Volume Profile Advanced

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Yavuz365

//@version=5
indicator("Volume Profile Advanced", overlay=true, max_bars_back=5000, max_boxes_count=500)

// ============================================================================
// INPUTS
// ============================================================================

// Session Settings
session_type = input.string("D", "Session Type", options=["D", "W", "M", "3D", "4H"], group="Session")
lookback_sessions = input.int(5, "Lookback Sessions", minval=1, maxval=50, group="Session")

// Volume Profile Settings
vp_rows = input.int(24, "Profile Rows", minval=10, maxval=100, group="Volume Profile")
value_area_pct = input.float(70, "Value Area %", minval=50, maxval=95, group="Volume Profile")
show_profile = input.bool(true, "Show Profile", group="Volume Profile")
profile_width = input.int(10, "Profile Width", minval=1, maxval=50, group="Volume Profile")

// Display Settings
show_poc = input.bool(true, "Show POC", group="Display")
show_vah_val = input.bool(true, "Show VAH/VAL", group="Display")
show_developing_poc = input.bool(true, "Show Developing POC", group="Display")
extend_lines = input.bool(true, "Extend Lines Right", group="Display")

// Colors
poc_color = input.color(color.new(color.yellow, 0), "POC Color", group="Colors")
vah_val_color = input.color(color.new(color.blue, 50), "VAH/VAL Color", group="Colors")
profile_bull_color = input.color(color.new(color.green, 60), "Profile Bullish", group="Colors")
profile_bear_color = input.color(color.new(color.red, 60), "Profile Bearish", group="Colors")

// ============================================================================
// SESSION DETECTION
// ============================================================================

// Get session timeframe
session_tf = session_type == "3D" ? "3D" : 
             session_type == "4H" ? "240" : 
             session_type

// Detect new session
is_new_session = ta.change(time(session_tf))

var int session_start_bar = 0
var float session_high = na
var float session_low = na
var int session_count = 0

if is_new_session or bar_index == 0
    session_start_bar := bar_index
    session_high := high
    session_low := low
    session_count += 1
else
    session_high := math.max(session_high, high)
    session_low := math.min(session_low, low)

// ============================================================================
// VOLUME PROFILE CALCULATION
// ============================================================================

// Arrays to store volume profile data
var array<float> vp_prices = array.new_float(0)
var array<float> vp_volumes = array.new_float(0)
var array<float> vp_buy_volumes = array.new_float(0)
var array<float> vp_sell_volumes = array.new_float(0)

// Initialize arrays for new session
if is_new_session
    array.clear(vp_prices)
    array.clear(vp_volumes)
    array.clear(vp_buy_volumes)
    array.clear(vp_sell_volumes)
    
    // Initialize rows
    for i = 0 to vp_rows - 1
        array.push(vp_prices, 0.0)
        array.push(vp_volumes, 0.0)
        array.push(vp_buy_volumes, 0.0)
        array.push(vp_sell_volumes, 0.0)

// Build volume profile for current session
if not na(session_high) and not na(session_low) and session_high > session_low
    price_range = session_high - session_low
    row_size = price_range / vp_rows
    
    // Determine which row the current bar belongs to
    for i = 0 to vp_rows - 1
        row_low = session_low + i * row_size
        row_high = session_low + (i + 1) * row_size
        row_mid = (row_low + row_high) / 2
        
        // Check if current price is in this row
        if close >= row_low and close < row_high
            // Update price level
            array.set(vp_prices, i, row_mid)
            
            // Add volume
            current_vol = array.get(vp_volumes, i)
            array.set(vp_volumes, i, current_vol + volume)
            
            // Separate buy and sell volume
            is_buy_volume = close > open
            if is_buy_volume
                current_buy_vol = array.get(vp_buy_volumes, i)
                array.set(vp_buy_volumes, i, current_buy_vol + volume)
            else
                current_sell_vol = array.get(vp_sell_volumes, i)
                array.set(vp_sell_volumes, i, current_sell_vol + volume)
            
            break

// ============================================================================
// CALCULATE POC, VAH, VAL
// ============================================================================

var float poc_price = na
var float vah_price = na
var float val_price = na
var int poc_index = 0

// Find Point of Control (highest volume row)
if array.size(vp_volumes) > 0
    max_volume = 0.0
    max_idx = 0
    
    for i = 0 to array.size(vp_volumes) - 1
        vol = array.get(vp_volumes, i)
        if vol > max_volume
            max_volume := vol
            max_idx := i
    
    poc_index := max_idx
    poc_price := array.get(vp_prices, max_idx)
    
