Rolling Volume Profile: a volume box for every swing

Rolling Volume Profile draws a trail of boxes across the chart. Each confirmed swing starts a new box, and the box takes its high, point of control and low from the volume traded in the last few bars. The box then stays on the chart until the next swing, with a histogram of everything that traded while it ran.

What Rolling Volume Profile is

A session volume profile gives you one picture for the whole day. Rolling Volume Profile builds a new picture after every swing. Each time the market makes a swing high or swing low that is strong enough, the indicator closes the running box and opens a new one. The chart ends up divided into boxes of different lengths, one per swing, each with its own volume picture.

The three prices of a box are fixed at the moment the box starts. The indicator adds up the volume per price of the last Map bars bars (7 by default), finds the price with the most volume, and expands out from that price until Value area % of the volume (70 by default) is inside. The busiest price is the point of control. The top and bottom of the expanded range are the box high and box low.

A box does not end because price leaves it. A close outside the box is a breakout, and the box keeps running until the next swing is confirmed. While it runs, every bar adds its volume to the box histogram.

How a swing starts a box

The swing rule has two parts, and both must hold.

• The pivot. A swing high is a bar whose high is the highest high of the last Swing bars bars (7 by default), followed by a bar with a lower high. A swing low is the mirror: the lowest low of the window, followed by a bar with a higher low.
• The size of the move. The move into the swing, measured from the opposite extreme of that window, must be large compared with the average bar range of the window. Signal strength sets how large: 1 is weak, 2 is medium, 3 is strong. Small wiggles inside a range do not start a box.

The bar that confirms the swing is the first bar of the new box. The previous box ends on the bar before it.

How to read it on the chart

Read a box in two steps. First look at the three lines: they tell you where value was when the swing turned. Then look at the histogram: it tells you where the volume went afterwards. A histogram that stays between the lines means the market kept trading at that value. A histogram that grows mostly outside the lines means price moved on and built volume somewhere else.

Three ways to use it

Trade back to the point of control

When price leaves a box, stalls, and comes back inside, the point of control of that box is the natural reference. It is the price with the most traded volume in the bars that defined the box, so it is a reasonable first target for a move back into value.

Judge a breakout by the histogram

A box stays on the chart after price breaks out of it, and the histogram keeps counting. If the rows outside the box stay short, little volume backed the breakout. If the rows outside grow long while the rows inside stop growing, volume followed price. The colour split makes this easy to see.

Use the previous box as a level

Finished boxes stay where they are. The high, low and point of control of the last one or two boxes are levels that came from real traded volume. Compare them with the levels you already watch on a session Volume Profile or in Market Structure. Where two tools mark the same price, that price deserves attention.

How to add it in SabrTrader

1. Open a chart of the instrument you trade, on a connection that delivers order-flow data.
2. Open the indicator list and search for Rolling Volume Profile. It is in the order-flow category. Add it to the chart. It draws on the price panel.
3. Use the toolbar dropdown. The indicator adds a Rolling VP dropdown to the chart toolbar. From there you can switch the histogram, the box high and low and the point of control on and off, change the four box settings and pick the five colours without opening the settings dialog.
4. Tune the box size. If you get too many short boxes, raise Signal strength or Swing bars. If the boxes are too long for your chart, lower them.

Settings reference

Boxes

Display

Colors

The indicator also keeps three hidden output series, PointOfControl, ValueAreaHigh and ValueAreaLow, with the levels of the running box on every bar.

Which markets and data it needs

Rolling Volume Profile is an order-flow indicator. It reads the volume traded at each price inside every bar, so it needs a connection that delivers tick-level trade data. SabrTrader builds that data from feeds such as Rithmic, dxFeed, Databento, IQFeed and Interactive Brokers. Bars that arrive without volume at price add nothing to a box, and a box cannot start from bars that carry no volume at price.

The swing test works on the highs and lows of the chart bars, so the bars you pick decide the scale of the boxes. Small bars give short boxes that follow each intraday swing. Larger bars give fewer and bigger ones.

Frequently asked questions