long time to load chart data from the symbol data file and will increase CPU usage. If the Tick Size is too large, then this study will not be very accurate with its volume profiles.

    If the Tick Size is not a multiple of the actual Tick Size, then this may also reduce the accuracy of the Volume Profiles by causing volume to not always be mapped to the correct price levels.
  2. In the case of Historical Charts (Daily, Weekly, Monthly charts), you may need to set the Volume at Price (VAP) Multiplier to a value higher than 1 to improve performance and reduce memory. This is true if the Tick Size is relatively small compared to the chart values. For stocks, you may want to set the VAP Multiplier to somewhere between 5 to 10.

    For cash indexes in the hundreds or thousands, you may need to set the VAP Multiplier to 10 or 100. If it takes a long time to load chart data for Historical charts, the interface of Sierra Chart freezes occasionally, or the memory use is high, then increase the VAP Multiplier.

    In almost all cases the VAP Multiplier for Intraday charts needs to be set to 1.
  3. Press OK.
  4. You need to have data records in the Intraday chart data file for the symbol that are 1 Tick or 1 Second when using the Volume by Price study for good accuracy. To change the related settings, refer to Tick by Tick Data Configuration.

    When the data records in an Intraday chart data file are not 1 Tick, and are of a larger timeframe per record, the volume for a price level within the price range of a data record is the average volume per price based upon the price range of the data record and the total volume of that data record. The average volume per price is calculated by dividing the total volume by the number of prices in the price range. The number of prices is based upon the chart Tick Size.
  5. Select Analysis >> Studies on the menu.
  6. In the list of available studies select Volume By Price. Press the Add button. The Volume By Price study can be added multiple times to the chart if you require different Volume Profile configurations.
  7. If the Study Settings window did not automatically open, then press the Settings button to open the Study Settings window.
  8. Select the Settings and Inputs tab. Set the study Input settings as you require. For a complete description for each of the Inputs, refer to the Volume by Price Input Settings section.
  9. Set the Ticks Per Volume Bar Input setting. This should be set to 1 or 2. In the case when you are using the Volume by Price study on a Daily, Weekly or Monthly Historical chart, we do not recommend setting this to 1. You should use a higher value somewhere between 4 to 10. Otherwise, CPU load could increase significantly.
  10. Set the Volume Graph Period Type Input setting to what you require. This is the most important setting and controls the time length of the Volume Profiles and whether there are multiple Volume Profiles or one of them.

    In the case where you want to have Volume Profiles which are 1 Day each, set Volume Graph Period Type to Multiple Profiles Based on Fixed Time. Set the Time Period Type for 'Fixed Time' input to Days and set the Time Period Length for 'Fixed Time' input to 1. Refer to the image below.
    1 day Settings
  11. Select the Subgraphs tab, and set the colors as you require. The Outline and the Fill color of the volume bars are set with Subgraph SG16. If you have the input Color Bid Volume and Ask Volume set to Yes, then those colors are set with Subgraph SG13. For more information, refer to the Color Settings section.
  12. Press OK.
  13. Press OK.
  14. When you first add the Volume by Price study to the chart, the chart may reload its data from the symbol data file in order to load the necessary volume data from the symbol data file that is required by this study, if the volume data has not already been loaded by another study that requires it.

Example Chart Images

This image shows a Volume by Price graph with the Volume Graph Period Type set to Visible Bars and where each volume bar represents a single price tick. The volume number for each volume bar is also shown.

Volume by Price


This image shows 1 Day Volume Profiles on an Intraday chart. Each volume bar also is color-coded to indicate the Bid Volume and Ask Volume component of the bars.

Volume by Price


This image shows a Volume by Price study set to 1 Bar for each profile and combined with the Numbers Bars study.

Volume by Price

Volume by Price Input Settings

Volume by Price
  1. To open the Volume by Price Input settings window, select Analysis >> Studies on the menu.
  2. Select the Volume by Price study in the Studies to Graph list.
  3. Press the Settings button.
  4. Select the Settings and Inputs tab of the Study Settings window. The inputs are displayed on this tab.

Draw Mode

The following are the descriptions of the different draw mode settings.

  • Volume Profiles: This setting specifies that only Volume Profiles are drawn.
  • POC, VAH, VAL Lines Only: This setting specifies that the Point of Control, Value Area High, Value Area Low and Volume Weighted Average Price lines are drawn only. In this case the Value Area High Value and Value Area Low Value Subgraphs on the Subgraphs tab must be set to a Draw Style other than Ignore or Hidden, to be visible.
  • Volume Profiles & POC, VAH, VAL Lines: This setting specifies that both the Volume Profiles and Point of Control, Value Area High, Value Area Low and Volume Weighted Average Price lines will be displayed on the chart.

For additional information related to Draw Mode, refer to Calculating and Displaying Developing Point of Control, Value Area High/Low, Volume Weighted Average Price Lines.

With this setting in the Volume by Price study, the Volume Value Area Lines study is considered an older out of date study because Volume by Price can display lines only and has a lot more functionality. However, the Volume Value Area Lines study can still be used for efficiency if it meets your requirements, since it is faster.

Number Of Periods Back To Reference

This setting only applies when the Volume Graph Period Type Input setting is set to Multiple Profiles Based on Bar Count or Multiple Profiles Based on Fixed Time. It does not apply to any other Volume Graph Period Type.

When this is set to 0, then a Volume Profile is based upon the chart bars where it is drawn.

When this is set to a nonzero value, then a Volume Profile references the specified number of periods back relative to where it is drawn.

For example, if this is set to 1, and the Volume Profiles have a Time Period Length and Type of 2 Days, then the prior two days will be used in the calculation of the Volume Profile for a particular time period.

If there is insufficient data found at the period back being referenced, then the prior period will be used. The skipping of a period continues until a period of time is found with sufficient data. The setting that controls what is considered a sufficient amount of data is the Minimum Time Period % for Reference Days Back Input.

This is calculated based upon the average time span of the bars in that time period and the time period required. For example, if this is set to 25 percent and the time period referenced needs to be 1 Day in Length, then it is considered sufficient if only 6 hours are in that period.

This calculation can still consider periods of time where there is no trading within a day if that period of time is not filtered out by the chart Session Times. This can occur at the end of the week where the time length of the last bar until the End Time exceeds the actual time length of the bar.

Ticks Per Volume Bar

The Ticks Per Volume Bar setting specifies how many price ticks, based upon the Tick Size setting in Chart >> Chart Settings, each horizontal volume bar includes.

This controls the grouping of prices that were traded at during the specified period of time for each Volume Profile. The default is 2. This is 2 price ticks. In this case, for every two adjacent prices traded, there will be one horizontal volume bar.

For the maximum amount of detail you will want to set this to 1.

When Ticks Per Volume Bar is set to 0, it will be automatically changed to 2.

There will only be a horizontal volume bar in a Volume Profile at a price level or for a group of prices (when using a Ticks Per Volume Bar > 1), if there is trading activity at that particular price level or prices during the time period that the Volume Profile displayed is for.

In the case when you are using the Volume by Price study on a Daily, Weekly or Monthly Historical chart, we do not recommend setting this to 1. You should use a higher value somewhere between 4 to 10. Otherwise, CPU load could increase significantly. Additionally for these types of charts, select Chart >> Chart Settings and set the Volume at Price Multiplier somewhere between 5 to 10 to decrease CPU load.

When the Chart >> Chart Settings >> Volume at Price Multiplier is set to a value other than 1, then the Ticks Per Volume Bar setting needs to match it or be a multiple of it. For example, if the Volume at Price Multiplier is set to 5, then set Ticks Per Volume Bar also to 5 or a higher even multiple like 10 or 15.

If you find that the Ticks Per Volume Bar setting changes from the value you set it at, this is because the Chart >> Chart Settings >> Volume at Price Multiplier is set to a value other than 1 and it is automatically being changed to a multiple of the Volume at Price Multiplier.

Volume Graph Period Type

This setting controls the time period for each Volume Profile. Or, specifies that one profile is to be displayed and based upon the specified time period.

  • Visible Bars: This defines a dynamic period based on the main price graph bars that are displayed/visible on the chart window. Only a single Volume Profile will be displayed.

