Aggregated Delta (Buy/Sell) Volume

The Aggregated Delta (Buy/Sell) Volume indicator provides a comprehensive view of market activity by consolidating volume data from multiple exchanges and market types into a single readable metric. This tool allows traders to distinguish between estimated buy and sell pressure across spot and derivative markets, offering a more accurate representation of global volume flow than single-exchange data.

Usage

The indicator can be used to monitor the balance of power between buyers and sellers. By default, it displays the Delta Volume, which is the net difference between estimated buy and sell volume for each period. Positive bars indicate buying dominance, while negative bars indicate selling dominance.

Traders can toggle the "Show All Volume by Side" option to view the total buy and sell volume simultaneously rather than just the net delta. This is useful for identifying periods of high participation or "churn" where both buying and selling are significant.

The tool is highly versatile:

• BTC Analysis: It comes pre-configured with a wide array of Bitcoin spot and futures tickers to provide an "all-market" view.
• Custom Symbols: Users can disable the "Use Aggregated Data" option to apply the delta calculations to any single symbol currently on their chart.
• Normalization: For aggregated data, volume is normalized (e.g., to 1 BTC) to ensure comparisons across different exchanges and contract types remain consistent.

Details

This script is an evolution of volume analysis concepts originally developed by Ricardo M Arjona and Crypt0rus. It implements a sophisticated aggregation logic that fetches data from various exchanges (Binance, Coinbase, Bitstamp, Bybit, etc.) and categorizes them into Spot, Futures, or Perpetual markets.

A key feature is the normalization process. Different exchanges report volume differently (some in base currency, some in USD, and others in contract units like CME's 5 BTC contracts). This script manually adjusts these inputs to ensure the final output represents a unified unit of measurement, allowing for more reliable cross-market flow analysis.

Settings

Aggregation

• Use Aggregated Data: Toggles between aggregating multiple pre-defined symbols or using the current chart symbol only.
• Market Type Aggregation: Selects the specific market segment to aggregate (Spot, Futures, Perpetual, Derivatives, or All).

Display Options

• Show All Volume by Side: When enabled, the indicator displays raw Buy and Sell volumes separately. When disabled, it shows the net Delta.

Spot & Futures Symbols

• Symbol Toggles: Enable or disable specific exchanges from the calculation.
• Ticker Inputs: Define the specific ticker to be used for each slot.
• Base/Amount: Advanced settings to define if the volume is reported in "Coin", "USD", or "Other", and the multiplier required to normalize it to a single unit.

FAQ

How do I use this for coins other than Bitcoin? To use this for other symbols, disable the "Use Aggregated Data" option in the settings. This will perform the buy/sell delta calculations specifically for the symbol you have open on your chart.

Why does the volume look different from my exchange's volume? If aggregation is enabled, the indicator is summing volume from many different sources and normalizing them. This provides a "Global" volume view rather than just the data from a single exchange.

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