mzVolumeProfile
The mzVolumeProfile indicator displays horizontal volume distribution across price levels overlaid on the NinjaTrader chart. It supports Volume Profile, TPO (Market Profile), and combined VP+TPO modes. Profiles can be created per session, daily, weekly, monthly, or by custom criteria, with up to 3 independent stacked profiles on the chart right margin.
Data required: Level 1 (tick data). Tick Replay is optional — enable for precise delta on historical data, or disable and use Minute accuracy for faster loading.
Key Features
- Multiple profile creation modes — Session, Daily, Weekly, Monthly, Quarterly, Yearly, Composite, Custom, Volume-based, Delta-based, Tick-based, Continuous, RTH/ETH
- 3 profile views — Ladders, Area, Contour
- 4 profile types — Volume, BuySell, Delta, VolumeDelta
- TPO (Market Profile) with letters/blocks, Initial Balance, halfback, open/close markers
- POC and Value Area (VAH/VAL) with 6 level modes — Off, On, Naked, Extended, Developing, DevelopingNaked
- VWAP with configurable standard deviations
- 3 TPO level groups with 10 level types each (Open, Close, High, Low, Mid, IB High, IB Low, TPO POC, TPO VAL, TPO VAH)
- 3 independent stacked profiles on the chart right margin
- Profile statistics — Volume, Delta, High/Low, Range, POC, VAH/VAL, VWAP, Begin/End, TPOs
- Custom profiles with mouse interaction — add, divide, merge, unmerge, split
- 5 color modes — Solid, Saturation, Heatmap, GrayScaleHeatmap, Custom
- Profile accuracy — Tick (precise) or Minute (fast)
- Working time filter with start/stop time
- Custom S/R levels with alerts (licensed builds)
Profile Creation Modes
| Mode | Description |
|---|---|
| Session | One profile per trading session |
| Daily | One profile per calendar day |
| Weekly | One profile per week |
| Monthly | One profile per month |
| Quarterly | One profile per quarter |
| Yearly | One profile per year |
| Composite | Cumulative profile for all chart data |
| Bar | One profile per bar |
| Bars | One profile per N bars (set N via Creation value) |
| Sessions | Cumulated profile for N last sessions (stacked profiles only) |
| Days | Cumulated profile for N last days (stacked profiles only) |
| Weeks | Cumulated profile for N last weeks (stacked profiles only) |
| Months | Cumulated profile for N last months (stacked profiles only) |
| Volume | New profile when cumulative volume reaches Creation value |
| Delta | New profile when cumulative delta reaches Creation value |
| Tick | New profile every N ticks |
| Custom | Manually add profiles with mouse click |
| Continuous | Single continuous profile — use with Working time filter |
| RTH_ETH | Separate profiles for RTH and ETH sessions |
| None | No profile |
Profile Views
| View | Description |
|---|---|
| Ladders | Horizontal histogram bars showing volume at each price level |
| Area | Filled area shape |
| Contour | Outline only |
Profile Types
| Type | Description |
|---|---|
| Volume | Total volume histogram |
| BuySell | Separate buy and sell volume ladders |
| Delta | Bid/ask delta histogram |
| VolumeDelta | Volume ladders colored by delta direction |
| None | Profile hidden |
Color Modes
| Mode | Description |
|---|---|
| Solid | Uniform color for all ladders |
| Saturation | Color intensity scales with value — higher values are more saturated |
| Heatmap | Multi-color gradient from cool to hot |
| GrayScaleHeatmap | Monochrome intensity gradient |
| Custom | User-defined color thresholds — Percent or Value based |
Custom Color Mode
When Color mode is set to Custom, you choose between two sub-modes:
Percent — 10 percentage-based tiers, each with its own color. Each ladder is colored based on its value as a percentage of the profile's maximum:
| Tier | Default Color |
|---|---|
| 0–10% | DarkRed |
| 10–20% | Red |
| 20–30% | Chocolate |
| 30–40% | DarkOrange |
| 40–50% | Orange |
| 50–60% | Yellow |
| 60–70% | Green |