    When using Visible Bars, the Point of Control, Value Area High Value and Value Area Low Value study Subgraphs will have incomplete data across the visible bars when looking at these Subgraph values on a Sheet when using one of the Spreadsheet studies due to the fact that there is a delayed calculation in this case.
  • Multiple Profiles Based on Bar Count: This defines a fixed period for the Volume Profiles based on the number of price graph bars specified with the Number of Bars for 'Based On Bar Count' setting. Multiple Volume Profiles are drawn from the beginning of the chart.
  • Multiple Profiles Based on Fixed Time: This defines a fixed period for the Volume Profiles based on the Time Period Type for 'Fixed Time' and the Time Period Length for 'Fixed Time' settings. Multiple Volume Profiles are drawn from the beginning of the chart.

    These Volume Profiles use the Session Times settings for the chart and the Volume Profiles will start at the Session Times >> Start Time or the Evening Start when using the Evening Session.
  • One Period at End of Fixed Time Length: This defines a single fixed Volume Profile period at the end of the chart of exactly the time length specified by the Time Period Type for 'Fixed Time' and the Time Period Length for 'Fixed Time' settings.

    This Volume Profile is of the full specified time length counting back from the Date-Time of the last bar in the chart. For example, if the Time Period is 1 Day and the last bar in the chart has a time of 10:14:59, then the profile will begin at 10:15:00 in the prior day.

    At every chart update, the Volume Profile is rebuilt.

    In the case where the Volume Profile has a Time Period longer than 1 month, we recommend using From Start Date-Time To End for efficiency.
  • Based on TPO Chart: This defines Volume Profiles that are based upon the starting time and time length of the TPO Profiles in the chart. This is only valid when using the TPO Profile Chart study. This option is automatically set in this case.
  • From Start Date-Time To End: This defines one Volume Profile from the specified Start Date and Start Time settings to the end of the chart.

    For Volume Profiles on Intraday charts where the Volume Profiles have a Time Period longer than 1 month, we recommend using this particular Volume Graph Period Type for efficiency.
  • From Start Time To End: This defines one Volume Profile from the specified Start Time in the last day in the chart, to the end of the chart. The Start Time is set through the Start Time Input.
  • From Start Date-Time + Time Length: This defines one Volume Profile from the specified Start Date and Start Time settings, that has a time length set by the Time Period Type for 'Fixed Time' and the Time Period Length for 'Fixed Time' settings.
  • From Start Date-Time To End Date-Time: This defines one Volume Profile from the specified Start Date and Start Time settings to the specified End Date and End Time settings.
  • One Period Based On Bar Count: This defines one Volume Profile at the end of the chart that is based upon the number of bars specified bars set through the Number of Bars Based On Bar Count setting.
  • One Period from Session Start Time: This defines one Volume Profile at the last day in the chart that starts at the Chart >> Chart Settings >> Session Times >> Start Time setting, until the last bar the chart. For additional information, refer to Session Times.
  • One Period from Start Time to End Time: This defines one Volume Profile at the last day in the chart that starts at the Start Time Input and ends at the End Time Input.
  • Multiple Profiles from Start Time to End Time: This will create multiple Volume Profiles across the entire chart that cover a shorter duration of time in the chart than specified by the Session Times you have setting Chart >> Chart Settings. Use the Start Time and End Time Input settings with the this study to set the starting and ending times.
  • One Period from Most Recent Period Start to End: This defines one Volume Profile which starts at the beginning of the most recent period defined by the Time Period Type for 'Fixed Time' and Time Period Length for 'Fixed Time' inputs, and goes to the last chart bar.
  • All Bars in Chart: This creates one single Volume Profile which includes the volume data for all of the bars loaded in the chart.
  • Specified Volume: This creates multiple Volume Profiles in the chart where a new Volume Profile is created when the specified volume is reached for that Volume Profile. The volume is specified with the Volume per Profile for 'Specified Volume' Input. The volume of each Volume Profile will be equal to or greater than the number specified. Most of the time it will be greater because a new Volume Profile will not be created until there is a new bar in the chart after the specified volume has been reached.
  • One Period at End of Fixed Time Length - Auto-Skip Empty Days: This is the same as One Period at End of Fixed Time Length except that when the time length is 1 Day the Volume Profile will begin at the start of the trading day according to the Session Times and empty days will be automatically skipped.

Set as Independent Volume Profile for TPO Chart

This Input only applies to charts that use the TPO Profile Chart study.

When this Input is set to Yes, then it is possible to set the Volume Graph Period Type Input to a setting other than Based on TPO Chart.

This allows for Volume Profiles which have a time period completely independent of the TPO Profiles. Usually you will want to right align this volume Profile.

Time Period Type for 'Fixed Time'

When the Volume Graph Period Type is set to one of the following:

  • Multiple Profiles Based on Fixed Time:
  • One Period at End of Fixed Time Length:
  • From Start Date-Time + Time Length:
  • One Period from Most Recent Period Start to End:

Then this input setting specifies the time period length for the Volume Profiles. It works with the Time Period Length for 'Fixed Time' setting. The setting can be one of the following:

  • Seconds (Not yet implemented)
  • Minutes
  • Days
  • Weeks
  • Months
  • Years

In the case of a Volume Profiles based on Weeks, Months or Years, the Volume Profiles will always start at the beginning of the Week, Month, and Year respectively. In the case of profiles which are based upon multiple Weeks, multiple Months, or Multiple Years, these are relative to January 1, 1950.

In the case where you want to have Volume Profiles which are 1 Day each, set Volume Graph Period Type to Multiple Profiles Based on Fixed Time. Set the Time Period Type for 'Fixed Time' input to Days and set the Time Period Length for 'Fixed Time' input to 1.

When Volume Profiles are set to be a 'Fixed Time', then for them to be 100% accurate and exactly based upon this fixed amount of time, it is necessary under some conditions for the time period of the underlying chart bars to evenly divide into this fixed amount of time. For example, if Time Period Length for 'Fixed Time' and Time Period Type for 'Fixed Time' are set to 60 Minutes, then the period of the underlying chart bars will need to evenly divide into this time.

For example, the chart bars can be 5 minutes, 10 minutes, 30 minutes or 60 minutes or any other time period which evenly divides into them. Therefore, using variable time period bars like those based upon Number of Trades or Volume, will result in Volume Profiles which are not always 60 Minutes and instead they would be based upon the overall time length of the chart bars which best fit into the 60 Minutes timeframe. This rule is not always absolute. For example, if the Volume Profiles are 1 Day, and Chart >> Chart Settings >> New Bar At Session Start is enabled, then the underlying bars can be any timeframe.

Similar to the above, if the Volume Profiles are set to be for example 60 minutes and the chart bars are 180 minutes each, then it is not possible for there to be 3 Volume Profiles per bar. There is only going to be one Volume Profile per bar and they will be a time length of 180 minutes which is equivalent to the bar time period.

Time Period Length for 'Fixed Time'

This works with the Time Period Type for 'Fixed Time' setting. It specifies the number of Seconds, Minutes, Days, Weeks, Months or Years.

Number of Bars for 'Based On Bar Count'

When Multiple Profiles Based On Bar Count or One Period Based On Bar Count is selected for the Volume Graph Period Type setting, this setting defines how many chart bars the Volume Profiles will be based on.

The chart bars are counted from the first bar in the chart and repeat after that.

Start Date

This setting is used to specify a Start Date when the Volume Graph Period Type requires a Start Date.

Use Different Start Time

Set this option to Yes to specify a different Start Time for the Volume Profiles that differs from the Session Times in Chart >> Chart Settings. The time is set through the Start Time Input setting.

Start Time

This setting is used to specify a Start Time when the Volume Graph Period Type requires a Start Time.

This time setting is relative to the Time Zone setting you have set in Global Settings >> Data/Trade Service Settings.

End Date

This setting is used to specify an End Date when the Volume Graph Period Type requires an End Date.

End Time

This setting is used to specify an End Time when the Volume Graph Period Type requires an End Time.

This time setting is relative to the Time Zone setting you have set in Global Settings >> Data/Trade Service Settings.

