Multi-Exchange VWAP Aggregator (Crypto)

15 Eyl

Description:

This advanced VWAP indicator aggregates volume data from up to 9 cryptocurrency exchanges simultaneously, providing a more accurate volume-weighted average price than single-exchange VWAP calculations.

Key Features:

1. Multi-Exchange Aggregation - Combines volume from Binance, Coinbase, Bybit, Bitfinex, Bitstamp, Deribit, OKEx, Phemex, and FTX
   
2. Flexible Currency Pairs - Supports both spot (USD, USDT, EUR, USDC, BUSD, DAI) and perpetual futures contracts
   
3. Standard Deviation Bands - Includes customizable 1σ, 2σ, and 3σ bands for identifying overbought/oversold levels
   
4. Multiple Reset Periods - Daily, Weekly, Monthly, or Session-based VWAP calculations
   
5. Volume Calculation Options - Choose between SUM, AVG, MEDIAN, or VARIANCE for volume aggregation
   

Why Use This?

Traditional VWAP indicators only use volume from a single exchange, which can be misleading in fragmented crypto markets. This indicator provides a comprehensive market-wide VWAP by aggregating volume across major exchanges, giving you a more reliable benchmark for entries, exits, and institutional price levels.
Perfect for traders who want to see where the real volume-weighted price sits across the entire crypto market, not just one exchange.

4 Eki

Sürüm Notları

Fix supported exchanges as per comment and add ability to extend right the prev VWAPs by daily/weekly/monthly+

29 Eki

Sürüm Notları

Update version, use library.

29 Eki

Sürüm Notları

Use 3000 bars as conservative limit to avoid buffer overrun

29 Eki

Sürüm Notları

Attempt to fix.