| 70–80% | LightGreen |
| 80–90% | Teal |
| 90–100% | DodgerBlue |
Value — 5 absolute value thresholds:
| Threshold | Default Color |
|---|---|
| >= 0 | DarkRed |
| >= 1,000 | Red |
| >= 10,000 | Orange |
| >= 20,000 | Yellow |
| >= 40,000 | DodgerBlue |
Settings Reference
Common
| Setting | Default | Description |
|---|---|---|
| Chart profiles | VP | Profile type displayed on chart — TPO, VP, VP_TPO, or None |
| Chart profile mode | Session | How profiles are created (see Profile Creation Modes) |
| RTH begin | 08:30 | Regular Trading Hours start time |
| RTH end | 15:15 | Regular Trading Hours end time |
| ETH | true | Enable Extended Trading Hours |
| ETH begin | 17:30 | Extended Trading Hours start time |
| ETH end | 08:30 | Extended Trading Hours end time |
| Profile creation value | 5 | Creation threshold for value-based modes (Volume, Delta, Tick, Bars) |
| Session break | true | New session breaks profile when mode = Bars |
| Profile accuracy | Tick | Tick (precise, slower) or Minute (fast, approximate) |
| Ticks per level | 1 | Price level aggregation — set to 2+ to merge adjacent levels |
| Border | true | Show profile border |
| Border | Cyan, Dot, 1px | Border line style |
| Background | false | Show profile background fill |
| Background | DarkSlateBlue | Background color |
| Background opacity, % | 10 | Background transparency |
| Buttons | true | Show toolbar buttons |
| Buttons font | Montserrat, 10pt | Toolbar button font |
Volume Profile
| Setting | Default | Description |
|---|---|---|
| Profile type | Volume | Volume, BuySell, Delta, VolumeDelta, or None |
| Profile view | Ladders | Ladders, Area, or Contour |
| VA, % | 68 | Value Area percentage |
| Show last N profiles | -1 | Show only last N profiles (-1 = all) |
| Position | Left | Profile placement — Left, Right, or RightOnChartMargin |
| Width, % | 50 | Profile width as percentage of bar space (-100 to 100) |
| Relative width | false | Scale width of profiles relative to each other across all chart profiles |
| Profile: left margin, px | 0 | Left margin in pixels |
| Profile: right margin, px | 10 | Right margin in pixels |
| Color mode | Solid | Solid, Saturation, Heatmap, GrayScaleHeatmap, or Custom |
| Custom color mode | Percent | Percent (10 tiers) or Value (5 thresholds) |
| VA color | RoyalBlue | Value Area ladder color |
| VAH/VAL color | Gray | Ladders outside Value Area |
| Buy color | LightGreen | Buy-side ladder color (BuySell mode) |
| Sell color | Red | Sell-side ladder color (BuySell mode) |
| Opacity, % | 50 | Ladder fill transparency |
| Values: show | None | Display values on ladders — Volume, Delta, BidAsk, or None |
| Values: 1K divider | true | Divide displayed values by 1,000 |
| Values: color | White | Values text color |
| Values: font | Montserrat, 10pt | Values font |
| Delta: show | false | Show delta histogram alongside profile |
| Delta: % of profile width | 20 | Delta histogram width relative to profile (-100 to 100) |
| Delta: positive | LimeGreen | Positive delta color |
| Delta: negative | Red | Negative delta color |
| Delta: opacity, % | 100 | Delta histogram transparency |
| Delta: saturation | false | Enable delta color saturation |
| Profile: developing border | Yellow, Dot, 1px | Border style for the developing (current) profile |
| Profile: ladders borders | false | Show borders around individual ladders |
| Profile: labels font | Montserrat, 11pt | Profile label font |
| Custom profile: unique settings | false | Each custom profile has unique settings accessible via buttons |
| Custom profile: add = Mouse Left + | LeftCtrl | Key modifier to add a custom profile |
Volume Profile Levels
| Setting | Default | Description |
|---|---|---|
| POC: mode | On | POC level mode — Off, On, Naked, Extended, Developing, DevelopingNaked |
| POC: line | DarkOrange, Dash, 2px | POC line style |
| Developing Tick POC | false | Show developing Tick POC line |