Use Separate Profile for Evening Session

When this option is set to Yes and you have defined and enabled the Evening Session Times in Chart >> Chart Settings, then a separate Volume Profile will be displayed for the evening session. This means you will have 2 profiles for each day in an Intraday chart.

This option is only valid when the Volume Graph Period Type Input is set to Multiple Profiles Based on Fixed Time and the Time Period for the volume profiles is set to 1 Day.

You must also define and enable the Evening Session Times in Chart >> Chart Settings for this setting to work. Refer to Session Times for more information.

When this Input is set to Yes, the time period for chart bars must not be greater than the time span of either the main session or the evening session.

The color of the Evening Session Volume Profiles is controlled with the Evening Session Volume Bars Outline and Fill Colors Subgraph.

For step-by-step instructions to use this Input, refer to Displaying Separate Profiles for Day and Evening Sessions.

Maximum Volume Bar Width Type

This can be set to Period Width, Window Length, Automatic.

This setting allows you to base the width (horizontal length) of the volume bar with the maximum volume in the Volume Profile to be based upon the width of the chart window (Window Width), the length of the Volume Profile period (Period Length), or automatically switch between Window Width and Period Length when you have selected Automatic.

When using Window Width, the width is based upon the overall width of the visible bars in the chart. If there is a blank area on the right side of the chart due to setting a Right Side Fill Space or not enough bars to fill up the chart, then that blank area is not considered in the calculation of the available space.

When using a setting of Automatic, the . Length is used if it is less than the window width. Otherwise, the Window Width is used.

Maximum Volume Bar Width Percentage

This percentage setting works with the Maximum Volume Bar Width Type setting and specifies the percentage of the Window Width or the Period Length that the maximum volume bar horizontal width will use of the total available width.

Right Align Volume Bars

Normally the Volume Profile bars are displayed at the beginning of each period with the base of the volume bars going from left to right. When the Right Align Volume Bars setting is set to Yes, the Volume Profile bars will be displayed at the right side of each period with the base the volume bars going from right to left. If you always want the very last displayed Volume Profile, to be aligned to the right side of the chart window beside the Values Scale, refer to Right Aligning Profiles with Space on Right Side.

When this setting is set to Yes, and the Bid Volume and Ask Volume portion of the volume bars are colored, then the Bid Volume will be on the right side of the volume bar and the Ask Volume will be on the left.

Display Volume in Bars

This setting lets you choose to display numerical data for each horizontal Volume Bar of any of the specified types:

  • None
  • Total Volume
  • Total Volume - POC Only
  • Bid Volume x Ask Volume
  • Ask Volume - Bid Volume
  • Number of Trades
  • Bid Volume - Ask Volume
  • Ask Volume - Bid Volume, TotalVolume
  • Volume at High/Low
  • Percent of Maximum Volume of Volume Bars
  • Percent of Total Volume
  • Ask Volume Bid Volume Ratio

For a description of the meanings of these different volume types, refer to Definitions on the Numbers Bars page.

The Volume Numbers Text Color and Size Subgraph settings control both the color and font size of the text. The Size setting controls the font size if it is set to a value other than 0. Otherwise, the font size is controlled automatically.

Always Display Last Profile Within View

When a Volume Profile period is Fixed by Time, often it can go off the chart window and not be fully visible or visible at all. When this option is set to Yes, the Volume Profile bars will always be displayed within view on the chart window.

Display Study ID on Volume Profile

When the Display Study ID on Volume Profile Input setting is set to Yes, then the study ID number will be displayed on the Volume Profiles to make them easier to identify for the purpose of removing a particular Volume by Price study from the chart. Displaying the ID number is useful when you have drawn Volume Profiles with the Draw Volume Profile tool, in order to make removing a specific Volume Profile easier to identify.

Bid Volume and Ask Volume Coloring Method

This Input setting allows you to color the Bid Volume and Ask Volume portion of the Volume Bars according to the selected method. The colors are specified through the Subgraphs tab of the Study Settings window for the Volume by Price study. Refer to the Color Settings section for descriptions for each of these color settings.

When the Input settings to highlight the Value Area and/or the Point of Control are enabled, then this option is ignored and Bid Volume and Ask Volume are not colored.

  • None: When this option is selected, the BidVolume and AskVolume portion of the Volume bars do not use separate coloring.
  • Separate Bid/Ask Volume Coloring: With this coloring method, the portion of the Volume bar that represents Bid Volume is colored the Bid Volume color and the portion that represents the Ask Volume is colored the Ask Volume color.

    The portion of the Volume bar that represents volume which is not considered Bid Volume or Ask Volume, will be color the standard Volume Bars Fill color.

    When there are bars in the chart which do not have Bid Volume or Ask Volume because this type of volume data is not provided by the historical data with the Data or Trading service you are using, then you will see portions of the Volume bars colored the standard color.
  • Difference Of Bid And Ask Volume Coloring: With this coloring method, the difference between Ask Volume and Bid Volume is calculated and the portion of the Volume bar which represents this difference is colored the Ask Volume color if Ask Volume is greater, or the Bid Volume color if the Bid Volume is greater. The remaining portion of the bar is colored the Volume Bars Fill color (SG8).
  • Dominant Bid Or Ask Volume Coloring: With this coloring method, the portion of the Volume bar that makes up BidVolume and AskVolume is colored a single color and the color is either the BidVolume or AskVolume color, depending upon which one is greater.

Do Not Draw Outline When Coloring Bid Volume And Ask Volume

When this option is set to Yes, the Volume bars are not outlined the outline color, for the sections of the volume bar that are colored the Bid and Ask volume colors.

Use Transparent Draw Style

When this option is set to Yes, the Volume Profile bars are transparent. The transparency level is set with the Transparency Level setting. Transparency is not recommended because it elevates CPU usage. Use it only when absolutely necessary. You should also initially avoid using transparency until you get the Volume Profiles displayed the way that you want, other than the transparency, if you require transparency. The reason for this, is transparency can alter the visual appearance of Volume Profiles sometimes in detrimental ways.

Transparency Level

This sets the level of transparency as a percentage when Use Transparent Draw Style is set to Yes.

Highlight Value Area

When this option is set to Yes, the volume bars which represent the Value Area High and Low range are colored the Value Area and Outline color.

Thevalue area comprises the volume bars at the point of control and around the point of control which are the Value Area Percentage of the total volume of the entire Volume Profile.

The Value Area percentage is controlled with the Value Area Percentage setting.

For the volume bars to be colored the Value Area color, it is necessary to set the Bid Volume and Ask Volume Coloring Method to None.

Extend Value Area

This setting causes a line to be drawn at the Value Area High and Low that extends to the End of Period for the Volume Profile, the End of Window for the chart, or Until Future Intersection.

When using the setting End of Window, this only applies to the last drawn Volume Profile and the Value Area lines are drawn to the right side Values Scale.

When setting the Value Area lines to extend Until Future Intersection, this means each Value Area line is individually extended until it encounters future Volume Profiles which covers a price range which intersects with the particular Value Area line being extended.

It is possible to enable labeling on the Value Area lines when they have been set to be extended through this Input. For instructions, refer to Point of Control and Value Area Extension Line Labels.

Refer to the image below for an example.

Value Area Percentage

The Value Area Percentage setting specifies the percentage of the total volume of a Volume Profile that makes up the Value Area.

When the Volume by Price study is used on a chart that has the TPO Profile Chart study, then the Value Area Percentage Input will be set the same as the Volume Value Area % Input with the TPO Profile Chart study. Therefore, it is necessary to change the Value Area percentage through the corresponding TPO Profile Chart study Input.

Highlight Point of Control

When this setting is set to Yes, the volume bar which represents the Point of Control is colored the Point of Control Color.

Extend Point of Control

This setting causes a line to be drawn at the Point of Control that extends to the End of Period for the Volume Profile, the End of Window for the chart, or Until Future Intersection.

When using the setting End of Window, this only applies to the last drawn Volume Profile and the line is drawn to the right side Values Scale.

When setting the Point of Control line to extend Until Future Intersection, this means each Point of Control line is extended until it encounters future Volume Profiles which cover a price range which intersects with the particular Point of Control line being extended.

