Discussing the article: "Creating Custom Indicators in MQL5 (Part 12): Mapping Liquidity with a Volume Profile Heatmap"
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Check out the new article: Creating Custom Indicators in MQL5 (Part 12): Mapping Liquidity with a Volume Profile Heatmap.
A candlestick shows where price moved, but not where trades actually happened. That gap creates two practical problems. Chartists draw support and resistance visually, often marking levels with little traded volume behind them. Algorithmic systems lack reproducible, machine-readable levels such as the point of control (POC), the value area, and the volume above and below price. This article is for systematic traders who need reliable visual cues and MetaQuotes Language 5 (MQL5) developers who need numeric outputs for their programs and alerts. Success here means two things at once: a clear on-chart map of where volume is concentrated, and buffers carrying the same levels so a strategy can act on them.
In our previous article (Part 11), we enhanced the footprint chart indicator with market structure and order flow layers. In this article, we build an indicator that converts bar volumes into a price-based distribution over a rolling window. Brokers supply either tick counts or real volumes, and we do not have trade-by-trade price detail inside a bar. So the indicator offers two volume allocation policies: spread a bar's volume evenly across the price range it covered, a neutral assumption, or drop it at the close, split between the close bin and its nearer neighbor, a sharper and more clustered alternative. The indicator bins the window into horizontal price levels, computes the point of control and the configured value area, and reports the split of volume above and below the current price. It publishes these metrics to buffers, renders the historical profile as a heatmap behind the candles, and projects a live side profile with tags and optional alerts.
Author: Allan Munene Mutiiria