Aggr. CDV / Delta Volume

The Aggr. CDV / Delta Volume indicator provides a comprehensive analysis of market volume flow by aggregating data from multiple exchanges and market types. It allows traders to observe Cumulative Volume Delta (CVD) and individual buy/sell pressure across Spot and Derivatives markets to identify significant divergences and trend exhaustion.

Usage

This tool is designed to provide a more accurate representation of market activity by consolidating volume from various sources rather than relying on a single exchange's data.

• Cumulative Volume Delta (CVD): Use the line or candle display to track the long-term accumulation of volume delta. Divergences between price and CVD often signal potential reversals.
• Aggregation Modes: Toggle between Spot, Futures, Perpetual, and combined market types to compare how different participant groups are interacting with the market.
• Normalization: The indicator automatically normalizes volume data (e.g., converting USD-based volume to coin-based volume) to ensure that the aggregation remains consistent across different exchange reporting standards.
• Basis Reset: Traders can periodically reset the CVD calculation to zero (e.g., daily, weekly, or monthly) to focus on volume flow within specific time cycles.
• Moving Average: An optional MA can be applied to the CVD line to identify the prevailing volume trend and filter out short-term noise.

Details

The script's core logic is based on estimating buy and sell volume for each period using price action and volume distribution. By aggregating this across multiple tickers, the indicator provides a "macro" view of liquidity. The aggregation logic supports up to 16 spot symbols and 12 futures symbols, which are user-configurable. When the "Use Aggregated Data" option is disabled, the script operates on the current chart symbol, making it versatile for any asset.

Settings

Aggregation

• Use Aggregated Data: Toggles between multi-exchange aggregation and single-symbol analysis.
• Market Type Aggregation: Selects the specific market segments to include in the calculation (Spot, Futures, Perp, etc.).

Reset Basis

• Reset CVD Basis Periodically: If enabled, resets the cumulative sum at the start of the selected timeframe.

Line / Candle

• Style: Choose between a standard line plot or a candle-based visualization for CVD.
• Heikin Ashi Candles: Applies Heikin Ashi smoothing to the CVD candles for clearer trend identification.

Moving Average

• Add MA to CVD: Toggles the visibility of a moving average over the CVD data.
• MA Type: Select from SMA, EMA, VWMA, WMA, or SMMA.
• MA Length: Sets the lookback period for the moving average calculation.

Symbols (Spot/Futures)

• Ticker Selection: Allows users to define which specific exchange tickers are included in the aggregate.
• Volume Base: Defines if the source reports volume in "Coin", "USD", or "Other" for normalization purposes.

FAQ

How can I use this on assets other than BTC? To use this for other assets, disable the "Use Aggregated Data" option in the settings, or manually update the ticker inputs to your desired asset's exchange listings.

What is the benefit of aggregating volume? Individual exchanges often have different participants and liquidity profiles. Aggregating data provides a clearer picture of the total market buy and sell pressure, reducing the impact of exchange-specific anomalies.

How do I access Aggr. CDV / Delta Volume? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.