CompositeProfile

A multi-session volume profile reduced to its point of control and value area — the swing-horizon levels that matter.

Quick reference

Field	Value
Family	Market Profile
Input type	Candle (high / low / volume)
Output type	CompositeProfileOutput { poc, vah, val }
Output range	price levels; val <= poc <= vah
Default parameters	(period = 100, bins = 50, value_area_pct = 0.70)
Warmup period	period
Interpretation	POC = fair price; value area = in-balance zone.

Formula

build a `bins`-bucket volume profile over the last `period` candles
POC = bin with the most volume
expand from the POC, always adding the heavier adjacent bin, until the
  accumulated volume reaches `value_area_pct` of the total
VAH / VAL = highest / lowest price included

A composite profile merges many sessions to reveal the dominant control price and value area over a longer horizon. The POC is the fairest price; the value area (classically 70%) brackets where the market spent most of its time. Source: crates/wickra-core/src/indicators/composite_profile.rs.

Parameters

Name	Type	Default	Valid range	Source	Description
period	usize	100	>= 1	composite_profile.rs:73	Composite window length.
bins	usize	50	>= 1	composite_profile.rs:73	Price buckets. 0 for either errors with Error::PeriodZero.
value_area_pct	f64	0.70	(0, 1]	composite_profile.rs:73	Fraction of volume in the value area. Outside (0, 1] errors with Error::InvalidParameter.

params() returns (period, bins, value_area_pct); value returns the current output if ready.

Inputs / Outputs

From crates/wickra-core/src/indicators/composite_profile.rs:

use wickra::{Candle, Indicator, CompositeProfile, CompositeProfileOutput};
// CompositeProfile: Input = Candle, Output = CompositeProfileOutput
const _: fn(&mut CompositeProfile, Candle) -> Option<CompositeProfileOutput> =
    <CompositeProfile as Indicator>::update;

A Candle in, an Option<CompositeProfileOutput> out. The Python binding returns a (poc, vah, val) tuple from update and an (n, 3) array from batch(high, low, volume); Node returns { poc, vah, val } and a flat Float64Array of length n*3; WASM mirrors the object with camelCase keys.

Warmup

warmup_period() == period. The composite window must fill first (first_emission_at_warmup_period pins this).

Edge cases

• Value area brackets POC. val <= poc <= vah always (value_area_brackets_poc pins this).
• POC at the cluster. A heavy cluster wins the POC (poc_at_heavy_cluster pins this).
• Flat window. A zero-span window collapses all three onto the price (guarded in the source).
• Finiteness. Candle::new rejects non-finite fields, so no in-method guard is needed.
• Reset. p.reset() clears the window and the last value (reset_clears_state).

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, CompositeProfile};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut p = CompositeProfile::new(20, 30, 0.70)?;
    let candles: Vec<Candle> = (0..40)
        .map(|i| { let b = 100.0 + (f64::from(i) * 0.3).sin() * 8.0;
                   Candle::new(b, b + 1.0, b - 1.0, b, 1_000.0, 0).unwrap() })
        .collect();
    let out = p.batch(&candles).last().unwrap().unwrap();
    println!("poc={:.1} vah={:.1} val={:.1}", out.poc, out.vah, out.val);
    Ok(())
}

Python

import numpy as np
import wickra as ta

p = ta.CompositeProfile(100, 50, 0.70)
high = ...; low = ...; volume = ...
poc, vah, val = p.batch(high, low, volume).T

Node

const ta = require('wickra');
const p = new ta.CompositeProfile(100, 50, 0.70);
console.log('warmupPeriod:', p.warmupPeriod()); // 100

Streaming

use wickra::{Candle, Indicator, CompositeProfile};

let mut p = CompositeProfile::new(100, 50, 0.70).unwrap();
let feed: Vec<Candle> = Vec::new(); // your live stream
for candle in feed {
    if let Some(out) = p.update(candle) {
        // price below out.val -> potential value migration / breakdown
    }
}

Streaming update and batch are equivalent tick-for-tick (batch_equals_streaming pins this).

Interpretation

1. Fair value. Trade reversion to the POC inside the value area; treat VAH/VAL as the balance edges.
2. Value migration. Acceptance (multiple closes) outside the value area signals the market is moving to a new value — trade with it.
3. Swing levels. A composite POC over many sessions is a higher-timeframe magnet than a single-session POC.

Common pitfalls

• Composite length. A longer period smooths the structure but lags shifts in value.
• Bin resolution. Coarse bins move the POC/value-area edges; keep consistent.
• Needs volume. Meaningless on synthetic volume.

References

Steidlmayer, J. P. — Market Profile / composite profiles; Dalton, J. F. (1993), Mind Over Markets.

See also

• Indicator-VolumeProfile — the full single-window profile.
• Indicator-ValueArea — the value area alone.
• Indicator-NakedPoc — untested points of control.
• Indicators-Overview — the full taxonomy.