    // Calculate Value Area (70% of volume by default)
    total_volume = 0.0
    for i = 0 to array.size(vp_volumes) - 1
        total_volume += array.get(vp_volumes, i)
    
    target_volume = total_volume * (value_area_pct / 100)
    accumulated_volume = array.get(vp_volumes, max_idx)
    
    upper_idx = max_idx
    lower_idx = max_idx
    
    // Expand value area up and down from POC
    while accumulated_volume < target_volume
        upper_vol = upper_idx < array.size(vp_volumes) - 1 ? array.get(vp_volumes, upper_idx + 1) : 0
        lower_vol = lower_idx > 0 ? array.get(vp_volumes, lower_idx - 1) : 0
        
        if upper_vol == 0 and lower_vol == 0
            break
        
        if upper_vol >= lower_vol and upper_idx < array.size(vp_volumes) - 1
            upper_idx += 1
            accumulated_volume += upper_vol
        else if lower_idx > 0
            lower_idx -= 1
            accumulated_volume += lower_vol
        else if upper_idx < array.size(vp_volumes) - 1
            upper_idx += 1
            accumulated_volume += upper_vol
        else
            break
    
    vah_price := upper_idx < array.size(vp_prices) ? array.get(vp_prices, upper_idx) : na
    val_price := lower_idx < array.size(vp_prices) ? array.get(vp_prices, lower_idx) : na

// ============================================================================
// DRAW VOLUME PROFILE
// ============================================================================

var box[] profile_boxes = array.new_box()

if show_profile and is_new_session and session_count > 1
    // Clear old boxes from previous session
    if array.size(profile_boxes) > vp_rows * lookback_sessions
        for i = 0 to vp_rows - 1
            if array.size(profile_boxes) > 0
                old_box = array.shift(profile_boxes)
                box.delete(old_box)
    
    // Draw new profile
    if array.size(vp_volumes) > 0
        max_volume = 0.0
        for i = 0 to array.size(vp_volumes) - 1
            vol = array.get(vp_volumes, i)
            if vol > max_volume
                max_volume := vol
        
        // Draw each row
        for i = 0 to array.size(vp_volumes) - 1
            vol = array.get(vp_volumes, i)
            if vol > 0
                buy_vol = array.get(vp_buy_volumes, i)
                sell_vol = array.get(vp_sell_volumes, i)
                
                // Calculate box width based on volume
                bar_width = math.floor((vol / max_volume) * profile_width)
                if bar_width < 1
                    bar_width := 1
                
                price_level = array.get(vp_prices, i)
                price_range = session_high - session_low
                row_height = price_range / vp_rows
                
                // Determine color based on buy/sell ratio
                box_color = buy_vol > sell_vol ? profile_bull_color : profile_bear_color
                
                profile_box = box.new(
                     left=session_start_bar,
                     top=price_level + row_height / 2,
                     right=session_start_bar + bar_width,
                     bottom=price_level - row_height / 2,
                     border_color=color.new(box_color, 30),
                     bgcolor=box_color,
                     border_width=1
                 )
                array.push(profile_boxes, profile_box)

// ============================================================================
// DRAW POC, VAH, VAL LINES
// ============================================================================

var line poc_line = na
var line vah_line = na
var line val_line = na
var label poc_label = na
var label vah_label = na
var label val_label = na

if barstate.islast
    // Delete old lines and labels
    line.delete(poc_line)
    line.delete(vah_line)
    line.delete(val_line)
    label.delete(poc_label)
    label.delete(vah_label)
    label.delete(val_label)
    
    // Draw POC line
    if show_poc and not na(poc_price)
        poc_line := line.new(
             x1=session_start_bar,
             y1=poc_price,
             x2=bar_index,
             y2=poc_price,
             color=poc_color,
             width=2,
             style=line.style_solid,
             extend=extend_lines ? extend.right : extend.none
         )
        
        poc_label := label.new(
             x=bar_index,
             y=poc_price,
             text="POC: " + str.tostring(poc_price, format.mintick),
             style=label.style_label_left,
             color=poc_color,
             textcolor=color.white,
             size=size.small
         )
    
    // Draw VAH line
    if show_vah_val and not na(vah_price)
        vah_line := line.new(
             x1=session_start_bar,
             y1=vah_price,
             x2=bar_index,
             y2=vah_price,
             color=vah_val_color,
             width=1,
             style=line.style_dashed,
             extend=extend_lines ? extend.right : extend.none
         )
        
        vah_label := label.new(
             x=bar_index,
             y=vah_price,
             text="VAH: " + str.tostring(vah_price, format.mintick),
             style=label.style_label_left,
             color=vah_val_color,
             textcolor=color.white,
             size=size.tiny
         )
    
