Profiles

Order flow and volume analysis tools: footprint bars, volume profile, and market profile (TPO).

FootprintBar

Tracks bid/ask volume at each price level within a bar for order flow analysis.

fp = flox.FootprintBar(tick_size=0.01)

Parameter	Type	Description
tick_size	float	Price level granularity

Methods

add_trade(price, quantity, is_buy)

Add a single trade.

add_trades(prices, quantities, is_buy)

Add trades from numpy arrays (GIL released).

fp.add_trades(
    prices=np.array([100.0, 100.01, 100.0]),
    quantities=np.array([5.0, 3.0, 2.0]),
    is_buy=np.array([1, 0, 1], dtype=np.uint8),
)

total_delta() -> float

Net delta (buy volume - sell volume).

total_volume() -> float

Total volume across all levels.

num_levels() -> int

Number of price levels with activity.

levels() -> list[dict]

All price levels with volume breakdown.

for lvl in fp.levels():
    print(f"{lvl['price']}: bid={lvl['bid_volume']}, ask={lvl['ask_volume']}, "
          f"delta={lvl['delta']}, imbalance={lvl['imbalance_ratio']:.2f}")

Key	Type	Description
price	float	Price level
bid_volume	float	Buy volume at level
ask_volume	float	Sell volume at level
delta	float	Bid - ask volume
imbalance_ratio	float	Volume imbalance ratio
total_volume	float	Total volume at level

highest_buying_pressure() -> float

Price with the most buy volume.

highest_selling_pressure() -> float

Price with the most sell volume.

strongest_imbalance(threshold=0.7) -> float | None

Price level with the strongest volume imbalance above threshold, or None.

clear()

Reset all data.

---

VolumeProfile

Volume distribution across price levels. Computes POC, value area, and per-level delta.

vp = flox.VolumeProfile(tick_size=0.01)

Methods

add_trade(price, quantity, is_buy)

Add a single trade.

add_trades(prices, quantities, is_buy)

Add trades from numpy arrays (GIL released).

poc() -> float

Point of Control — price level with the highest volume.

value_area_high() -> float

Upper bound of the value area (70% of volume).

value_area_low() -> float

Lower bound of the value area.

total_volume() -> float

Total volume across all levels.

total_delta() -> float

Net delta across all levels.

num_levels() -> int

Number of active price levels.

levels() -> list[dict]

All levels with volume breakdown.

Key	Type	Description
price	float	Price level
volume	float	Total volume
buy_volume	float	Buy volume
sell_volume	float	Sell volume
delta	float	Buy - sell volume

volume_at(price) -> float

Volume at a specific price level.

clear()

Reset all data.

---

MarketProfile

Market Profile (TPO) aggregator. Tracks price activity across time periods for auction theory analysis.

mp = flox.MarketProfile(tick_size=0.01, period_minutes=30, session_start_ns=start_ns)

Parameter	Type	Description
tick_size	float	Price level granularity
period_minutes	int	TPO period duration
session_start_ns	int64	Session start timestamp (unix ns)

Methods

add_trade(timestamp_ns, price, quantity, is_buy)

Add a single trade with timestamp.

add_trades(timestamps_ns, prices, quantities, is_buy)

Add trades from numpy arrays (GIL released).

poc() -> float

Point of Control.

value_area_high() -> float

Value area high.

value_area_low() -> float

Value area low.

initial_balance_high() -> float

Initial balance high (first period's high).

initial_balance_low() -> float

Initial balance low (first period's low).

single_prints() -> list[float]

Price levels visited in only one TPO period (potential support/resistance).

is_poor_high() -> bool

Whether the profile has a poor high (weak auction at top).

is_poor_low() -> bool

Whether the profile has a poor low.

num_levels() -> int

Number of price levels.

current_period() -> int

Current TPO period index.

levels() -> list[dict]

All levels with TPO data.

Key	Type	Description
price	float	Price level
tpo_count	int	Number of TPO periods at this level
is_single_print	bool	Only visited in one period

clear()

Reset all data.