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This is an extremely good question, and I am not the one to answer it, because I don't use volume profile.
But the reason the profile changes, if it includes previous trading days, is that on rollover, the new front month has much lower volume for that one day than the old front month did, drastically changing anything related to volume.
Example: ES rolled, using the calendar date rollover method, on Sept. 10. The ESU20 (Sept 2020) contract had much more volume on that day than the new front month of Dec 2020 (ESZ20.) The volume usually shifts by the next day, and some traders wait until then to move to the new contract. After that, the U20 will decline in volume quickly while the Z20 gets most of the trading. After the roll, you are seeing the Dec contract's volume on Sept 10, which was much lower than the Sept contract's volume for that day, so anything volume-based will have to be different. (All this assumes you are using the "continuous" contract, which is an artificial construction that splices together different contracts.)
As I said, I don't use volume profile, so it had not occurred to me that it would be affected, but it obviously would. I do use a volume chart, and after rollover the old front month suddenly is extremely truncated on rollover day -- much fewer bars -- due to the volume change in the new contract.
After all that, I hope someone who does use VP will come in and properly answer the question of what to do abouit it.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
Bumping this in hopes that someone has a good answer.
Seems suspect to use a longer term composite volume profile (as much as I'd love to) when this could potentially vary from trader to trader depending on how they or their platform handle/handles rollover.
A continous-contract with "not back-adjusted" data would solve your problem, but not sure if NT supports these contracts and data. I use TradeNavigator and there I get these charts.
