Volume profile versus TPO market profile

A volume profile and a TPO market profile both draw a sideways histogram against price, but they count different things. A volume profile counts the contracts traded at each price. A TPO profile counts time. TPO stands for time price opportunity, and one TPO marks that price traded during one time period. This note builds both profiles from one invented ES session in Liquivue and shows where their points of control split. The note on the point of control explained with one session covers the volume POC alone.

What each profile counts

A volume profile adds the size of every trade at its price. A row that traded 31,000 contracts is twice as long as a row that traded 15,500.

A TPO profile splits the session into periods, often 30 minutes each, and gives each period a letter. For each period, it marks every price row that traded at least once. A row that traded in four periods gets four TPOs. One contract or ten thousand contracts in a period count the same, as one TPO.

The data each one needs also differs. A TPO profile needs only the high and low of each period. A volume profile needs volume at each price, which comes from trade data.

The example session

All numbers below are invented. The market is the E-mini S&P 500 future, ES, from 9:30 to 12:30 New York time. That gives six 30-minute periods, lettered A to F. The rows are one point tall, four ticks of 0.25 each.

The session holds 19 TPOs and 101,000 contracts.

Where the two POCs land

The TPO point of control is 5,049. It is the only row that traded in all six periods.

The volume point of control is 5,047, with 31,000 contracts. Only two periods traded there. In period A, the opening drive traded 13,000 contracts at 5,047. In period F, a fast drop traded 18,000 more. Between those bursts, price spent four periods above 5,047.

The two POCs sit 2 points apart, or 8 ticks. The TPO profile shows where price spent the most time. The volume profile shows where the most contracts changed hands. Write down which one you mean when you record a POC.

How the shapes differ

The TPO profile is fattest in the middle, at 5,049, and thins out at both ends. The volume profile has its longest row near the bottom, at 5,047, and a short row at 5,051.

A reader who saw only the TPO profile would call 5,049 the busiest price. A reader who saw only the volume profile would call it 5,047. The value areas also move with the count. The note on value area calculation step by step shows how the 70 percent rule builds outward from whichever POC the profile uses.

Both profiles in Liquivue

Liquivue has a docked HTF chart with TPO profiles and 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, set the HTF chart to 30-minute candles and turn on the TPO profile. The longest TPO row sits at 5,049 with six periods. Switch the same chart to a daily volume profile, and the longest row moves to 5,047 with 31,000 contracts.

Then move the crosshair to 5,047 during period F. The Liquivue heatmap at that time shows the trade bubbles from the fast drop, sized by contracts traded. Those bubbles are the 18,000 contracts that put the volume POC at 5,047. The heatmap also has its own volume and delta profiles with a VPOC, so you can check the volume count against the bubbles that built it.

TPO and volume profiles on other platforms

ATAS lists Market Profile and TPO on all of its plans, and live futures need its Pro plan at €69.95 a month. Exocharts lists TPO alongside volume and delta profiles. Quantower includes TPO in its All-in-One licence at US$70 a month, and its Multi-Asset licence leaves TPO out. Sierra Chart lists TPO charts. The cost audit lists Liquivue at €20 a month, with market data extra on every platform here.

Each platform sets its own period length, row size and session hours. Two TPO profiles built with different periods can disagree as much as the two profiles in this note.

A check you can run

Take your last full session. Write down the TPO point of control and the volume point of control, and count the ticks between them. Do this for five sessions. If the gap is more than 4 ticks on most days, label every POC you record as TPO or volume.