It is possible to enable labeling on the Point of Control line when it has been set to be extended through this Input. For instructions, refer to Point of Control and Value Area Extension Line Labels.

Align Volume Numbers to Base of Volume Bars

When this setting is set to Yes and Display Volume in Bars is set to a setting other than None, then the volume numbers are aligned to the base of the volume bars. The base is on the left side of a Volume Profile unless the Volume Profiles are right aligned. This setting cannot be changed for Trade DOM windows. For the most accurate volume readings, you need to have tick by tick data in the Intraday chart data file. This also applies to Trade DOM windows as well. Refer to, Tick by Tick Data Configuration.

Volume Bars Draw Method

This setting can be set to the following:

  • Filled Volume Bars: The Volume Profile is drawn as horizontal volume bars that are filled with the specified color. The Volume Bars Outline and Fills Colors Subgraph on the Subgraphs tab of the Study Settings window controls the Color, Line Style, and Line Width for this Draw Method.
  • Volume Profile Outline Only: Only a single line outline will be drawn for the Volume Profile rather than horizontal bars. This is useful to give a profile a very minimal appearance. The Right Align Volume Bars Input can be set to Yes to align these profiles from right to left.

    The Volume Bars Outline and Fills Colors Subgraph on the Subgraphs tab of the Study Settings window controls the Color, Line Style, and Line Width for this Draw Method.

    The Use Transparent Draw Style option does not apply when using this Draw Method.
  • Hollow Volume Bars: The Volume Profile is drawn as horizontal volume bars that are not filled and are hollow. The Volume Bars Outline and Fills Colors Subgraph on the Subgraphs tab of the Study Settings window controls the Color, Line Style, and Line Width for this Draw Method.
  • Hologram: The Volume Profile is drawn as a rectangular style outline. The Volume Bars Outline and Fills Colors Subgraph on the Subgraphs tab of the Study Settings window controls the Color, Line Style, and Line Width for this Draw Method.

Allow Side By Side Profiles on Right Side

When this option is set to Yes, multiple instances of the Volume by Price study which are set to be displayed on the far right side of the chart, will be displayed side by side and not overlap each other.

A Volume by Price study can be set to displayed on the right side of the chart when Right Align Volume Bars is set to Yes and the Volume Graph Period Type is set to display a single period.

Follow these instructions to display multiple instances of the Volume by Price study, set to display a single profile, on the right side of the chart.

  1. Add all of the Volume by Price study instances to the chart and configure them as you require. The order of these Volume by Price study instances in the Studies to Graph list controls the order in which they are drawn on the right side. The first one will be drawn first on the rightmost side. The second one will be drawn to the left of the first one and so on.
  2. Each instance of the Volume by Price study needs to have the Volume Graph Period Type input set to a single period.
  3. Each instance of the Volume by Price study needs to have Right Align Volume Bars input set to Yes.
  4. Each instance of the Volume by Price study needs to have Allow Side By Side Profiles on Right Side input set to Yes.

Draw Profile Outline Enclosing Bars

When this option is set to Yes, then a rectangular outline will be drawn around the chart bars that the Volume Profile consists of.

Draw Peaks and Valleys

When this option is set to other than None, then Peak and Valley Volume bars within each Volume Profile are identified by a horizontal line which is drawn from them extending outward. The choices are Both Peaks and Valleys, Peaks Only, Valleys Only.

There are several other settings associated with this one. They are documented below.

Peaks and Valleys Sensitivity

The Peak and Valleys sensitivity refers to the number of horizontal volume bars that are searched above and below each Volume bar to determine whether a particular volume bar is a Peak or Valley.

For example, if this is set to 10 and the Ticks Per Volume Bar Input is set to 1, then 10 ticks above and below each price level there is Volume for, is searched.

In the case when the sensitivity is set to 10, if the 10 price levels above and 10 price levels below a particular price level have a lower volume than the volume bar at the price level being compared to, then this will be considered a Peak Volume bar. A horizontal line will be drawn outward from the Peak.

In the case when the sensitivity is set to 10, if the 10 price levels above and 10 price levels below a particular price level have a higher volume than the volume bar at the price level being compared to, then this will be considered a Valley Volume bar. A horizontal line will be drawn outward from the Valley.

The Color, Line Style, Line Width are controlled with the Peaks and Valleys Subgraph on the Subgraphs Tab.

Include High / Low in Peak and Valleys

When this option is set to Yes, the highest and lowest Volume bars within a Volume Profile are included in the calculations to determine Peak and Valley Volume bars. When this is set to No, the highest and lowest Volume bars are not included in the calculations.

Extend Peaks and Valleys

This option controls various methods of extension lines for the Peak and Valley volume bars.

  • End of Period: This draws a line from the end of the Peak or Valley volume bar out to the end of the period.
  • End of Window: This draws a line from the end of the Peak or Valley volume bar out to the end of the chart window.
  • Until Future Intersection: The Peak and Valley line extends forward from the end of the volume bar until it intersects future price bars outside of the time range of the Volume Profile for which it is for.
  • Full Horizontal Line: This draws a horizontal line from the base of the Peak or Valley volume bar out to the end of the period.

Highlight Value Area High and Low Only

When this input is set to Yes, then the Value Area High and Low horizontal volume bars will be highlighted the value area color set with the Value Area and Outline colors.

Align to Far Right

This Input setting applies when the Volume Graph Period Type is set to:

  • Visible Bars
  • Multiple Profiles Based on Fixed Time (Applies to last profile only and if Last Profile Always In View is also set to Yes)
  • Multiple Profiles from Start Time to End Time (Applies to last profile only and if Last Profile Always In View is also set to Yes)
  • Multiple Profiles Based on Bar Count (Applies to last profile only and if Last Profile Always In View is also set to Yes)
  • Specified Volume (Applies to last profile only and if Last Profile Always In View is also set to Yes)
  • Any Volume Graph Period Type that consists of a single Volume Profile only.

When this Input is set to Yes the last drawn Volume Profile will be aligned to the far right side of the chart. In the case of Trade DOM windows, the profile will always be aligned to the far right if it is right aligned.

Do Not Overlap DOM Graph

When this Input is set to Yes, Align to Far Right is set to Yes, and the Trade >> Draw DOM GraphOn Chart is enabled, then the Volume Profile displayed on the right side of the chart will be adjusted do not overlap the DOM Graph.

Display Entire Profile Volume

When this Input setting is set to Yes, then the total volume is calculated for the Volume Profiles and displayed at the top of them.

Display Entire Profile Ask Volume-Bid Volume

When this Input setting is set to Yes, then the total Ask Volume minus the total Bid Volume is calculated for the Volume Profiles and displayed at the top of them.

For a description of how Ask Volume and Bid Volume are calculated, refer to Definitions on the Numbers Bars page.

Display Entire Profile High & Low

When this Input setting is set to Yes, then the High and Low of the Volume Profiles are displayed at the top the bottom of them respectively.

Display Entire Profile Start and End Date-Time

When this Input setting is set to Yes, then the Start and End Date-Times for the Volume Profiles are displayed at the top of them.

Display Entire Profile Study Name

When this Input setting is set to Yes, then the name of the Volume Profiles are displayed at the top of them.

Display Entire Profile Study ID

When this Input setting is set to Yes, then the study ID of the Volume Profiles is displayed at the top of them.

Display Point of Control

When this Input setting is set to Yes, then the Point of Control value for the Volume Profiles is displayed at the top of them.

Display Profile Volume Weighted Average Price

When this Input setting is set to Yes, then the Volume Weighted Average Price for the Volume Profiles is displayed at the top of them.

Calculate Developing POC and Value Area

When this Input setting is set to Yes, then the Point of Control, Value Area High Value, Value Area Low Value study Subgraphs will contain the developing Point of Control and Value Area values.

What this means is that at every bar in the chart, they will contain the values calculated up to the moment in time the bar is for instead of equivalent to the values for the entire Volume Profile they are for.

To actually see these lines on the chart set the Draw Mode Input to one of the options that contains POC, VAH, VAL Lines.

The data in these Studies Subgraphs can also be programmatically accessed by ACSIL. Refer to the Using Study/Indicator Data in an ACSIL Function.

