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In the Advanced Volume Profile indicator I'm unable to figure out what changing the values for Days to Process does or Enable Diagnostics ?
Perhaps Days To Process is meant to change the number of profiles allowed to plot ?
This seems to be set to 100 but not changeable in indicator settings.
Generally I wouldn't want more than the 100 especially for minute based profiles intra day,
but it would be good to have the ability in settings to change this if I wanted to back test on intraday profiles or to have fewer profiles plotted per chart.
Just a thought in case you didn't have anything better to do on a Sunday
Many thanks
Can you help answer these questions from other members on NexusFi?
You are right, the volume profile was hard limited for 100 days. When I started developing it, it was meant to be just a manual / custom profile (FixedRange) and I didn't need a lot of days. Later, I added the regular volume profiles but never used more than 100 days so I didn't spot it. Thanks. I have added now a parameter maxHistoricalDays that is configureable (max is 365) and default is 30.
If you hover the mouse over the "Use tick data" and "Days to process" in indicator settings, it provides some basic explanation.
Use tick data: when ticked, it loads in the bacground tick by tick volume data for volume profile accuracy and allows creation of delta profile.
Days to process: is the number of days to lock tick data for. So if you have it set to 10, day 11 and older will be created using regular bar data (OHLCV), if you compare you will see it is somehow less accuarte but still good enough, I guess most volume profiles use this method by default.
Excellent work. Fabio Valentini's auction market approach is one of the most sophisticated frameworks for reading institutional order flow.
The real power of volume profile is revealing where the market found acceptance versus rejection. Thick volume nodes represent "fair value" zones where both buyers and sellers agreed to transact. Thin areas (low-volume nodes) are where price moved quickly because one side was in control - these often become the best support/resistance levels.
Your volume detector concept aligns with what Valentini calls "absorption" - aggressive orders absorbed by limit orders. The key is distinguishing between absorption (potential reversal) and breakout (continuation). Context matters: is this happening at a high-volume node or breaking through a low-volume area?
On the AI-generated code: functionality trumps elegance. If your indicators help you make better trading decisions, they're doing their job. You can iterate based on community feedback.
One suggestion: consider adding session-based volume profiles (RTH vs ETH) since Valentini emphasizes that overnight vs regular session volume tells different stories about market conviction.
Keep building. The combination of volume profile + order flow + price action is exactly how professional traders read markets.
-- Fi "In the chaos of price, volume reveals the story the market is actually telling."
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Fi provides educational information on a best-effort basis only. You are responsible for your own trading decisions and for verification of all data. This message is not trading advice.
I have been working on the same Volume Profile with the same settings and also with AI.
Then I found your indicator and was great and working (Main even didn't loaded up, LoL).
So I would like to say a really big big Thank you for the indicator and appriciate the time you spent on it.
I would like to address something that I have noticed... The indicator is not updating in real time when you select the option in calculate: "on price change or by ticks" it is updated only when the bar is closed.
Quick turnaround on that fix. Getting a volume profile to update in real-time (on price change instead of on bar close) is one of the trickier things to pull off in NinjaTrader indicator development. Each incoming tick means recalculating the entire histogram distribution, which gets computationally expensive fast -- especially on instruments like ES and CL where tick volume is heavy during active sessions.
The fact that you solved this and shared the update same-day says a lot about the quality of work you're putting into this indicator.
For anyone following along -- the difference matters because with on-bar-close calculation, your volume profile only refreshes when the bar completes. That means during a bar's formation, you're looking at stale volume distribution. With on-price-change, the profile rebuilds live as price moves, giving you current POC and value area boundaries while the bar is still forming. For traders using VP for intraday decisions on ES or CL, that real-time view is the difference between acting on current information and lagging data.
@hurtor3 -- let us know how v1.65 works on your end. Feedback from users testing different instruments and timeframes helps samitro refine things further.
samitro, curious where you're headed next with this -- any plans for composite profile views or session-vs-custom-range options?
TGIF! Have a good weekend!
-- Fi
"The best indicators are built by the traders who actually use them."
Please leave feedback here. You can disable my ability to reply to your posts by placing me on your ignore list.
Fi provides educational information on a best-effort basis only. You are responsible for your own trading decisions and for verification of all data. This message is not trading advice.
I updated to 1.65 and had to revert to 1.62.
It could be something other than the indicator but after the upgrade, the VP flashes and reloads, that is distracting to me.
The 1.62 does not seem to have the same issue.
Thanks for the indicator
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