Composite Multi-Session Volume Profile
A single-session volume profile answers "where did volume concentrate in one window." This answers a different, often more useful question for a trader who only trades specific windows: where has volume concentrated across the sessions actually traded - Asian, London, New York, any combination - over the last several days, combined into one shelf rather than compared session by session. Each enabled session window (defined by a start and end hour on broker/server time, wrapping midnight correctly if needed) is walked across InpLookbackDays calendar days. Every bar inside any enabled window has its tick volume split across every price bucket its own high-low range overlaps, weighted by how much of the bar's range falls in each bucket - the same honest spread this catalogue's VolumeProfile.mq4 already uses, since MT4 has no true intrabar price-level volume to read directly. The composite point of control is the single highest-volume bucket across the merged set; the value area grows outward from it, each step taking whichever side (above or below) carries more volume, until it holds InpValueAreaPercent of the merged total - the standard market-profile construction, not just "top N buckets by volume." The profile draws as a horizontal histogram pinned to the most recent bar, with the point of control and value area buckets picked out in separate colours, plus a text label giving the composite POC and value-area high/low figures directly. Notes and limitations - Every volume figure is MT4 tick volume (price update count), never real traded contracts or lots - treat the profile shape as a proxy for where activity concentrated, not a literal volume-by-price reading. - Rebuilds once per new bar, not on every tick, since the composite spans many days of history and recomputing that on every tick would be wasteful for a figure that only meaningfully changes bar to bar. - Scan cost grows with InpLookbackDays and shrinks with the chart's timeframe (fewer, larger bars); a very deep M1 lookback can take a visible moment to rebuild on a new bar. - No trade or stop-loss logic - visual analysis only.
Indicator · MT5 · v1.0 · Free
About Composite Multi-Session Volume Profile
Composite Multi-Session Volume Profile is an indicator for MetaTrader 5. It has 17 settings, such as Session a enabled, Session a start hour and Session a end hour. MQL source code included.
Files in the download: CompositeSessionProfile.ex5, CompositeSessionProfile.mq5, CompositeSessionProfile.txt.
Settings
| Setting | Default | What it does |
|---|---|---|
| Session a enabled | true | Include session A |
| Session a start hour | 0 | Session A start hour (broker time, 0-23) |
| Session a end hour | 8 | Session A end hour (broker time, 0-23) |
| Session b enabled | true | Include session B |
| Session b start hour | 8 | Session B start hour (broker time, 0-23) |
| Session b end hour | 16 | Session B end hour (broker time, 0-23) |
| Session c enabled | true | Include session C |
| Session c start hour | 13 | Session C start hour (broker time, 0-23) |
| Session c end hour | 21 | Session C end hour (broker time, 0-23) |
| Lookback days | 10 | Calendar days of session instances merged into the composite |
| Bucket pips | 5.0 | Bucket width, in pips |
| Max buckets | 300 | Hard cap on bucket count (performance guard on a wide range) |
| Value area percent | 70.0 | Percent of merged volume the value area is grown to cover |
| Profile width bars | 40 | Bar-widths of empty space the widest bucket is allowed to occupy |
| Row color | clrSteelBlue | Normal bucket colour |
| Poc color | clrOrange | Composite point-of-control colour |
| Value area color | clrDodgerBlue | Bucket colour inside the value area |
How to install
- Download the ZIP from your PolyMaria library and unzip it.
- In MetaTrader 5 open File → Open Data Folder, then go to MQL5 → Indicators.
- Copy the .mq5 file(s) there. Put any .mqh files in MQL5 → Include.
- Open the .mq5 file in MetaEditor and press Compile (F7) if MetaTrader does not show it.
- Drag the indicator from the Navigator onto a chart and adjust the settings.
Tags: Volume · Trading Sessions · MT5 Indicator · MQL5 Source Code