Color Code Volume Bars Based on Percentage of POC

When this Input setting is set to Yes, each horizontal Volume Bar in a Volume Profile is colored based upon the percentage that its volume is of the Point of Control.

There are 10 color settings named #%-#% POC Color in the list of Inputs following this Input setting which control the colors based on the percentage that the Volume Bar is of the Point of Control volume.

#%-#% POC Color

These color settings are used when the Color Code Volume Bars Based on Percentage of POC Input is set to Yes.

For details, refer to Color Code Volume Bars Based on Percentage of POC.

Display Data in Chart Values Window

When this Input is set to Yes, then various values for the Volume Profile being pointed to with the Chart Values Tool will be displayed in the Window >> Tool Values Window.

The data for the last displayed Volume Profile will be displayed in the Window >> Chart Values Window.

Volume Bar Minimum Width in Chart Bars

When this Input setting is set to a non-zero value, the minimum width of each horizontal Volume Bar is set to the specified number of chart bars, allowing very narrow bars to be more visible.

Include Fill Space in Developing Period Width

When this Input setting is set to Yes, the chart right side fill space is included into the Volume Profile period width of a developing period, allowing more space for a developing period to be displayed.

Minimum Time Period % for Reference Days Back

Refer to the documentation for Number Of Periods Back To Reference for information about this setting.

Controlling the Study Display Order Relative to the Price Graph Bars and Other Studies

Beginning with Sierra Chart version 1435, there is no longer the Display Above Price Bars Input setting.

The display order of the Volume by Price study which controls whether it is displayed under the main price graph bars or above the main price graph bars and its order relative to other studies, is controlled through the display order set through the Chart Studies window and the Draw Study Underneath Main Price Graph setting. Refer to Study Display Order.

You may also want to set Use Transparent Draw Style to Yes to allow the price bars and other graphs which are displayed under the Volume Profiles, to be partially visible.

Color and Width Settings

The Subgraphs tab in the Study Settings window for the Volume by Price study lists several Subgraphs which are used for color and some width settings for the various elements of the Volume Profiles displayed by the Volume by Price study.

  1. Select Analysis >> Studies on the menu.
  2. Select the Volume by Price study in the Studies to Graph list.
  3. Press the Settings button.
  4. Select the Subgraphs tab of the Study Settings window.
  5. Refer to the descriptions below.

Point of Control

When you have set the Highlight Point of Control Input setting to Yes, then this Subgraph Color setting controls the color of the volume bar which is at the Point of Control. All other Subgraphs settings are not relevant for this particular Subgraph in this case.

When you have set the Extend Point of Control Input setting to other than None, then this Subgraph is used to control the Color, Line Style, and Width of the Point of Control line in this case.

The Name Label and Value Label Subgraph settings also apply in this case.

Value Area High Value

This Subgraph contains the Value Area High data for each Volume Profile for each bar in the chart. This Subgraph is only visible on the chart and the Color, Line Style and Width settings only apply when the Draw Mode input is set to include the VAH, VAL, POC Lines. Otherwise, it has no effect and is only used for ACSIL to access the data and to have the Value Area High and Low values displayed in the Chart Values windows.

Value Area Low Value

This Subgraph contains the Value Area Low data for each Volume Profile for each bar in the chart. This Subgraph is only visible on the chart and the Color, Line Style and Width settings only apply when the Draw Mode input is set to include the VAH, VAL, POC Lines. Otherwise, it has no effect and is only used for ACSIL to access the data and to have the values displayed in the Chart Values windows.

Bid Volume and Ask Volume Colors

This Subgraph is for setting the Bid Volume and Ask Volume colors for the AskVolume and BidVolume portion of a bar within a Volume Profile.

The primary Color button sets the BidVolume color. The Secondary Color button sets the AskVolume color.

The Draw Style setting is set to Ignore and it is not relevant. All other Subgraphs settings are not relevant for this particular subgraph.

Volume Numbers Text Color and Size

This Subgraph controls the Color and Font Size of the volume numbers text displayed on the Volume Profile bars, if you have set the Display Volume in Bars Input setting to a setting other than None.

The Primary color setting controls the text color when the volume text is positive. The Secondary color setting controls the color when the volume text is negative.

The Size setting sets the Font Size. If it is set to 0, then the font size is automatic.

All other Subgraphs settings are not used for this particular subgraph.

Volume Bars Outline and Fill Colors

This Subgraph controls outline color for the Volume profile bars and the fill color of the Volume profile bars.

The only valid controls for the Subgraph are the two color controls. All other Subgraph settings are not relevant for this particular Subgraph unless you have set the Volume Bars Draw Method Input to Volume Profile Outline Only.

When you have set the Volume Bars Draw Method Input to Volume Profile Outline Only, then the first color control, controls the color of the outline, the Line Style controls the line style of the outline, and the Width setting controls the width of the outline line.

Evening Session Volume Bars Outline and Fill Colors

This Subgraph controls outline color for the Evening Session Volume Profile bars and the fill color of the Evening Session Volume profile bars when Use Separate Profile for Evening Session is set to Yes.

The only valid controls for the Subgraph are the two color controls. All other Subgraph settings are not relevant for this particular Subgraph unless you have set the Volume Bars Draw Method Input to Volume Profile Outline Only.

When you have set the Volume Bars Draw Method Input to Volume Profile Outline Only, then the first color control, controls the color of the outline, the Line Style controls the line style of the outline, and the Width setting controls the width of the outline line.

Value Area and Outline

When you have set the Highlight Value Area Input setting to Yes, then this Subgraph Color setting controls the color of the Volume bars which are within the Value Area. The primary Color button sets the interior of the Volume Profile bars and secondary Color button sets the outline color. All other Subgraphs settings are not relevant for this particular Subgraph in this case.

When you have set the Extend Value Area Input setting to other than None, then this Subgraph is used to control the Color, Line Style, and Width of the Value Area lines in this case. The color of the Value Area lines is the primary Color setting.

The Name Label and Value Label Subgraph settings also apply in this case.

Peaks and Valleys (SG10)

When the Draw Peaks and Valleys Input setting is set to a setting other than None, then this Subgraph specifies the Color, Line Style, and Width for the Peak horizontal lines and the Valley horizontal lines.

The primary (first) Color is for the Peak lines and the secondary (second) Color is for the Valley lines.

The other Subgraph settings are not used other than the Value Label settings.

Peaks and Valleys only support the Value Label. Peaks and Valleys do not support the Name Label.

Point of Control and Value Area Extension Line Labels

Value Labels can be enabled on the Point of Control and Value Area lines that have been set to extend. To set up these Value Labels, follow the instructions below.

  1. Open the Study Settings window for the Volume by Price study.
  2. Select the Settings and Inputs tab.
  3. The Value Labels will only be visible if you have enabled the extension lines for the Point of Control or the Value Area. Therefore, you will need to set the Extend Value Area and/or Extend Point of Control Inputs to a setting other than None. For documentation for these specific inputs, refer to Volume by Price Input Settings. If you want to have the labels drawn near the Volume Profiles themselves, then use a setting of End of Period.
  4. Select the Subgraphs tab.
  5. For the Point of Control label, select the Point of Control Subgraph and enable the Show option for the Value Label. Set the Horizontal and Vertical alignment options as you require. By setting the Horizontal Align to Left, you will be able to see the labels on historical Volume Profiles (refer to the image). Press the Subgraph Color button to change the color of the extension lines and labels as required.
  6. For the Value Area labels, select the Value Area and Outline Subgraph and enable the Show option for the Value Label. Set the Horizontal and Vertical alignment options as you require. By setting the Horizontal Align to Left, you will be able to see the labels on historical Volume Profiles (refer to the image). Press the Subgraph Color button to change the color of the extension lines and labels as required.
  7. Press OK.

Volume Value Area

To highlight the Value Area portion of the volume profiles, set Highlight Value Area to Yes in the Input settings.

To display the Volume Value Area High and Low on the chart as lines, you will need to use the Volume Value Area Lines study. The study will also display the point of control as well. With this study you have the ability to display the Volume Value Area Lines for any time period and based upon either the current period or a prior period.

