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Using Volume Profile in an automated strategy

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    Using Volume Profile in an automated strategy

    Hi! I understand that the current Order Flow Volume Profile tool doesn't have any APIs available to build a strategy around, but I am wondering if anyone has been able to make a strategy work using this concept. Are there any freely available indicators that can be used instead?
    Otherwise, do you think it's a good idea to construct a volume profile using VolumetricBars?
    What would be an appropriate data structure to use to create a volume profile?
    I am pretty new to C# but have experience with Python so any links to resources would be greatly appreciated.
    Thanks!

    #2
    Hello hautdoge,

    The only direction I could give here would be that there is a VolumeProfile indicator that comes with NinjaTrader that shows how you can build the volume profile in code or collect the volume at each price. That could be used as a general starting point for learning how to work with data in profile form. I couldn't provide any suggestions on how to replicate any of the features from the orderflow tool as that is closed source currently.

    JesseNinjaTrader Customer Service

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