Developing profiles and why the POC moves

A developing volume profile is a profile of the session in progress, and its point of control moves as trades arrive. The point of control, or POC, is the price where the most contracts have traded during the period. The note on the point of control explained with one session found the POC of a finished session. This note follows the POC through one invented ES session in Liquivue and shows why it jumps.

How a developing profile grows

The platform starts the profile at the session open with no volume. Each trade adds its contracts to the row at its price. At any moment, the busiest row is the developing POC.

The POC moves only when another row passes it. A row passes the POC when trades at that row's price add more contracts than trades at the POC's price, by more than the gap between them. A row gains volume only while price trades at it, so the POC moves to the prices where the most contracts trade.

The example session

All numbers below are invented for the example. The market is the E-mini S&P 500 future, ES, with one row per 0.25 tick. The table shows the four busiest rows of the session, with the contracts traded at each price by four times of day.

Reading the POC at each time

At 9:45 the POC is 5,060.50 with 4,100 contracts. The runner-up, 5,060.25, is 200 contracts behind. A single 201-lot at 5,060.25 would have moved the POC down one tick.

Between 9:45 and 10:30, price fell about 4.5 points and traded around 5,056.00. That row gained 7,200 contracts while 5,060.50 gained 3,100. At 10:30, 5,056.00 leads with 7,800 against 7,200, and the POC has jumped 18 ticks down in one step. No price between the two rows was ever the POC.

At 12:00 the POC is still 5,056.00, and 5,055.75 is 300 contracts behind. At 16:00, 5,055.75 has passed it by 300 contracts, and the final POC is one tick lower.

Why early moves are larger

The share of the session that a fixed number of contracts represents falls as the session grows. At 9:45, a 200-contract gap is 0.33% of the 60,000 traded. At 16:00, a 300-contract gap is 0.07% of 410,000. A row needs more volume to overtake late in the day, because every row has had longer to collect contracts.

Read the two kinds of move separately. The 18-tick jump at 10:30 happened because price spent time at a new level. The one-tick move at 16:00 happened because two neighbouring rows were nearly level all afternoon. A one-tick change between two rows that are nearly level tells you less than a jump to a new level. Check the runner-up count before you log either.

What the developing POC does not show

The developing POC records where the most contracts traded so far. It does not say which side was aggressive at that price or whether price will return to it. A delta profile adds the side. It prints, for each row, contracts bought at the ask minus contracts sold at the bid.

The same session in Liquivue

Liquivue draws a volume profile beside its futures heatmap and marks the VPOC on it. At 10:30 in this example, the VPOC marker sits at 5,056.00. The 5,060.50 bar is 600 contracts shorter and 18 ticks above it. Liquivue also lists delta profiles, so you can check whether buyers who lifted the offer or sellers who hit the bid traded more contracts at 5,056.00 during the move.

The heatmap beside the profile shows the resting size at 5,056.00 while those 7,800 contracts traded. The profile counts the contracts that traded. The heatmap shows the size resting on the bid and offer. Liquivue's docked HTF chart adds daily, composite and custom volume profiles, which the note on session and composite profiles covers. This site has not verified whether Liquivue plots the developing POC as a line through the session, so write down the VPOC price at fixed times if you want the history.

Developing profiles on other platforms

ATAS, Sierra Chart and NinjaTrader all list volume profiles. Session start times and row size are settings on each one. Match both before you compare a developing POC across two platforms. The glossary defines the profile terms used here.

A check you can run

Write down the developing POC and the runner-up count at 9:45, 10:30, 12:00 and the close for five sessions. Mark each POC change as a jump of more than 4 ticks or a step of 1 to 4 ticks. Count how many of each you logged before you read meaning into a POC move.