Price-by-Volume Profile Construction

Install and import#

npm install fintech-algorithms

import { priceByVolumeProfileConstruction } from "fintech-algorithms/geometric-chart-patterns/level-confluence-and-zone-scoring/price-by-volume-profile-construction";

Signature#

priceByVolumeProfileConstruction(input)

Aggregates eligible point-in-time trades into deterministic tick-aligned price-by-volume bins.

Parameters#

Returns#

{ state, tick_size, bin_size_ticks, bin_width, total_volume, trade_count, eligible_trade_count, rows }

One calculated profile record; each row contains bin index, bounds, midpoint, volume, and volume share.

Errors#

• When tick/bin settings, window time, trade identity, chronology, price, or volume is invalid — throws

Complexity: time , space .

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

{
  "tick_size": 0.25,
  "bin_size_ticks": 2,
  "window_end": "2026-08-03T10:30:00Z",
  "trades": [
    {
      "trade_id": "T01",
      "timestamp": "2026-08-03T10:00:00Z",
      "price": 99,
      "volume": 10,
      "final": true
    },
    {
      "trade_id": "T02",
      "timestamp": "2026-08-03T10:02:00Z",
      "price": 99.25,
      "volume": 15,
      "final": true
    },
    {
      "trade_id": "T03",
      "timestamp": "2026-08-03T10:04:00Z",
      "price": 99.5,
      "volume": 25,
      "final": true
    }
  ]
}

Call#

priceByVolumeProfileConstruction(input)

Returns#

object with 8 fields: state, tick_size, bin_size_ticks, bin_width, total_volume, trade_count, eligible_trade_count, rows

{
  "state": "calculated",
  "tick_size": 0.25,
  "bin_size_ticks": 2,
  "bin_width": 0.5,
  "total_volume": 340,
  "trade_count": 12,
  "eligible_trade_count": 12,
  "rows": [
    {
      "bin_index": 198,
      "lower": 99,
      "upper": 99.5,
      "midpoint": 99.25,
      "volume": 25,
      "share": 0.073529411765
    },
    {
      "bin_index": 199,
      "lower": 99.5,
      "upper": 100,
      "midpoint": 99.75,
      "volume": 45,
      "share": 0.132352941176
    },
    {
      "bin_index": 200,
      "lower": 100,
      "upper": 100.5,
      "midpoint": 100.25,
      "volume": 152,
      "share": 0.447058823529
    }
  ]
}

Other exports#

This module also exports calculate, pocValueAreaHvnLvnDetection, fibonacciRetracementExtensionProjection, psychologicalRoundNumberLevelGeneration, multiSourceSupportResistanceZoneFusion, supportResistanceZoneStrengthDecayScoring, supportResistanceRoleReversalStateMachine, breakoutAndRetestDetection, marketWideZoneProximityScannerRanking. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams#

Calculation flow#

flowchart LR
    S1["Validate ordered unique finalized trades against windo"]
    S2["Convert each price to an integer tick index"]
    S3["Map the tick index to one halfopen bin"]
    S4["Accumulate positive trade volume and retain emptyprint"]
    S5["Sort rows and reconcile shares to eligible total volum"]
    S1 --> S2
    S2 --> S3
    S3 --> S4
    S4 --> S5
    S5 --> D{"a price exactly on a bin boundary enters the upper halfope"}
    D --> O["rows + diagnostics"]
    O --> A["Audit: The output is a deterministic function of validated inputs"]

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• Volume profile indicators: basic concepts — TradingView
• Session volume profile charts explained — TradingView
• Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation — Andrew W. Lo, Harry Mamaysky, and Jiang Wang
• Evidence boundary

The rest of the Level Confluence and Zone Scoring family#

• Point of Control, Value Area, HVN, and LVN DetectionSelects the point of control, expands a deterministic value area, and identifies local high- and low-volume nodes.
• Fibonacci Retracement and Extension ProjectionProjects declared retracement and extension ratios from a directed price leg and snaps every level to the nearest tick.
• Psychological Round-Number Level GenerationGenerates tick-aligned round-number levels inside explicit bounds and labels their salience and distance from current price.
• Multi-Source Support/Resistance Zone FusionClusters nearby levels, computes deterministic zone centers, and separates accepted multi-source zones from rejected clusters.
• Support/Resistance Zone Strength and Decay ScoringScores zone strength from source confluence, decayed touches, rejection quality, durability, and break penalties.
• Support/Resistance Role-Reversal State MachineProcesses closes through active-role, break, retest, confirmation, and invalidation transitions for one zone.
• Breakout and Retest DetectionProcesses bars through breakout-pending, retest, confirmation, failure, and expiry states around one zone.
• Market-Wide Zone-Proximity Scanner and RankingFilters point-in-time zone records by proximity and ranks eligible instruments from proximity, strength, and freshness.