Volume at price

Volume at price is the quantity traded at each individual price level over a period, as opposed to volume per time bar. It is the raw series a volume profile is drawn from, and, when split into bid and ask volume, the raw series a footprint chart is drawn from.

Senzoukria · Glossary · Updated September 2026

From trades to a profile

Every trade has a price and a size. Group the trades of a period by price and sum the sizes, and you have volume at price: one number per level. Plot those numbers horizontally and you have a volume profile. Keep the aggressor side of each trade, so that each level holds a bid volume and an ask volume, and you have the cells of a footprint, with delta equal to ask volume minus bid volume per level.

The senzoukria.com guide on volume profile describes the change of viewpoint: a normal chart answers when it was busy, volume at price answers which prices the market agreed on.

  • Input: individual trades with price, size and (for footprints) aggressor side.
  • Aggregation: by price level, at the instrument's tick size or a chosen grouping of ticks.
  • Outputs: volume profile, POC, value area, footprint cells, imbalances.

Data requirements

Volume at price requires a trade-level or level-aggregated feed. OHLCV bars do not contain it: a bar with a volume of 1,000 does not say how those contracts were spread across its range. Any profile built from bars alone is an approximation that spreads the bar's volume across its range by some rule, and it should be labelled as such.

Missing levels are missing, not zero. If a provider delivers no trades for a stretch of time, the profile has a hole for that stretch; drawing it as a thin level would invent a low volume node that never existed.

In Senzoukria

The footprint chart's Volume Profile cell type and the Volume Profile (session) overlay draw volume at price, per bar and per period respectively. The Volume per Level indicator computes the average volume per distinct price level of a bar, which the app's description calls the density of the auction: high when every price was heavily worked, low when price slid from level to level. Its numerator is the sum of the levels, not the bar's total volume field, so that a discarded level cannot distort the average.

For crypto, the Crypto history and profiles setting describes Binance Spot / Perp candles and real volume at price, imported progressively and kept on disk; the crypto footprint guide on the site covers that feed. Crypto in the app is for analysis only. For futures, the level data comes from the connected provider and is billed by that provider; the app's account hints distinguish server bars, which carry OHLC, volume and delta but no footprint levels, from the tick drain that a per-level strategy needs.

Common mistakes

  • Building a profile from OHLCV bars and presenting it as volume at price.
  • Comparing volume at price across instruments with different tick sizes without grouping levels consistently.
  • Treating an empty level as a zero-volume level. A gap in the feed is an unknown.
  • Forgetting that a profile's shape depends on the level grouping: one tick per row and five ticks per row can show different nodes.

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Frequently asked questions

What is the difference between volume at price and volume per bar?
Volume per bar sums all trades in a time interval, whatever their price. Volume at price sums all trades at a given price level, whatever their time. The first is the histogram under a normal chart; the second is the horizontal histogram of a volume profile. Only the second tells you where within the range the trading happened.
Can volume at price be built from candlestick data?
Not exactly. A candle carries one volume figure for its whole range and does not record how trades were distributed across prices. Any profile built from candles spreads the volume by an assumed rule and is an approximation. Senzoukria's crypto history setting refers explicitly to real volume at price imported from Binance, and for futures the level data comes from the connected provider's trade feed.
Does volume at price include the aggressor side?
A plain volume profile does not need it: it only sums sizes per price. A footprint does: each level is split into volume traded at the bid and volume traded at the ask, and the delta is the ask volume minus the bid volume. The app's own hints note that server bars carry OHLC, volume and delta but not per-level bid and ask, which is why the tick feed is required for footprints.

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