High volume nodes and low volume nodes explained

High volume nodes and low volume nodes are the peaks and troughs of a volume profile. A volume profile is a histogram of the contracts traded at each price over a period. A high volume node, or HVN, is a price area where the profile shows a local peak. A low volume node, or LVN, is a local trough between two peaks. This note builds both from one invented ES session in Liquivue, then shows how row size changes the result. The note on what a volume profile measures covers the profile itself.

Two rules for finding nodes

Traders read nodes by eye, but a written rule gives the same answer every time. This note uses two rules.

1. A row is an HVN if its volume is at least 1.5 times the average row and higher than both rows next to it.
2. A row is an LVN if its volume is at most 0.5 times the average row, lower than both rows next to it, and it sits between two HVNs.

The thresholds of 1.5 and 0.5 are choices, not a standard. Pick your own, write them down and keep them the same for every session you compare.

One ES session, row by row

All numbers below are invented. ES is the E-mini S&P 500 future. Each row in this profile covers 1 point, which is 4 ticks.

The session traded 33,800 contracts across 12 rows, so the average row holds about 2,817.

5,048 passes the HVN rule. It holds 5,200 contracts, which is 1.85 times the average, and both neighbours hold less. 5,042 passes too, with 6,100 contracts. It is also the point of control, the row with the most volume. The note on the point of control covers that row on its own.

5,043 holds 4,300 contracts and clears the 1.5 threshold, but it fails the HVN rule because 5,042 next to it holds more. It belongs to the same peak.

5,045 passes the LVN rule. It holds 700 contracts, a quarter of the average, both neighbours hold more, and it sits between the HVNs at 5,048 and 5,042. The rows at 5,051 and 5,040 are also small, but they sit at the ends of the profile and not between two peaks, so the rule does not count them.

The two peaks hold 80 percent of the session's volume. Rows 5,047 to 5,049 hold 13,200 contracts, or 39 percent. Rows 5,041 to 5,043 hold 14,000, or 41 percent. The LVN row holds 2 percent.

How row size changes the nodes

Group the same session into 4 point rows and the profile has three rows.

The average row is now about 11,267. The middle row holds 0.67 times the average, which fails the 0.5 rule, so the LVN is gone. The 4 point row adds the 700 contracts at 5,045 to 6,900 contracts from the rows around it. No row reaches 1.5 times the average either, so the profile has no HVN by these rules. The trades did not change. Only the row size did.

The same session in Liquivue

In Liquivue the volume profile sits beside the heatmap layer, and the VPOC marks 5,042. The profile and the heatmap use one price axis, so the row at 5,045 sits level with the resting orders at 5,045.00.

In this example the heatmap shows 120 contracts resting at 5,045.00 at 13:00 and 410 at 5,042.00. The LVN is a price where little traded, and at 13:00 it also held less resting size than the HVN below it. The profile shows where trades happened. The heatmap shows where orders rested. Neither says what price will do next.

The docked HTF chart in Liquivue adds composite volume profiles. A five session composite may fill in the 5,045 trough if other sessions traded heavily there. The note on session profiles and composite profiles shows how a composite changes a profile's shape.

Volume profiles on other platforms

ATAS builds its workspace around cluster charts and volume profiles. Bookmap lists volume profiles among its workflows. Liquivue puts the volume profile, delta profile, VPOC and heatmap in one browser workspace for futures, at €20 a month after a 7-day trial. The rankings page compares the platforms on evidence.

A check you can run

Export or copy the volume at each row for yesterday's ES session. Work out the average row. Mark each row that passes the HVN rule and each that passes the LVN rule. Then double the row size and repeat the count.