Market Profile Heatmap

Market Profile is a way to visualize how price accepts or rejects value within a session. Instead of averaging, it counts how often price traded at each level during equal-time “brackets.” The result is a distribution you can read at a glance: thick areas = acceptance; thin edges = rejection.

This indicator implements a TPO-based Market Profile with clean session lines (POC, VAH, VAL, IBH, IBL) and a fast, two-tone heatmap cloud that highlights the value area vs. non-value prices.

What it does

• True TPO Profile

  • Counts Time Price Opportunities in fixed time brackets (default 30 minutes) and builds a per-session distribution.

• Multiple Sessions

  • Plot the last N profiles (e.g., several 4H sessions on a 5-minute chart, or daily profiles on M15/H1).

• POC / VAH / VAL

  • POC = price level with the most TPOs.

  • VAH/VAL from quantiles (defaults 15% / 85% of cumulative TPOs) for stable boundaries even when the distribution isn’t perfectly bell-shaped.

• Initial Balance (IB)

  • Draw IBH / IBL for the first X minutes of each session (classic context for breakouts and fades).

• Heatmap Cloud

  • Single bitmap per session (low CPU).

  • Two colors: Value Area vs Non-Value.

  • Adjustable opacity range and gamma (controls intensity curve).

  • Optional vertical smoothing to soften step edges.

• Clean, readable labels

  • Price-stamped labels for POC/VAH/VAL and IB lines.

• Performance-friendly

  • Auto step sizing by symbol tick size, targeted bin count, and per-session range.

  • Repaints only on new bars; on scroll/zoom it rebuilds to match scale (no artifacts).

Typical setups

• Intraday (futures/indices/FX):

  • Chart: M5–M15

  • Session length: 240 min (4H) or 480 min (8H)

  • Bracket: 30 min

  • IB: 60 min

• Daily profiles:

  • Chart: M15/H1

  • Session length: 1440 min (1D)

  • Bracket: 30 min or 60 min

• Weekly profiles:

  • Session length ≈ 5 × 1440 (adjust for broker week).

Mix and match: session length is independent of chart timeframe.

Inputs (grouped)

Session & Structure

• Sess (minutes) : length of each session window.

• Bracket (minutes) : TPO bracket size (letters).

• IB (minutes) : initial balance window (0 disables).

Stepping / Bins

• AutoStep : auto bin size using tick size & target bin count.

• Target/Min/Max Bins : shape smoothness & performance guard.

• Manual Step (points) : fixed bin size if AutoStep = off.

Value Area

• VAL % / VAH % : lower/upper quantiles of cumulative TPOs (defaults 15/85 ≈ central 70%).

  Note: Classic MP often defines VA as the central 70% around the POC. Using quantiles is robust on skewed/multi-modal distributions and closely matches the classic result when the profile is unimodal.

Visualization

• Draw Heatmap : on/off.

• Anchor : left/right side of session.

• Width % : cloud width as % of session span.

• Colors: Value Area and Non-Value hues.

• Alpha min/max, Gamma, Smoothing passes.

Lines & Labels

• Colors for POC, VA lines, IB lines; line width; label font size.

Redraw & Visibility

• Hide current forming session (default ON): only completed sessions are shown.

• Redraw on new bar only (default ON): minimizes CPU while remaining responsive.

How to read it (quick primer)

• POC migration hints at where value is developing over time.

• Rejections at VAH/VAL (thin/short rows) may signal rotation back to value; acceptance beyond VA often builds a new distribution.

• IB breaks can lead to trend days; failed IB breaks often rotate back toward the POC.

• Gaps & single prints (very thin areas) are potential magnets later.