Right Aligning Volume Profiles with Space on Right Side of Chart

In the image below you will see that the Volume Profile bars are on the far right side of the chart.

This will be the case if the Right Align Volume Bars Input is set to Yes and you are using one of the Volume Graph Period Types that displays a single profile Volume Profile, like Visible Bars, One Period at End of Fixed Time Length, From Start Date-Time to End, and any other Volume Graph Period Type that displays a single profile.

However, in the case of the following Volume Graph Period Types:

  • One Period From Start Date-Time Plus Time Length
  • One Period From Start-Date Time to End-Date Time
  • All Bars in Chart

It is necessary to set both the Right Align Volume Bars and Align to Far Right Study Inputs to Yes to align the Volume Profiles to the far right side of the chart.

Multiple Profiles

When Volume Graph Period Type is set to:

  • Multiple Profiles Based on Fixed Time
  • Multiple profiles Based on Are Count

And you want to have the last displayed Volume Profile aligned to the far right side, then follow these instructions:

  1. Open the Study Settings window for the Volume by Price study and go to the Settings and Inputs tab. Refer to the Volume by Price Input Settings section for instructions.
  2. Set the Right Align Volume Bars study Input setting to Yes.
  3. Set the Always Display Last Profile in View study Input setting to Yes.
  4. Press OK.

Creating Space on Right Side of Chart

Follow the instructions below to create space on the right side of the chart so the Volume Profile which is aligned to the far right does not overlap any chart bars.

  1. To create space between the last bar in the chart and the right side of the chart, you need to use the Right Side Fill Space
  2. Basically, you need to scroll the chart past the right side and then lock the fill space with Chart >> Lock Fill Space.
  3. To reduce the width of the Volume Profile and maintain a fixed width, open the Study Settings window for the Volume by Price study and go to the Settings and Inputs tab. Refer to the Volume by Price Input Settings section for instructions.
  4. Set the Maximum Volume Bar Width Type study Input setting to Window Width.
  5. Set the Maximum Volume Bar Width Percentage study Input setting to the percentage that you require.
  6. Press OK.
  7. Press OK.

Single Volume Profiles At End of Chart

Follow the instructions below to display a single Volume Profile covering the specified time period and located on the right side of the chart.

  1. Select Analysis >> Studies on the menu.
  2. Locate the Volume by Price study in the Studies Available list.
  3. Press the Add button.
  4. Press the Settings button to open the Study Settings window for the study if it has not already opened.
  5. Select the Settings and Inputs tab. Set the following Inputs:
    • Ticks Per Volume Bar = 1
    • Set Volume Graph Period Type to one of the following:
      • One Period at End of Fixed Time Length
      • From Start Date-Time to End
      • From Start Time to End
      • From Start Date-Time + Fixed Time Length
      • From Start Date-Time to End Date-Time
      • One Period Based On Bar Count
      • From Session Start Time to End
      • One Period from Start Time to End Time
      • One Period from Most Recent Period Start to End
      • One Period at End of Fixed Time Length - Auto-Skip Empty Days
    • Maximum Volume Bar Width Type = Window Width
    • Maximum Volume Bar Width Percentage = 50
    • Right Align Volume Bars = Yes
  6. Select the Subgraphs tab. Set the Color settings as you require.
  7. Press OK.
  8. Press OK.

Single Bar Volume Profiles with Bid Volume and Ask Volume

In this image you can see a Volume Profile for each individual chart bar. You will see the Bid volume and Ask volume displayed at every price level within the bar. Follow the instructions below to set up this type of chart display.

  1. Select Chart >> Chart Settings and set the Graph Type to Blank. This is so we see volume bars only. Set the Bar Period to what you require.
  2. Press OK.
  3. Select Analysis >> Studies on the menu.
  4. Locate the Volume by Price study in the Studies Available list.
  5. Press the Add button.
  6. Press the Settings button to open the Study Settings window for the study if it has not already opened.
  7. Select the Settings and Inputs tab. Set the following Inputs:
    • Ticks Per Volume Bar = 1
    • Volume Graph Periods Type = Fixed by Bar Count
    • Number of Bars for 'Based On Bar Count' = 1
    • Maximum Volume Bar Width Type = Period Length
    • Maximum Volume Bar Width Percentage = 80
    • Display Volume in Bars = Bid Volume x Ask Volume
    • Draw Outline When Coloring Bid Volume and Ask Volume = No
    • Highlight Value Area = No
    • Highlight Point of Control = No
    • Align Volume Numbers to Base of Volume Bars = Yes
  8. Select the Subgraphs tab. Set the Color settings as you require.
  9. Press OK. Press OK.
  10. For a Study Collection file with the configuration above, go to the Additional Files page. Save the SingleBarVolumeProfilesWithBAV.StdyCollct file to the Data Files Folder as documented on that page.

Displaying Separate Profiles for Day and Evening Sessions

  1. Add the Volume by Price study to the chart and open the Study Settings window. Refer to Adding/Modifying Study Settings for instructions.
  2. Set the Volume Graph Period Type input to Multiple Profiles Based on Fixed Time.
  3. Set the Time Period Length for 'Fixed Time' input to 1.
  4. Set the Time Period Type for 'Fixed Time' input to Days.
  5. Set Use Separate Profile for Evening Session input to Yes.
  6. Select the Subgraphs tab.
  7. The Volume Bars Outline and Fill Colors and the Evening Session Volume Bars Outline and Fill Colors set the colors for the Day and Evening Session Volume Profiles. For additional information, refer to Color and Width Settings.
  8. Press OK. Press OK.
  9. Select Chart >> Chart Settings.
  10. Set the Session Times >> Start Time to the start of the day trading session. For complete documentation refer to Session Times.
  11. Set the Session Times >> End Time to the end of the day trading session.
  12. Enable the Session Times >> Use Evening Session option.
  13. Set the Session Times >> Evening Start to the start of the evening session.
  14. Set the Session Times >> Evening End to the end of the evening session.
  15. Press OK.
  16. You should then have a chart that looks like the image above. There will be a completely separate Volume Profile for the Day and Evening session. The above chart also contains the TPO Profile Chart study as well.

Calculating and Displaying Developing Point of Control, Value Area High/Low, Volume Weighted Average Price Lines

To calculate and display the developing Point of Control, Value Area High and Low, and Volume Weighted Average Price lines for the Volume by Price study perform the steps below.

One or more of these lines can optionally be displayed.

  1. Add the Volume by Price study to the chart and open the Study Settings window. Refer to Step-By-Step Instructions for instructions.
  2. Select the Settings and Inputs tab of the Study Settings window.
  3. Set the Draw Mode Input to one of the following:
    • Volume Profiles & POC, VAH, VAL Lines
    • POC, VAH, VAL Lines Only
  4. Set the Calculate Developing POC and Value Area Input to Yes.
  5. Select the Subgraphs tab.
  6. For the Point of Control, Value Area High Value, Value Area Low Value, and Volume Weighted Average Price Subgraphs, set the various settings for those as required. If you do not want to display one of these lines set its Draw Style to Ignore.
  7. Subgraph Name and Value labels can be displayed for any of these lines. For instructions, refer to Name and Value Labels.
  8. Press OK to close the Study Settings window.
  9. Press OK to close the Chart Studies window.

It is also possible to calculate and display the developing Point of Control and Value Area High/Low lines when using the Volume Value Area Lines study. To do this, set the Draw Developing Value Area Lines input for the Volume Value Area Lines study to Yes.

Viewing Volume Profile Text Information

There are two ways to view various fields of data for Volume Profiles.

The first method is to set the Study Inputs which display text values at the top and/or bottom of the Volume Profiles to Yes. Refer to Display Entire Profile Volume in the Volume by Price Input Settings section. The other Inputs are listed below this one.

The second method is to set the Display Data in Chart Values Window Volume by Price study Input to Yes. When this Input is set to Yes, then various fields of data for the Volume Profile being pointed to with the Chart Values Tool will be displayed in the Window >> Tool Values Window.

Volume at Price Calculations

For Sierra Chart to be able to construct a complete Volume Profile for specific period of time, it needs to know the Total Volume, Bid Volume, and Ask Volume for each price traded during that period of time. At a minimum it needs to know the Total Volume.

