VolumeEdge: Documentation

1. Volume Profile

The Volume Profile is a highly advanced charting indicator that displays the aggregated trading activity over a specified time period at specific price levels.

Unlike free platforms that estimate Volume Profiles using coarse daily or hourly candles (resulting in large errors), we process the raw 1-minute interval bars behind the scenes to ensure maximum precision.

A. The Distribution Algorithm

For each 1-minute bar in your selected query range, we do not simply assign its entire volume to its closing price. Instead, we distribute the volume uniformly across a precise decimal price grid spanning from the bar's Low to its High:

• Dynamic Tick Size:
  • If stock price > $500.00, the tick size (price interval) is set to $0.50.
  • If stock price <= $500.00, the tick size is set to $0.05.
• Price Grid Generation:
  Start Price = ⌊Low / Tick Size⌋ × Tick Size
  End Price = ⌈High / Tick Size⌉ × Tick Size
  We generate a decimal grid of price levels between the Start Price and End Price.
• Uniform Allocation:
  Volume Per Price Level = Total Volume / Number of Price Levels in Grid
• Aggregation:
  We sum the allocated volumes at each price level across all 1-minute bars in your selected range (up to 90 days) to construct the horizontal histogram.

B. Core Metrics Automatically Labeled

• Point of Control (POC): The exact price level containing the absolute highest aggregated volume.
• Value Area (VA): The price range centered around the POC that contains exactly 70% of the total session volume.
  • Value Area High (VAH): The upper boundary of this 70% zone.
  • Value Area Low (VAL): The lower boundary of this 70% zone.

2. Cumulative Volume Delta (CVD)

Cumulative Volume Delta (CVD) measures the cumulative net difference between aggressive buying (market buys hitting the ask) and aggressive selling (market sells hitting the bid). It is the ultimate tool for identifying institutional absorption and divergence.

Our CVD is calculated with 1-minute resolution and is anchored directly to the start of your selected chart range, forcing the baseline to begin at $0.

A. The Candle-Body Position Algorithm

Since we process 1-minute bars instead of raw tick feeds to maintain fast loading times, we use a highly precise intra-bar price location algorithm to determine the buying/selling ratio:

• Calculate the Buying Ratio (R_buy):
  R_buy = (Close - Low) / (High - Low)
  (If High == Low, we assume R_buy = 0.5)
• Calculate the Net Volume Delta (Δ_vol):
  Δ_vol = Volume × (2 × R_buy - 1)
  • - If a bar closes near its High (strong green bar), Δ_vol is highly positive (Buying).
  • - If a bar closes near its Low (strong red bar), Δ_vol is highly negative (Selling).
• Calculate Cumulative Sum (Anchored CVD):

  Starting from the very first minute of your selected range (CVD₀ = 0), we cumulatively sum these 1-minute deltas over the session:

  CVD_t = CVD_t-1 + Δ_{vol, t}

B. Trading Mindset: Spotting Divergence

When a stock's price is making lower lows (falling) but the CVD line is making higher lows (rising), it represents a Bullish Divergence.

This is the mathematical signature of institutional buyers using passive limit orders to absorb all panic selling at key support zones.

3. Volume Weighted Average Price (VWAP)

VWAP is the single most watched indicator by institutional algorithms and mutual funds. It represents the "fair price" of the asset throughout the trading session based on actual volume transacted.

Unlike moving averages (SMA/EMA) which rely on arbitrary sliding windows (like 9 or 50 periods), VWAP has no period parameters because it is a cumulative transaction-based calculation.

A. The Core Formula

For any given trading day, starting from the market open at 09:30 AM EST, we accumulate the volume and price at each 1-minute bar:

(Where Typical Price = (High + Low + Close) / 3)

B. Daily Session Reset

To maintain institutional accuracy, our VWAP automatically resets to 0 at exactly 09:30 AM EST every morning.

It is displayed strictly on intraday timeframes (1m to 1h) and acts as a major dynamic gravity line (support and resistance).