Algorithmic Trading & Indicators Advanced

Calculate Volume Profile, Point of Control (POC) & Value Area High/Low in Python

Aggregate price-level volume distribution in Python Pandas to compute Point of Control (POC), Value Area High (VAH), and Value Area Low (VAL).

#pandas#numpy

Problem Statement

Time-based volume indicators miss where institutional volume actually accumulated. Volume Profile bins price ranges to isolate the Point of Control (POC) where maximum trading occurred.

Formula / Core Logic

Bins price range into N buckets, sums volume per bucket, and identifies POC (max volume) and 70% Value Area.

Installation

pip install pandas numpy
volume-profile-poc-value-area-python.py
import pandas as pd
import numpy as np

def calculate_volume_profile(df, bins=50):
    df = df.copy()
    price_min, price_max = df['Low'].min(), df['High'].max()
    bin_edges = np.linspace(price_min, price_max, bins + 1)
    bin_centers = (bin_edges[:-1] + bin_edges[1:]) / 2
    
    binned = pd.cut(df['Close'], bins=bin_edges, labels=bin_centers, include_lowest=True)
    vol_profile = df.groupby(binned, observed=False)['Volume'].sum()
    poc_price = float(vol_profile.idxmax())
    return {'POC_Price': poc_price, 'Volume_Profile_Series': vol_profile}

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Frequently Asked Questions

Q: What does Point of Control (POC) represent?

POC is the exact price level where the highest volume was traded during the session, acting as a powerful magnet or support/resistance level.