FVG Volume Profile Analysis

1.1 Indicator Concept

The FVG Volume Profile indicator is based on the theory of Fair Value Gaps (FVG)—also known as “price imbalance” zones. These are gaps on the price chart formed when the market moves too quickly, creating price areas with little to no trades executed.

Core principle: The market tends to return to “fill” these FVGs because they are considered unfairly priced zones. However, not all FVGs are equally valuable.

This indicator goes further by analyzing traded volume inside each FVG using a lower timeframe. This helps traders understand:

• Trade density: Where volume concentrates within the FVG
• Point of Control (POC): The price level with the highest traded volume, often a strong support/resistance area
• Strength of the FVG: FVGs with higher volume often trigger stronger price reactions

1.2 Indicator Features

Displayed on the chart:

• FVG Box: A green rectangle (bullish FVG) or purple rectangle (bearish FVG) marking the imbalance zone. The box automatically extends to the right and shows the total traded volume inside.
• Vertical Volume Profile: Horizontal bars inside each FVG representing volume distribution by price level. Colors go from light to dark depending on density (darker = more trades).
• POC Line (Point of Control): A green (bullish) or purple (bearish) horizontal line marking the price level with the highest volume inside the FVG. This is the most important level to watch.
• POC Label: Displays the traded volume at the POC, helping assess how strong that level is.
• Total FVG Volume: A number displayed in the corner of each FVG box (bottom-right for bullish FVGs, top-right for bearish FVGs).

Adjustable options:

• Auto Timeframe mode: Automatically selects a 10x smaller timeframe to analyze volume (e.g., on a 1-hour chart it uses 6-minute data)
• Manual Timeframe mode: Allows choosing a specific lower timeframe for deeper analysis
• Resolution: Adjust how many “bins” to segment the FVG—more bins = more detail (default 15)
• Filter Gaps: Keep only sufficiently large FVGs based on standard deviation to avoid noise from insignificant gaps
• Toggle Volume Profile: You can hide the detailed volume profile, keeping only the FVG box and POC line for a cleaner interface

Alerts:

• Timeframe selection error: If the selected lower timeframe is invalid (greater than or equal to the current chart timeframe), the indicator shows a ⚠️ warning asking for adjustment

1.3 How to Use the Indicator

• Identify strong support/resistance:

  FVGs with high total volume are usually important. When price revisits these FVGs, strong reactions (bounce or breakout) are likely.

• Pinpoint entries with POC:

  Instead of entering randomly within a wide FVG, wait for price to approach the POC. The POC is where liquidity concentrates the most, often causing hesitation or strong reactions.

• Place reasonable Stop Loss:

  Set SL outside the complete FVG, or below/above the POC if you want a tighter SL. If price breaks through POC, that FVG may have lost effectiveness.

• Take profit with multiple targets:

  Scale out at subsequent FVGs or at the POC of another FVG. This helps optimize the Risk/Reward ratio.

• Combine trend context with the volume view:

  - Bullish FVG + POC near the top: Indicates strong buying pressure; price may only tag the top of the FVG then continue higher
  - Bullish FVG + POC near the bottom: Suggests substantial selling activity; price may fill deeper into the FVG
  - Similarly for bearish FVGs

• Assess FVG strength:

  Compare total volume across FVGs. The one with higher volume tends to have a stronger impact when retested.

• Track “filled” FVGs:

  When closing price crosses an FVG boundary (bullish FVG closes below its low; bearish FVG closes above its high), the indicator auto-removes that FVG from the chart—indicating the zone has completed its role or lost value.

1.4 How the Indicator Works

Inputs & roles

• Price data (OHLC): Close, high, low, and open from the last 3 candles to detect FVGs. This is the primary source that determines whether a structural gap exists.
• Lower Timeframe volume data (variables c and v): Arrays of closes and volumes from all lower timeframe candles within a single candle of the current chart timeframe. For example, on a 1H chart with a 6-minute lower TF, each 1H candle contains 10 x 6-minute candles (60/6 = 10).
• Filter Gaps (variable gap_filter): Threshold based on standard deviation. Only sufficiently large FVGs (above threshold) are considered, filtering out insignificant noise.
• Number of bins (variable bins): Controls the detail level of the volume profile—how many segments the FVG is divided into for distribution analysis.
• Timeframe Settings: Auto or Manual to choose the lower TF used for volume analysis.

Main logic blocks

• LOGIC 1 – Detect FVG (detectFairValueGap()):

  Bullish FVG: When low (current candle low) > high[2] (high of the candle 2 bars back) AND high[1] > high[2] AND gap size > filter threshold. This means there is a gap between the current candle and the one 2 bars back, with the middle candle not filling it.
  Bearish FVG: The opposite—high < low[2] AND low[1] < low[2] AND gap size > filter threshold.

• LOGIC 2 – Normalize FVG size:

  Use ta.stdev() with a 200-bar lookback to normalize gap size. This adapts the indicator to different volatility regimes across symbols and timeframes.

• LOGIC 3 – Pull lower timeframe data (request.security_lower_tf()):

  Fetch arrays of closes (c) and volumes (v) from the selected lower TF. In Auto mode, lower TF = chart TF / 10; otherwise use the manually specified TF.

• LOGIC 4 – Split the FVG into bins:

  Each FVG is evenly divided into bins segments vertically (default 15). Each bin represents a small price range within the FVG. Formula: binSize = (fvg_upper - fvg_lower) / bins

• LOGIC 5 – Allocate volume to each bin:

  For each bin, iterate over all lower-TF candles and accumulate the volume for candles whose close lies within that bin’s price range. Condition: math.abs(close_LTF - bin_midpoint) <= binSize. The result is volumeProfile, an array holding total volume per bin.

• LOGIC 6 – Find POC (Point of Control):

  Use volumeProfile.max() to locate the bin with the highest volume. Draw a horizontal poc line at that bin’s midpoint price and attach a pocLbl label showing the volume value.

• LOGIC 7 – Draw Volume Profile Boxes:

  Create horizontal boxes for each bin, with width proportional to volume relative to the max bin. Formula: boxWidth = (bin_volume / max_volume) * scale_factor. Gradient color from light (low volume) to dark (high volume).

• LOGIC 8 – Manage dynamic FVGs:

  Each new FVG is pushed into the fvgs array (custom type fvg). If there are more than 10 FVGs, the oldest is removed to keep the chart clean. FVGs automatically extend to the right over time.

• LOGIC 9 – Remove FVG when filled:

  During updates, if the close crosses the FVG boundary (bullish FVG: low < FVG.bottom; bearish FVG: high > FVG.top), the FVG box, POC line, label, and volume boxes are all removed, and that FVG is dropped from the array.

Outputs & practical roles

• FVG Box (object box):

  A light green (bullish) or light purple (bearish) rectangle marking the FVG on the chart. Traders use it to spot key areas of interest.

• Volume Profile Boxes (array volumeBoxes):

  Horizontal bars inside the FVG with varying color and length. Traders read them to gauge trade density per price level—longer/darker bars = more volume.

• POC Line (object line):

  A green or purple horizontal line marking the highest-volume price within the FVG. Potential entry level or strongest S/R inside the FVG.

• POC Label (object label):

  Displays the volume at POC. Traders use it to compare strength across different FVGs.

• Total Volume Label (text inside the FVG Box):

  Total traded volume across the entire FVG. Helps assess the overall importance of that FVG.