| Tick POC: line | Red, Dash, 2px | Tick POC line style |
| VAH/VAL: mode | On | VAH/VAL level mode — Off, On, Naked, Extended, Developing, DevelopingNaked |
| VAH/VAL: line | Gray, Dash, 1px | VAH/VAL line style |
| Levels values | Price | Value displayed at level lines — Price, Volume, Delta, or None |
Level Modes Explained
| Mode | Description |
|---|---|
| Off | Level not displayed |
| On | Level drawn within profile boundaries only |
| Extended | Level extends from profile to chart right edge |
| Naked | Level extends until price touches it (then disappears) |
| Developing | Level updates in real time as the profile builds |
| DevelopingNaked | Developing + disappears when price touches the level |
Volume Profile VWAP
| Setting | Default | Description |
|---|---|---|
| VWAP: mode | Dynamic | Last, Dynamic, DynamicStdDev1, DynamicStdDev2, or None |
| VWAP: line | SteelBlue, Dash, 2px | VWAP line style |
| VWAP: Sigma 1 | 1 | First standard deviation multiplier |
| VWAP: Std deviation #1 | RoyalBlue, 1px | First deviation band line style |
| VWAP: Sigma 2 | 2 | Second standard deviation multiplier |
| VWAP: Std deviation #2 | Brown, 1px | Second deviation band line style |
TPO (Market Profile)
TPO (Time Price Opportunity) displays the time distribution of price activity using letters or blocks. Each letter/block represents one time period (default 30 minutes) during which a price level was traded.
| Setting | Default | Description |
|---|---|---|
| Letter period, min | 30 | Duration of one TPO letter/block period |
| Presentation | Letter | Display as Letter or Block |
| Split | false | Unfold (split) each TPO period separately |
| Stretched | false | Stretch TPO to fill available width |
| Width, % | 80 | Maximum TPO width as percentage (1–100) |
| Position | Left | TPO placement — Left, Right, or RightOnChartMargin |
| Rotate colors | false | Cycle through 6 colors for consecutive periods |
| Letter/block color 1–6 | Red, Orange, Yellow, LimeGreen, DodgerBlue, Sienna | Six rotating TPO colors |
| Letters font | Montserrat, 12pt | TPO letters font |
| Open: letter | true | Highlight the opening letter |
| Close: letter | true | Highlight the closing letter |
| Open: marker | true | Show open price marker |
| Close: marker | true | Show close price marker |
| Open period color | Lime | Color for the opening period |
| Close period color | Magenta | Color for the closing period |
| Open/close profile color | White | Color for open/close markers on the profile |
| Show POC | false | Highlight the TPO POC row |
| POC: letters/blocks | false | Use distinct color for POC letters/blocks |
| POC color | Goldenrod | TPO POC highlight color |
| VA, % | 68 | TPO Value Area percentage |
| VA box | true | Draw a box around the Value Area |
| VA letters/blocks | true | Use distinct color for VA letters/blocks |
| VA color | DodgerBlue | TPO Value Area color |
| POC/VA opacity, % | 15 | POC/VA highlight transparency |
| Show IB | true | Show Initial Balance range |
| IB, min | 60 | Initial Balance period in minutes |
| IB color | Chocolate | Initial Balance highlight color |
| Show Halfback | false | Show halfback (midpoint) level |
| Halfback color | SaddleBrown | Halfback color |
Notes:
- TPO letters rotate through 6 colors when Rotate colors is enabled
- When there is not enough room for letters, blocks are rendered automatically
- Split (unfold) shows each TPO period separately side by side
- IB (Initial Balance) = the first N minutes of the session (default 60 min)
TPO Levels
TPO levels project key price levels from profiles as horizontal lines across the chart. There are 3 independent level groups, each configurable to track different profiles.
T-Index Concept
Profiles are indexed using T-index: the most recent profile is T0, the one before it is T1, and so on. T-index determines which profile's levels are drawn.