In the case of an Intraday chart, where the data file contains tick by tick data, the volume for each individual trade at a particular price is known. This allows for the most accurate construction of Volume Profiles.

Where the underlying data records in the chart data file for a chart, are larger than 1 Tick and these can range anywhere from 1 second to 24 hours, then the way the volumes are determined from a data record is by dividing the data record by the Tick Size and evenly applying the volume of that data record to each price tick. For example, if the Tick Size is 1 and a record ranges from 26 to 30 with a total volume of 100, then this is 5 price ticks. The volume for each price will be 20.

Algorithm to Minimize CPU and Memory Use

When constructing the Volume at Price data while the chart data is loading, in the case of a Historical Daily chart or and Intraday chart with more than 100,000 bars in the chart, if there are more than 500 price levels in a chart bar, then the Volume at Price Multiplier for that bar will be internally increased to a higher increment to minimize the amount of processing and memory use.

Unless the number of prices per chart bar exceeds 4000, the Volume At Price Multiplier will be increased only to 2.

The result of this algorithm will be missing price levels in the Volume Profiles displayed on the chart. The volume from these missing levels have been combined with nearby price levels.

Understand that this is necessary functionality to prevent excessive CPU and memory use which can occur with wide range of prices in chart bars.

Volume Profile Differences

If you notice differences with Volume Profiles, the Volume Value Area High and Low, of the Point of Control, or the Volume Weighted Average Price for a specific period of time in a chart compared to another chart in Sierra Chart or another program, then check the following details:

  1. Select Chart >> Chart Settings.
  2. In the case of Intraday charts, check the Intraday chart Session Times to make certain they match the chart you are comparing to. Make sure New Bar at Session Start and the Weekend data settings match.

    These settings are also relevant in the case of a Trading DOM. When specifying the Start Time in the Volume by Price study settings, the Session Times in Chart Settings need to span the full 24 hours (Example: Start Time: 00:00:00, End Time: 23:59:59).
  3. Make sure the Tick Size is correct for the symbol.
  4. Make sure the Volume at Price Multiplier is set to 1. The only time where this should be a higher value than 1 is for Historical Daily, Weekly, Monthly charts.
  5. In the case of Intraday charts, the chart bars must be based upon a fixed amount of time and cannot be Number of Trades, Volume, Range, Reversal, Renko, Delta Volume, Price Change, Point and Figure bars. Therefore, the Bar Period Type must be set to Days-Minutes-Seconds. The first chart bar for the Volume Profiles being compared, need to have the same Start Time. The last chart bar for the Volume Profiles being compared, need to have the same End Time.
  6. Press OK to close the Chart Settings window.
  7. To achieve the highest accuracy, there must be tick by tick data in the Intraday chart data file when using the Volume by Price study on Intraday charts. Refer to the Tick by Tick Data Configuration page for instructions. This is an essential step. You will need to re-download the historical data if necessary as the instructions explain.
  8. In the case of a futures contract symbol, it has a limited life. A futures contract chart for a particular symbol will not go back very far in time. When you look at a futures contract chart back in time to a point where that particular delivery month and year was not the actively traded one, the bars will look incomplete (may look like dashes) and have low-volume.

    Therefore, for accurate Volume Profiles at those points in time, it is necessary that at every chart bar the particular futures contract symbol data being displayed is the one that was active at that time. To do this, set the chart to a Continuous Futures Contract chart.
  9. It is essential that when using the Volume by Price study that the Chart >> Chart Settings >> Advanced Settings >> Continuous Contract setting is not set to one of the Back Adjusted settings. This will result in inaccuracies. Only use the Back Adjusted settings if you know that is what you want!
  10. Open the Study Settings window for the Volume by Price study you have on the chart. To do this refer to the Adding/Modifying Chart Studies section.
  11. Set the Ticks Per Volume Bar Input with the Volume by Price study to 1, since this is what is needed for maximum accuracy.
  12. Check the settings within the Volume by Price study which affect the starting Date-Time and the ending Date-Time of the Volume Profiles, to make sure they are set as you require.

    In the case of when the Volume Graph Period Type is set to Multiple Profiles Based on Fixed Time, then the time period of each profile is controlled by the Time Period Type for 'Fixed Time' and Time Period Length for 'Fixed Time' study Inputs.

    In this case the starting and ending times of the Volume Profiles are dependent upon the Session Times in Chart >> Chart Settings.
  13. Go through all of the other Volume by Price study Input settings to make sure they are correct.
  14. Press OK and OK to close the Study Settings and Chart Studies windows.
  15. In the case of a Historical chart, it could be missing data which will cause inaccuracies and differences with Volume Profiles. Refer to the Missing Data section about this. The most rapid way to download the missing data is to select Edit >> Delete All Data and Download.
  16. In the case of an Intraday chart, it could be missing which will cause inaccuracies and differences with Volume Profiles. To see if there is any missing data, scroll through the chart bars and manually verify all of the data is there.

    To ensure you have all the data, you will need to delete and re-download the data by going to the Intraday chart and selecting Edit >> Delete All Data and Download from the menu.

    However, this will not make a difference if you are using a substandard data feed. Unless you are using a known good data feed or the Sierra Chart Real-Time and Historical Exchange Data Feed, you might be using a substandard data feed, in which case all the re-downloading you do will not solve the problem. Sierra Chart works with many external Data and Trading services which provide data feeds that are not from Sierra Chart. Understand this basic fact.

Basic Volume Profile Troubleshooting Procedures

Follow the general troubleshooting instructions below to resolve a problem you may be having with Volume Profiles from the Volume by Price study.

  1. If the Volume Profile is not visible, then scroll through the chart across the time period it is for to see if it is visible. Refer to Scrolling the Chart.
  2. Check all of the Volume by Price Input Settings and review the documentation for them to make sure you understand them, they are set correctly and you understand exactly how they work.
  3. Look at each bar the Volume by Price study is based upon and make sure the data is present, correct and complete.
  4. Before bringing an issue to Sierra Chart support, you must follow through the above steps because it is you the user who is in a much better position to determine the source of the problem than Sierra Chart Support is.

    We do not know exactly what you are doing, we do not know what you expect to see and why, we cannot see all of the chart data, we do not know the Chart Settings, we cannot interact with the chart you have set up and we do not know the Volume by Price Study Settings you are using.

How Volume at Price is Calculated for Historical Daily and higher Timeframe Charts

When using the Volume by Price study on Historical Daily and higher timeframe charts (Weekly, Monthly, Yearly) opened with File >> Find Symbol >> Open Historical Chart, the accuracy of the Volume Profiles is significantly less than when using Intraday chart data.

The bars in a Historical Daily chart simply consist of Open, High, Low, Close, Volume values. These are known as Daily data record values. Higher timeframe charts (like Weekly, Monthly, Yearly) simply combine multiple Daily data record values to create higher time frames.

Therefore, the Volume at a price level within a Daily bar is simply the average volume per price based upon the price range of the Daily data and the Volume of that Daily data.

The average Volume at Price is calculated by dividing the Volume by the number of prices in the High to Low price range. The number of prices is based upon the Chart >> Chart Settings >> Tick Size multiplied by the Volume at Price Multiplier setting.

As you can tell, this is just an estimation which is significantly less accurate compared to an Intraday chart using tick by tick data. So the Point of Control and Value Area High and Low values will be different compared to what is obtained when using an Intraday chart.

Based upon the above volume calculation method, if there is no volume at a particular price level it will not be displayed in the Volume Profiles for Historical charts. You will see missing horizontal volume bars in this case which actually makes sense because there simply is no volume at that price level. This is done for performance reasons.

Draw Volume Profile

This section documents how to manually draw a Volume by Price study on the chart by using the Draw Volume Profile tool.

This lets you interactively draw a Volume Profile on the chart which adds a Volume by Price study for each Volume Profile that you draw. You are able to interactively set the Starting Date-Time and the Ending Date-Time of the Volume Profile.

Description

This drawing tool allows you to interactively insert a Volume by Price study for the highlighted time range.

In the case where you want Volume Profiles to repeat on the chart and have a specific time length per Volume Profile, you will need to directly add the Volume by Price study to the chart through Analysis >> Studies.

