· VOLUME PROFILES
Session profiles and composite profiles
A session profile counts one session's volume at each price, and a composite adds several. Three ES sessions in Liquivue show how the POC changes.
SHORT ANSWER
A session profile counts the contracts traded at each price during one trading session. A composite profile adds the volume at each price across several sessions into one profile. The composite's point of control can differ from each session's own POC, and sessions with more volume count for more. Liquivue's docked HTF chart has daily, composite and custom volume profiles for futures.
A session profile counts the contracts traded at each price during one trading session, and a composite profile adds those counts across several sessions. This note builds three session profiles and one composite profile from the same ES numbers, then shows how the point of control moves when the window changes. The point of control, or POC, is the price with the most traded volume. The note on the point of control explained with one session found it inside a single session.
What a session profile counts
A session profile starts at the session open and stops at the session close. For the E-mini S&P 500 future, ES, two session choices are common. The regular session runs from 09:30 to 16:00 ET. The CME trading day runs from 18:00 ET to 17:00 ET the next afternoon. The two choices count different trades, so they can draw different profiles for the same date.
Each session profile counts only that session's trades. Monday's profile leaves out every trade from Tuesday.
What a composite profile adds
A composite profile takes the volume at each price from several sessions and adds the numbers together. The result is one profile for the whole window. A composite does not average the sessions. It sums them, so a session with more volume moves the composite more.
Three sessions and their composite
Here are invented regular session totals for ES over three days, grouped into one-point rows. Each row holds four ticks of 0.25.
| Price row | Monday | Tuesday | Wednesday | Composite |
|---|---|---|---|---|
| 5,045 | 2,000 | 9,000 | 3,000 | 14,000 |
| 5,044 | 4,000 | 14,000 | 5,000 | 23,000 |
| 5,043 | 9,000 | 11,000 | 8,000 | 28,000 |
| 5,042 | 15,000 | 6,000 | 9,000 | 30,000 |
| 5,041 | 11,000 | 3,000 | 12,000 | 26,000 |
| 5,040 | 5,000 | 1,000 | 13,000 | 19,000 |
Monday traded 46,000 contracts in these rows, Tuesday 44,000 and Wednesday 50,000. The composite holds 140,000.
Reading the four POCs
Each session has its own POC.
- Monday's POC is 5,042 with 15,000 contracts.
- Tuesday's POC is 5,044 with 14,000 contracts.
- Wednesday's POC is 5,040 with 13,000 contracts.
The composite POC is 5,042 with 30,000 contracts. It matches Monday's POC, but Tuesday traded only 6,000 contracts at that price. The composite POC marks where the most volume traded across three days. It does not mean that each day traded most at 5,042.
The runner-up in the composite is 5,043 with 28,000 contracts. The gap is 2,000 contracts, or 1.4% of the composite. A small change in the window could swap the two rows.
How the window moves the composite POC
Drop Monday and build the composite from Tuesday and Wednesday alone.
| Price row | Tuesday and Wednesday |
|---|---|
| 5,045 | 12,000 |
| 5,044 | 19,000 |
| 5,043 | 19,000 |
| 5,042 | 15,000 |
| 5,041 | 15,000 |
| 5,040 | 14,000 |
Now 5,044 and 5,043 tie at 19,000, and the old POC at 5,042 falls into a tie for third with 5,041 at 15,000. One session left the window and the POC moved up by one or two rows, depending on the platform's tie rule. The trades in the other two sessions did not change.
The same thing happens when a heavy session joins. A day with twice the usual volume can move the composite POC to that day's busiest price. Before you compare two composites, check that they cover the same sessions and the same session hours.
Session and composite profiles in Liquivue
Liquivue has a docked HTF chart with daily, composite and custom volume profiles. The HTF chart is a linked candle chart that sits beside the Liquivue heatmap, and it shares the heatmap's instrument and crosshair. For this example you would set the HTF chart to daily candles and turn on daily profiles. The chart then draws three profiles, with the longest bars at 5,042, 5,044 and 5,040. Switch to a composite profile over the same three days, and the longest bar sits at 5,042, and the 5,043 bar is 2,000 contracts shorter.
The Liquivue heatmap next to the HTF chart has its own volume and delta profiles with a VPOC, and it shows resting size, which a profile leaves out. Suppose on Thursday morning the heatmap shows 600 contracts resting on the bid at 5,042.00. The composite counts the contracts that traded at that price over the past three days. The heatmap shows the size resting there now.
Composites on other platforms
ATAS and Sierra Chart list volume profiles. Exocharts lists volume and delta profiles with TPO. Each platform sets its own session hours and row size, and the note on value area calculation step by step shows how those settings carry into the value area.
A check you can run
Build a composite of your last three sessions and write down its POC and contract count. Then drop the oldest session and add today's. If the POC moves by more than two rows, write the session window next to any composite POC you record, because the number depends on that choice.
Questions
What is a composite volume profile?
A composite volume profile adds the contracts traded at each price over several sessions and draws the totals as one profile. Its longest bars mark the prices where the most contracts traded across that whole window.
What is the difference between a session profile and a composite profile?
A session profile covers one trading session. A composite covers several sessions added together, so its point of control and value area describe the whole window, not any single day.
How many days should a composite profile cover?
No number is correct for every question. Write down the window you chose, because adding or dropping one session can move the point of control, as the example in this note shows.
Does Liquivue have composite volume profiles?
Yes. Liquivue's docked HTF chart has daily, composite and custom volume profiles. The HTF chart is a linked candle chart that sits beside the Liquivue heatmap and shares its instrument and crosshair.
Educational content about market data and charting software. It is not trading or investment advice. Trading involves risk.