Per-Group Settings (repeated for groups #1, #2, #3)
| Setting | Default | Description |
|---|---|---|
| Enable | #1: true, #2/#3: false | Enable this level group |
| Attach to | All | Attach levels to a specific T-index profile (T) or all profiles (All) |
| Attach to T - | 0 | T-index of the profile to attach to (when Attach to = T) |
| Naked by | Any | How naked levels are canceled — by specific T profile (T), next profile (Next), or any profile (Any) |
| Naked by T - | 0 | T-index for naked cancellation (when Naked by = T) |
| End of Day | true | Cancel naked levels at end of day |
| Value position | None (#1), AboveRight (default) | Position of value labels on level lines |
Each group has 10 level types, each set to Disabled, Extended, or Naked:
| Level Type | #1 Default | Description |
|---|---|---|
| Open | Disabled | Session/profile open price |
| Close | Disabled | Session/profile close price |
| High | Disabled | Session/profile high |
| Low | Disabled | Session/profile low |
| Mid/Halfback | Disabled | Midpoint between high and low |
| IB High | Disabled | Initial Balance high |
| IB Low | Disabled | Initial Balance low |
| TPO POC | Naked | TPO Point of Control |
| TPO VAL | Naked | TPO Value Area Low |
| TPO VAH | Naked | TPO Value Area High |
Shared Line Styles
| Setting | Default | Description |
|---|---|---|
| Open line | DodgerBlue, 1px | Open level line style |
| Close line | Blue, 1px | Close level line style |
| High line | Red, 2px | High level line style |
| Low line | LimeGreen, 2px | Low level line style |
| Mid line | Navy, 2px | Mid/Halfback level line style |
| IB High line | Orange, 1px | IB High level line style |
| IB Low line | DarkOrange, 1px | IB Low level line style |
| TPO POC line | Goldenrod, 2px | TPO POC level line style |
| TPO VAL line | ForestGreen, Dash, 2px | TPO VAL level line style |
| TPO VAH line | Crimson, Dash, 2px | TPO VAH level line style |
| Value color | LightGray | Level value text color |
| Value font | Montserrat, 11pt | Level value font |
Profile Statistics
Summary information displayed above each profile.
| Setting | Default | Description |
|---|---|---|
| Volume | true | Show total volume |
| Delta | Delta | Delta display mode — Delta, BidAsk, or None |
| High/Low | true | Show profile high and low prices |
| Range, points/ticks | false | Show price range in points and ticks |
| POC | false | Show POC price |
| VAH/VAL | false | Show VAH and VAL prices |
| VWAP | false | Show VWAP price |
| Begin/End | false | Show profile begin and end times |
| TPOs | true | Show TPO count |
Stacked Profiles
Up to 3 independent volume profiles rendered on the chart right margin. Each stacked profile can display a different time period, creation mode, and profile type. Stacked profiles support cumulation and time shifting.
Per-Profile Settings (repeated for #1, #2, #3)
| Setting | Default (#1) | Description |
|---|---|---|
| Show | VP | Profile type — TPO, VP, VP_TPO, or None |
| Mode | Session | Profile creation mode |
| Creation value | 0 | N for cumulated/shifted profiles (e.g., Sessions[2] = last 2 sessions) |
| Type | Volume | Volume, BuySell, Delta, VolumeDelta, or None |
| Presentation | Area | Ladders, Area, or Contour |
| POC/VAH/VAL mode | Extended | Off, On, or Extended |
| POC | RoyalBlue, Dash, 3px | POC line style |
| VAH/VAL | Coral, Dash, 2px | VAH/VAL line style |
| Delta | false | Show delta alongside stacked profile |
Stacked profiles #2 and #3 default to None (disabled).
Shared Stacked Settings
| Setting | Default | Description |
|---|---|---|
| Delta width, % | 80 | Delta histogram width relative to stacked profile (-100 to 100) |
| Left margin, px | 50 | Left margin for stacked profiles |
| Right margin, px | 0 | Right margin for stacked profiles |
| Legend | true | Show profile legend |
Creation Value Examples
- Sessions[2] — cumulated profile for the last 2 sessions
- Daily[1] — profile for 1 day ago
- Monthly[0] — current month's profile
- Session[0] — current session (developing profile)
A stacked profile is "developing" if it contains the last chart bar.
Extended POC/VAH/VAL lines from stacked profiles start at the profile edge and continue to the right.
