Multi-Exchange VWAP Aggregator (Crypto)

9월 15일

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.

10월 4일

릴리즈 노트

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

10월 29일

릴리즈 노트

Update version, use library.

10월 29일

릴리즈 노트

Use 3000 bars as conservative limit to avoid buffer overrun

10월 29일

릴리즈 노트

Attempt to fix.