Value area

The value area is the contiguous range of prices around the point of control that contains a chosen share of the period's traded volume, 70 percent by convention, bounded by the value area high (VAH) above and the value area low (VAL) below. Trading inside it is read as acceptance; trading outside it with volume is read as the market seeking a new range.

Senzoukria · Glossary · Updated September 2026

How it is computed

The canonical algorithm attributed to Steidlmayer starts at the POC with a running total equal to its volume. While the running total is below the target share, it compares the volume of the two levels above the current upper bound against the volume of the two levels below the current lower bound. The larger pair wins and the bound on that side advances by two ticks; the process repeats until the target is reached, capped at the profile's real range.

  • Step size: two ticks per side per iteration, so the width is usually an even number of ticks unless capped by the range.
  • Tie between the two pairs: the upper side advances first, the ATAS rule, which Senzoukria follows.
  • Tick size is required; without it the step is undefined and no value area is drawn.
  • Target share: 70 percent by default, adjustable within a range, and part of the definition of the result.

What the width says

  • A narrow value area means most of the volume fits in a few ticks: a locked auction, often a balance bar or a quiet session.
  • A wide value area means volume spread across many prices: price was searching rather than agreeing.
  • Compared with the total range, a narrow value area inside a wide range identifies a bar or session with long tails and a small accepted core.
  • A single-level profile has VAH equal to VAL and a width of zero, which is a legitimate measurement, not an error.

In Senzoukria

Session VAH/VAL (developing) is an overlay indicator in the Profiles & levels group drawing two lines from the exact Steidlmayer algorithm on the cumulative session profile, with a Value Area % parameter defaulting to 70 and separate VAH and VAL colours. Value Area Width (ticks), in the Volume group, plots VAH minus VAL per bar as an integer tick count and produces no point when the tick size is unknown.

The heatmap's Volume profile section has a Value area colour, and its POC / VA / VWAP levels toggle draws VAH and VAL from the Profile history window. The footprint layer setting notes that placing the footprint in front runs the session POC, VAH and VAL lines underneath it.

Common mistakes

  • Assuming every platform computes the value area the same way. Step size, tie rule and starting point all vary, and results can differ by a tick or two.
  • Treating the 70 percent figure as a property of markets rather than a chosen parameter.
  • Reading a value area computed from a partial session as if the session were complete.

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Frequently asked questions

Why does the value area expand two ticks at a time?
It is a convention of the original algorithm, kept so that results match across platforms that implement it faithfully. Comparing pairs of levels smooths the choice between sides, since a single noisy level would otherwise flip the direction of expansion. The consequence is that the width is generally an even number of ticks unless the profile's range caps it.
Is the value area the same as a standard deviation band?
No. A standard deviation band assumes a distribution shape and is computed from mean and variance. The value area is built directly from the histogram by accumulating volume outward from the POC, with no distributional assumption. On a skewed or bimodal profile the two can differ substantially.
What does it mean when price closes outside the value area?
That the bar or session ended at a price where less than the chosen share of volume had traded. If volume follows price there, the market is accepting the new area and the value area will migrate as the profile fills in. If volume does not follow, the excursion is read as rejection. The profile alone identifies which case applies only after the fact.

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