Profile Interaction
Profile interaction features let you modify profiles directly on the chart via toolbar buttons.
- Splitting (unfolding) — unfold TPO profiles to show each period separately
- Dividing — click the Divide button, then click a bar to split the profile at that point
- Merging — merge a profile with its left or right neighbor
- Unmerging — undo a merge (not available in Custom mode)
Profile interaction is not available in Composite modes.
Custom Profiles
When Chart profile mode is set to Custom:
- Add a profile by holding Mouse Left + LeftCtrl (configurable) and clicking on the chart
- Enable Custom profile: unique settings to give each custom profile its own type, view, and color settings (accessible via on-chart buttons)
- The last added custom profile has T-index = 0
Profile Accuracy and Calculate Modes
| Loading Time | Real-time Performance | Calculate | Historical Resolution | Real-time Resolution |
|---|---|---|---|---|
| Normal | Normal | OnEachTick | 1 Tick | 1 Tick |
| Fast | Normal | OnEachTick | 1 Minute | 1 Tick |
| Fast | Fast | OnBarClose | 1 Minute | 1 Minute |
Tick accuracy:
- Provides the most precise volume distribution and delta
- Enable Tick Replay for accurate delta on historical data
- Higher CPU and loading time
Minute accuracy:
- Disable Tick Replay and use a minute-based chart period (e.g., 30 Min)
- Historical volumes are spread proportionally across each minute bar's price range; up-bar volume = buy, down-bar volume = sell
- Significantly reduces loading time
- Recommended for large profiles (weekly, monthly, yearly, TPO)
Working Time
Filter when the indicator processes market data using General > Working time filter with Start time / Stop time.
- Supports overnight sessions (Stop time falls on the next day)
- Recommended to use with Continuous profile mode when Working time filter is enabled
| Setting | Default | Description |
|---|---|---|
| Working time | false | Enable working time filter |
| Start time | 08:30 | Data processing start time |
| Stop time | 15:30 | Data processing stop time |
Levels (Licensed Builds)
Custom support/resistance levels drawn on the chart with mouse interaction.
| Setting | Default | Description |
|---|---|---|
| Enable | false | Enable custom S/R levels |
| Support level | LightGreen, Opacity 25 | Support level line style |
| Resistance level | Red, Opacity 25 | Resistance level line style |
| Value position | AboveRight | Label placement on level lines |
| Value/Label color | LightGray | Level label text color |
| Value/Label font | Arial, 10pt | Level label font |
| Alert | true | Enable sound alerts |
| Alert on | LevelCross | Alert trigger event |
| Rearm | true | Re-enable alert after firing |
| Rearm interval, sec | 3 | Seconds before alert can fire again |
| Sound | crossed.wav | Alert sound file |
| Add/remove: Mouse Left + | LeftShift | Key modifier to add or remove a level |
| Modify: Mouse Left + | LeftAlt | Key modifier to move a level |
| Drag with Mouse | true | Enable drag-and-drop level repositioning |
tip
See Sound Files for the full list of pre-installed sounds and how to add custom WAV files.
Performance Tips
- Set Ticks per level to 2+ for instruments with many price levels
- Set Profile accuracy to Minute for large profiles (weekly, monthly, yearly)
- Use OnBarClose calculate mode with Minute accuracy for maximum performance
- Toggle TPO visibility via the eye button when TPO is not needed
- Set MaximalRenderMs to 20–50 ms for responsive charts (chart may flash briefly)
- Close unused shadow workspaces and remove unused indicators
Non-Bid/Ask Data Support
Some markets (Forex, cryptocurrencies, NSE/Indian stock market) do not provide historical bid/ask data. Without it, all historical trades appear on the Bid side only.
Solution: Set Orderflow > Calculation mode to UpDownTick for these instruments.
Hybrid mode (NSE): NSE data providers do not transmit historical bid/ask data. Use Hybrid mode, which applies UpDownTick calculation for historical data and BidAsk for real-time data.
Recommendation: For Forex pairs, use the relevant futures contract (e.g., 6E for EURUSD) to get accurate bid/ask data and full order flow features.