After a big research on internet, finlly i decided to do my own Market Profile indicator.
The problem with the free Market Profiles on internet is that they do not have a real volume information. For real volume, we need a tick volume data. Most of the free indicators doing same funny calculations on the historical bar data. At the end the result is almost the same, but it is not exactly. My indicator is collecting the volume information on each tick and save it to a file on the HDD. And this is the only way to have historical tick volume with NT(unless you have a data provider, who offer a historical tick data). that's why the indicator needs a real time data or replay data, not historical.
And here is my question: I am not sure how to deal with the Pre-market volume and the After-market volume. So far i just ignore both of them. I mean from the Pre-market i take only the ONH and ONL (OverNight High and Low), i ignore the volume and i do not include it in the calculations for the Value Area(Do i need to include it????). And the After-Market volume i just ignore it.....
This is a demo of what i accomplished until now (1 week of work). It is working only for the current day and does not save any data on the disk. Do you like what you see so far?
I tested with Russell 2000 and S&P500....
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