Indicator

Fathom Profile

See where trading concentrates. The volume profile maps volume by price and, by default, draws the value area holding 70% of it.

Volume profile of the current session, accumulated over closed bars. On each closed bar, a final point gives the POC, the value area (valueAreaPercent of the volume, widened by at least one level around the POC), the VWAP and the volume-weighted standard deviation.

Identifier: session-profile
Objects received: values
Calculation: Since the start of the week
Historical cost: 1 unit per trade

The same params work in real time, on historical data and in exports. Any you leave out take their default value.

Subscribe message

{
  "t": "subscribe",
  "sub": "session-profile",
  "instrument": "NQ.front",
  "indicator": "session-profile",
  "params": {
    "timeframe": 300,
    "valueAreaPercent": 70
  },
  "mode": "live",
  "from": "live"
}

Parameters

As soon as a parameter differs from its default, the subscription counts as a custom configuration. A new value may require preparing a new calculation (status warming).

Parameter	Type	Default	Allowed values	Unit	Description
`timeframe`	integer	`300`	15 · 60 · 300	—	Bar duration in seconds: 15, 60 or 300.
`valueAreaPercent`	integer	`70`	1 to 100	%	Share of the volume contained in the value area.

Objects received

Each object keeps the same id from one update to the next. Its data is in the data field. Prices are in ticks: multiply them by the instrument’s tick size (GET /v1/instruments) to get points.

`values` sent complete

Values at the close of the bar.

Format of the id: <barStartNs>. Each object is sent once, already complete (final: true).

Field	Type	Unit	Present	Description
`poc`	integer	ticks	always	Session POC at the close of the bar.
`sd`	number	ticks	always	Volume-weighted standard deviation of prices; ±k bands = vwap ± k·sd.
`vah`	integer	ticks	always	Value area high (VAH).
`val`	integer	ticks	always	Value area low (VAL).
`vwap`	number	ticks	always	Session VWAP.

Calculation warm-up

The calculation starts over at the beginning of every week (Saturday 00:00 UTC). During the weekend close it keeps the state of the past week; objects still open are finalized on the first trade of the new week. If nobody is using your parameters yet, the server first recomputes the week since its start (status warming), then goes live (status live).

Historical data follows the same rules: a query over a past period returns exactly what the real-time stream published.

Example messages

Messages received with the subscription parameters above. Over WebSocket, each message also carries sub and cursor.

Final version

{
  "t": "upsert",
  "id": "1790207700000000000",
  "final": true,
  "ts": "1790208000058746563",
  "data": {
    "poc": 123076,
    "vah": 123177,
    "val": 122990,
    "vwap": 123131.51652638057,
    "sd": 63.49728844602092
  }
}

JSON schemas

To validate or type your data: the JSON schemas of the parameters and of data, also available from GET /v1/indicators. The SDK can generate types from them.

Parameters schema

JSON

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "$id": "https://fathomcharts.com/schemas/session-profile/params.json",
  "type": "object",
  "additionalProperties": false,
  "properties": {
    "timeframe": {
      "type": "integer",
      "default": 300,
      "enum": [
        15,
        60,
        300
      ],
      "description": "Bar duration in seconds: 15, 60 or 300."
    },
    "valueAreaPercent": {
      "type": "integer",
      "default": 70,
      "minimum": 1,
      "maximum": 100,
      "description": "Share of the volume contained in the value area."
    }
  }
}

Schema of the data field