Two ideas, one theme
A candlestick compresses a bar into four prices. Volume profile and order flow open the bar back up. Volume profile asks how much traded at each price. Order flow asks who was the aggressor at each price, the buyer lifting the offer or the seller hitting the bid. Both need more detailed data than a basic candle chart, typically tick data.
Volume profile
A volume profile is a horizontal histogram drawn against the price axis. Each row shows the total volume traded at that price over a chosen period, such as a day, a week or a custom range. Instead of asking when something happened, it shows where the market spent its time and business.
Point of control
The point of control (POC) is the price level with the most volume in the period. It is the market's busiest price, and traders watch it as a reference for fair value and as a level that price often revisits.
Value area
The value area is the range around the POC that contains a set share of the period's volume, conventionally about 70 percent, a choice loosely modelled on one standard deviation. Its edges are the value area high (VAH) and value area low (VAL). Price accepted inside the value area is considered to be trading at fair value; trading outside is seen as the market testing for new value.
Volume nodes
Prices with heavy volume are high volume nodes (HVN), where the market lingered and price often moves slowly. Prices with thin volume are low volume nodes (LVN), where price tended to move through quickly. Traders use HVNs as areas of balance and LVNs as areas where moves may speed up or stall less. This is a pattern in how markets have traded, not a certainty.
Order flow and delta
Every trade has an aggressor. A trade at the ask is counted as buying pressure and a trade at the bid as selling pressure. Delta is the difference.
Positive delta means more aggressive buying in that bar, negative means more aggressive selling. Cumulative delta shows the running balance across a session. Traders compare delta with price: a price rise on weak or negative delta, for instance, is watched as a possible sign that the move is not well supported.
Footprint charts
A footprint chart redraws each candle as a grid, with the volume traded at the bid and at the ask for every price row inside the bar. It lets you see where the heaviest trading took place within a bar, where one side was absorbed, and where delta was concentrated. Many platforms offer a version of it, usually as an add-on.
A simple way to start
Begin with the volume profile, because it is the easiest of the three ideas to read. Look at yesterday's profile and mark its point of control, value area high and value area low on today's chart. Then watch how price behaves around those lines as the session develops: does it open inside the prior value area and rotate within it, or does it leave and fail to return? Keep notes for a few weeks on a simulator before adding delta or footprint charts on top.
Limitations and cautions
- Data. Delta depends on correctly classifying trades as bid or ask. That needs tick-level data, and historical tick data can be limited or large to store.
- Interpretation. Futures volume is not a full view of the market. Hidden orders, spreads and trades in related contracts all sit outside a single chart.
- Overload. Footprint charts contain a lot of numbers. Many traders find they need to settle on a few simple readings before it becomes useful.
- Not a signal on its own. POC and value areas describe where trading happened. Whether price respects them next time varies.
Platform support for volume profile and order flow tools varies by version and add-on, and tick data availability depends on your data provider. NinjaTrader Guru has free guides on data feeds, tick replay and chart setup for NinjaTrader Desktop.
If you want volume and order flow style tools for NinjaTrader 8, Browse the NinjaTrader software listing at Affordable Indicators, or ask questions in the Discord community.
Quick answers
- What is the point of control?
- The price level with the highest traded volume in the profile period.
- What is the 70 percent value area?
- The price range around the POC that contains about 70 percent of the period's volume. Its edges are the value area high and low.
- What data do I need for delta?
- Tick-level data that records whether each trade happened at the bid or at the ask. Candle-only data cannot provide it.
Keep reading
Educational only, not financial advice. Futures trading involves substantial risk of loss.