In this case, do not use the Draw Volume Profile tool. This tool has a special application and that is to interactively apply a Volume by Price study that covers a very specific Date-Time range.

Tool Usage

  1. This feature is available only on Sierra Chart Service Package 5. Therefore, you will need to change your account Service Package to 5 to access this functionality if you are not already on this Service Package.
  2. To select this tool, select Tools >> Draw Volume Profile on the menu. For other methods to select this particular Drawing Tool, refer to Selecting Tools.
  3. Left click on the chart with your Pointer at the bar where you want the Volume Profile to begin at. The Date-Time of that bar will be the starting time of the Volume Profile or the ending time if the second point is to the left of the first point.
  4. Move the Pointer to where you want the Volume Profile to end at. As you move the Pointer around the chart, you will notice an enclosing rectangle being drawn indicating the bounds of the Volume Profile to be inserted. Left click the Pointer again to set the ending Date-Time of the Volume Profile. In a chart you can use the Right Side Fill Space and click at a point to end the Volume Profile in this fill space. The right side fill space is also known as the forward projection area. As new bars are added to the chart, they will be included in the Volume Profile that you drew if it ends in the forward projection area.
  5. A Volume by Price study will be inserted that will cover the range between the two selected Date-Times.
  6. The images below show the enclosing rectangle while drawing a Volume Profile and inserted Volume by Price study.


Step by Step Instructions to Configure the Draw Volume Profile Tool

The study Input settings for the inserted Volume by Price study drawn with the Draw Volume Profile tool, can be preconfigured. Follow the instructions below.

  1. The very first step is to define a Study Collection which will be applied when the Draw Volume Profile tool is used.
  2. Select Analysis >> Studies.
  3. In the Studies to Graph list, select the Volume by Price study.
  4. Press the Add button.
  5. Press the Settings button.
  6. On the Settings and Inputs tab must set the Inputs as required. Refer to Volume by Price Input Settings.
  7. The Volume Graph Period Type Input with the Volume by Price needs to be set to one of the following:
    • From Start Date-Time to End Date-Time
    • From Start Date-Time To End
    It is recommended to use From Start Date-Time to End Date-Time.

    The Volume Graph Period Type Input with the Volume by Price study is limited to be either From Start Date-Time to End Date-Time or From Start Date-Time To End.
  8. For the purpose of the configuration, the Start Date, Start Time, End Date, and End Time Inputs are all overridden with the values from the drawn Volume Profile. So these do not need to be set. All other Input settings are taken as you have set them and will be saved in the Study Collection referenced by the Draw Volume Profile Tool configuration.
  9. Select the Subgraphs tab and set the Colors and Styles as required. Refer to Color and Width Settings.
  10. Press OK.
  11. In the Save Studies As Study Collection >> Name box, type a name to give the Volume by Price configuration.
  12. Press the Save Single button and confirm.
  13. Press OK.
  14. Select Global Settings >> Tool Configs >> Draw Volume Profile.
  15. Select one of the Load >> TC1-TC24 configurations to save the configuration being defined as that particular number.
  16. Select the name that you saved the Study Collection as above, in the Chart Study Collections list. If no valid Study Collection is specified, then the study defaults for the Volume by Price study are used. If a valid Study Collection is specified, then the first Volume by Price study found in the Study Collection is used to set the settings of the inserted Volume by Price study.
  17. Press OK. The configuration is now done at this point.
  18. Select Tools >> Draw Volume Profile on the menu.
  19. Select Tools >> Current Tool Config >> Config 1. The particular number you need to select will correspond to the TC1-TC24 configuration that you selected above.
  20. Proceed to draw the Volume Profile as explained in the Tool Usage section.
  21. For the full documentation for the Volume by Price study, refer to Introduction on this page.

Manually Drawn Volume Profiles That Automatically Extend to the Last Bar

To have a manually drawn Volume Profile drawn with the Draw Volume Profile drawing tool, automatically extend to the end, follow the below instructions.

  1. Add the Volume by Price study to the chart and open the Study Settings window for it. Refer to Adding/Modifying Study Settings for instructions.
  2. Set the Volume Graph Period Type Input to From Start Date Time to End.
  3. Set the Ticks per Volume Bar input to 1.
  4. Press OK.
  5. In the Save Studies As Study Collection >> Name box, type a descriptive name for the Volume by Price study configuration that you will use.
  6. Press the Save Single button.
  7. Press OK.
  8. Select Global Settings >> Tool Configs >> Draw Volume Profile.
  9. Select the TC# 1-8 configuration that you want to set. For more information, refer to Drawing Tool Configuration.
  10. In the Chart Study Collection list box, select the name of the Study Collection you saved above.
  11. Press OK.
  12. Select Tools >> Current Tool Config >> Config #. Choose configuration 1-8 depending upon which Tool Configuration (TC#) you set above.
  13. Follow the Tool Usage instructions above.

Erasing Drawn Volume Profiles

There are multiple ways to remove the Volume by Price study that has been inserted by using this tool.

  1. Select Analysis >> Studies on the menu. Select the particular Volume by Price study in the Studies to Graph list. You can identify it by the displayed Date-Time range. Press the Remove button. Press OK to save the changes.
  2. Right-click with your Pointer along the top Region Data Line of the chart. This is not the title bar, but rather where you see the symbol and chart values displayed at the top of the chart window. Select Remove from the displayed menu. Select a specific Volume by Price (VbP) study you want to remove from the menu list. You can identify it by the displayed Date-Time range.
  3. Erase the Volume Profile Chart Drawing. Refer to Erasing Chart Drawings section. All of those methods also apply to erasing Volume Profile Chart Drawings.

Draw Volume Profile Tool Related Settings

The following are global settings for Volume Profiles which are drawn with the Draw Volume Profile tool. These are set through Global Settings >> Tool Settings.

  • Enable Drawn Volume Profile Selection: When this option is enabled, then this allows Volume Profiles which have been drawn with the Tools >> Draw Volume Profile drawing tool to be selected on the chart in the same way as any other Chart Drawing can be. The Volume Profiles can be erased, adjusted, or moved.
  • Select Drawn Volume Profile by Outline Only: When this option is enabled, then a drawn Volume Profile in a chart can only be selected by the boundary near its outline rectangle. This makes it less likely to be able to be accidentally selected.

Drawing Tool Configuration

To set a default configuration for the Draw Volume Profile tool, refer to Step by Step Instructions to Configure the Draw Volume Profile Tool.

Programmatically Accessing Volume at Price Data

Volume At Price Data

When developing custom studies/indicators or trading systems in Sierra Chart, the Volume at Price data for each bar at each price level can be accessed programmatically.

When using the Advanced Custom Study Interface and Language (ACSIL), use the sc.VolumeAtPriceForBars ACSIL interface structure member to access the Total Volume, Bid Volume, Ask Volume, and Number of Trades data at each price level for each chart bar.

When using one of the Spreadsheet studies, set the Output Volume at Price Data Input to Yes to output this data to a Spreadsheet.

Accessing Volume by Price Calculated Values

There are numerous values that are calculated for Volume Profiles which can be displayed through the Chart Values Windows. For more information, refer to Viewing Volume Profile Text Information.

There is not programmatic access to any of these values other than the Value Area High (Subgraph 3) and Value Area Low (Subgraph 4) and Point of Control (Subgraph 2) values.

However, these Subgraphs are not set by the Volume by Price study when the study is used on a TPO Profile Chart unless the Set as Independent Volume Profile for TPO Chart Input is set to Yes.

The way to programmatically access these values when using ACSIL, is to reference the Volume by Price Study Subgraphs which contain those values. Refer to Using or Referencing Study/Indicator Data in an ACSIL Function.

These values can also be accessed using the Spreadsheet Study. When the Volume by Price study is on a chart, the Sheet columns containing these Subgraphs will be outputted beginning at column AA or after.

These values can also be accessed using Simple Alerts on studies and charts. Refer to Study/Chart Alerts And Scanning.

Historical Market Depth Data

Somewhat related to this, is the ability to access historical market depth data. For more information, refer to c_ACSILDepthBars.


*Last modified Thursday, 08th December, 2016.