    // Draw VAL line
    if show_vah_val and not na(val_price)
        val_line := line.new(
             x1=session_start_bar,
             y1=val_price,
             x2=bar_index,
             y2=val_price,
             color=vah_val_color,
             width=1,
             style=line.style_dashed,
             extend=extend_lines ? extend.right : extend.none
         )
        
        val_label := label.new(
             x=bar_index,
             y=val_price,
             text="VAL: " + str.tostring(val_price, format.mintick),
             style=label.style_label_left,
             color=vah_val_color,
             textcolor=color.white,
             size=size.tiny
         )

// ============================================================================
// PRICE ACTION RELATIVE TO VP LEVELS
// ============================================================================

// Trading signals based on volume profile
price_at_poc = not na(poc_price) and math.abs(close - poc_price) / poc_price * 100 < 0.2
price_above_vah = not na(vah_price) and close > vah_price
price_below_val = not na(val_price) and close < val_price
price_in_value_area = not na(vah_price) and not na(val_price) and close <= vah_price and close >= val_price

// ============================================================================
// VOLUME PROFILE TABLE
// ============================================================================

var table vp_table = na

if barstate.islast
    table.delete(vp_table)
    
    vp_table := table.new(position.middle_right, 2, 6, bgcolor=color.new(color.black, 10), 
                 border_width=2, border_color=color.new(color.gray, 50))
    
    // Header
    table.cell(vp_table, 0, 0, "Volume Profile", bgcolor=color.new(color.blue, 70), 
               text_color=color.white, text_size=size.normal)
    table.merge_cells(vp_table, 0, 0, 1, 0)
    
    // POC
    table.cell(vp_table, 0, 1, "POC:", text_color=color.white)
    table.cell(vp_table, 1, 1, not na(poc_price) ? str.tostring(poc_price, format.mintick) : "-", 
               bgcolor=color.new(poc_color, 70), text_color=color.white)
    
    // VAH
    table.cell(vp_table, 0, 2, "VAH:", text_color=color.white)
    table.cell(vp_table, 1, 2, not na(vah_price) ? str.tostring(vah_price, format.mintick) : "-", 
               bgcolor=color.new(vah_val_color, 70), text_color=color.white)
    
    // VAL
    table.cell(vp_table, 0, 3, "VAL:", text_color=color.white)
    table.cell(vp_table, 1, 3, not na(val_price) ? str.tostring(val_price, format.mintick) : "-", 
               bgcolor=color.new(vah_val_color, 70), text_color=color.white)
    
    // Current Position
    table.cell(vp_table, 0, 4, "Position:", text_color=color.white)
    position_text = price_above_vah ? "Above VA" : price_below_val ? "Below VA" : price_at_poc ? "At POC" : "In VA"
    position_color = price_above_vah ? color.green : price_below_val ? color.red : color.gray
    table.cell(vp_table, 1, 4, position_text, bgcolor=color.new(position_color, 70), text_color=color.white)
    
    // Signal
    table.cell(vp_table, 0, 5, "Signal:", text_color=color.white)
    signal_text = price_below_val ? "Bullish" : price_above_vah ? "Bearish" : price_at_poc ? "Neutral" : "-"
    signal_color = signal_text == "Bullish" ? color.green : signal_text == "Bearish" ? color.red : color.gray
    table.cell(vp_table, 1, 5, signal_text, bgcolor=color.new(signal_color, 70), text_color=color.white)

// ============================================================================
// PLOTTING
// ============================================================================

// Highlight value area
value_area_top = show_vah_val ? vah_price : na
value_area_bottom = show_vah_val ? val_price : na

plot(value_area_top, "VAH", color.new(vah_val_color, 80), linewidth=1, style=plot.style_line)
plot(value_area_bottom, "VAL", color.new(vah_val_color, 80), linewidth=1, style=plot.style_line)

// Fill value area
fill_color = price_in_value_area ? color.new(color.gray, 95) : na
fill(plot(value_area_top, display=display.none), plot(value_area_bottom, display=display.none), fill_color)

// Plot POC
plot(show_poc and show_developing_poc ? poc_price : na, "Developing POC", poc_color, linewidth=2, style=plot.style_circles)

// ============================================================================
// ALERTS
// ============================================================================

alertcondition(price_at_poc, "Price at POC", "Price reached POC on {{ticker}}")
alertcondition(price_above_vah and price_above_vah[1] == false, "Price Above VAH", "Price moved above VAH on {{ticker}}")
alertcondition(price_below_val and price_below_val[1] == false, "Price Below VAL", "Price moved below VAL on {{ticker}}")