Research method
Volume profile
Volume profile is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The graph3
How the method is built, and where it has been read
Depends on
Often reviewed together
Order flow analysis4 readings
Often reviewed together
Session analysis5 readings
Often reviewed together
Market profile19 readings
Read in the archive24 of 28 readings
1987Intraday Value Area construction from TPO counts1988Constructing a value area from TPO, volume, and order flow1988Constructing Value Area trends from half-hour auction profiles1988Volume value area versus time-print filters1988Auction control from a price, volume, and time ledger1988Constructing intraday trade-facilitation percentile tables1988Constructing auction structure with volume as a clock1988Constructing session decisions from auction age and volume1989Range extension after the opening auction1989Constructing value maps from auction volume overlays1990Incomplete volume-at-price samples and auction reads1990Constructing overlay profiles to map auction value1990Constructing daily overlay profiles for auction brackets and breaks1992Volume-box construction with named spreadsheet macros1993Commercial volume caps outside the value area1993Hourly participant volume as a live filter for day trades1999Assembling the daily auction from time-price opportunities2000Who accepted price first in the auction2002Auction structure, trader constraints, and the opening range2005Decaying volume bands as leftover auction inventory2007Market Profile as auction context for inventory imbalance2008Constructing equal-volume and open-interest auction zones2010Building volume profile maps for support and resistance2010Constructing daily volume-profile breakout levels
This registry entry describes a research method. It is not investment advice and does not make a performance claim.