Aggregated Volume Profile Spot & Futures

The Aggregated Volume Profile Spot & Futures indicator consolidates volume data from up to nine different exchanges to provide a comprehensive view of market liquidity across spot and futures markets. This tool is designed specifically for cryptocurrency assets, allowing users to analyze aggregated volume profiles to identify high-interest price levels and institutional activity across the entire crypto ecosystem.

Usage

The Usage section describes how the script can be used to analyze market depth and liquidity. The indicator allows users to define a specific time range to generate a Volume Profile based on aggregated data from multiple sources.

• Market Selection: Users can toggle between "Single" and "Aggregated" modes. Single mode reflects only the current chart's volume, while Aggregated mode fetches data from selected exchanges like Binance, Bybit, Coinbase, and OKX.
• Currency Conversion: The volume can be displayed in various denominations (Asset/Coin, USD, EUR, or RUB), facilitating a standardized view of liquidity regardless of the base currency.
• Statistical Analysis: By changing the calculation method (Sum, Average, Median, or Variance), traders can interpret whether volume is concentrated in a specific exchange or evenly distributed across the market.
• Delta Interpretation: The script visualizes bullish and bearish volume distributions within the profile, helping to identify the dominance of buyers or sellers at specific price levels.

Details

The script operates by using the request.security function to fetch volume data from various tickers (Spot and Perpetual Futures) across different exchanges. Because it targets the base currency of the current symbol, it can dynamically build a profile for most major cryptocurrencies.

The construction of the profile uses a fixed-range method where the user selects a start and end time. The script then segments the price action into rows (bins) and distributes the volume based on price movement within those intervals. For aggregated calculations, the tool automatically handles conversions for different quote currencies (e.g., converting USDT or EUR pairs back to a common denominator) to ensure the Volume Profile reflects accurate global liquidity.

Settings

General Settings

• Data Type: Choose between "Single" (current ticker only) or "Aggregated" (combined data from multiple exchanges).
• Calculate By: Defines the aggregation logic (SUM, AVG, MEDIAN, or VARIANCE).
• Volume By: Sets the currency unit for volume display (COIN, USD, EUR, RUB).
• Row Size: Adjusts the number of horizontal bars in the volume profile.
• Value Area: Sets the percentage of total volume to be highlighted as the Value Area (default is 70%).

Visuals

• POC/VAH/VAL: Toggle the visibility and colors for the Point of Control, Value Area High, and Value Area Low.
• Up/Down Colors: Customizes the colors for bullish and bearish volume segments within the profile.

Exchanges & Currency

• Exchange Toggles (1-9): Enable or disable specific exchanges from the aggregation list.
• Spot/Perp Selectors: Define which pair types (USDT, USD, USD.P, etc.) to fetch for each exchange.
• Custom Inputs: Allows users to manually enter rare pairs or specific exchange tickers not listed in the defaults.

FAQ

Which assets does this indicator support? This indicator is strictly for cryptocurrency tickers. It relies on the base currency of the symbol to fetch data from other crypto-specific exchanges.

Can I use this for stocks or forex? No, the logic is hardcoded to look for crypto exchange prefixes and specific pair suffixes like ".P" for perpetuals, which are not applicable to traditional markets.

How do I access the Aggregated Volume Profile Spot & Futures? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.