Volume profile and TPO: audit how profiles are built

Reconstruct POC ties, value-area coverage, composite sessions, TPO counts and price-grid effects using original, checkable datasets.

Course outline

1. 1

   Volume profile POC: resolve equal-volume price levels

   Find every price row sharing the highest volume before a profile picks one POC. Test how a tie-breaking rule changes the displayed point of control.

   7 min

   In short: When several price rows share the highest volume, the data have no unique point of control; the displayed POC comes from a tie-breaking rule. In the example, 99 and 101 each hold 9 units: nearest-midpoint-then-lower picks 99, a highest-price rule picks 101.

2. 2

   Volume profile value area: calculate VAH, VAL and coverage

   Build a volume profile value area row by row. A 70-unit target can stop at 60 or 82, so report the actual coverage next to VAH and VAL.

   8 min

   In short: The value area starts at the highest-volume row and adds the larger adjacent row until a stopping rule ends it; with whole price rows, actual coverage need not equal the target. A 70% target can stop at 60% (VAL 100, VAH 101) or 82% (VAL 99, VAH 101).

3. 3

   Composite volume profile: merge sessions without duplicates

   Build a composite volume profile from aligned session rows. Check boundary trades and see why averaging session POCs gives the wrong answer.

   8 min

   In short: Build a composite volume profile by aligning session price rows and adding their volumes, then find the POC; averaging session POCs, even volume-weighted, generally misses it. Composite VWAP adds each session's price-times-quantity sum and total quantity before dividing.

4. 4

   TPO vs volume profile: compare time counts and traded size

   Build TPO and volume profiles from one ledger: most time blocks at 99, most volume at 101. Neither point of control is wrong; they measure different things.

   7 min

   In short: A TPO profile counts the time blocks in which each price traded; a volume profile adds the quantity traded there. From one ledger, 99 can have the most TPOs (3) while 101 has the most volume (12 units), without either profile being wrong.

5. 5

   Volume profile row size: test how price bins change the chart

   Rebuild one trade ledger with different bin widths and origins. Compare bucket-midpoint VWAP estimates with the exact trade-level calculation.

   8 min

   In short: Volume profile row size (bin width) and grid origin can move the largest bucket while total volume stays the same. In the example, 21 unchanged units put the maximum at [102,103), [100,102) or [101,103), while trade-level VWAP stays 2,129 ÷ 21 ≈ 101.380952.

Open full-size diagram

1. Volume profile POC: resolve equal-volume price levels
2. Volume profile value area: calculate VAH, VAL and coverage
3. Composite volume profile: merge sessions without duplicates
4. TPO vs volume profile: compare time counts and traded size
5. Volume profile row size: test how price bins change the chart

Educational material. Examples do not establish a profitable strategy. Trading costs, gaps and liquidation can produce losses beyond a planned stop.