Aggregated VWAP

The Aggregated VWAP indicator tool calculates and plots a volume-weighted average price based on data from multiple exchanges simultaneously, providing a more comprehensive view of an asset's true value across the global market.

Usage

The Usage section focuses on identifying price discrepancies and broad market trends by combining liquidity from various sources. Users can compare the VWAP of their current chart's exchange against the aggregated average of up to five additional exchanges.

Examples of usage include:

• Arbitrage Identification: Spotting differences between the local exchange VWAP and the global aggregated VWAP to identify potential premium or discount zones.
• Support/Resistance Levels: Using the aggregated volume-weighted levels as higher-conviction support or resistance compared to a single-exchange VWAP.
• Standard Deviation Analysis: Utilizing the integrated bands to identify overextended price movements relative to the multi-exchange average.

Details

This script functions by using request.security to fetch price and volume data from external tickers defined in the settings. It then calculates a cumulative weighted average of these prices based on the total volume across all selected platforms. Unlike a standard VWAP that relies on a single data feed, this implementation averages the prices and sums the volumes to create a synthetic "global" VWAP. The standard deviation bands are calculated based on the variance of the average price relative to this aggregated mean.

Settings

VWAP Settings

• Show current assets VWAP: Toggles the visibility of the VWAP specific to the chart's current symbol.
• Hide VWAP on 1D or Above: When enabled, the indicator will not display on daily or higher timeframes.
• Anchor Period: Sets the timeframe for resetting the VWAP calculations (Session, Week, Month, Quarter, Year, etc.).
• Source: The price input used for calculations (default is hlc3).
• Offset: Shifts the plot forward or backward in time.

Standard Deviation Bands Settings

• Bands Multiplier #1-3: Determines the distance of the standard deviation bands from the VWAP.
• Show Band #1-3: Toggles the visibility of the respective upper and lower bands and their fills.

Aggregation Tickers

• Ticker Toggle: Enables or disables specific external data sources.
• Exchange: The exchange identifier (e.g., BINANCE, COINBASE).
• Suffix: The specific ticker suffix for the asset (e.g., USDTPERP, USD).

FAQ

How do I access the Aggregated VWAP?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.

Can I use this for any asset?

Yes, as long as you provide the correct exchange and suffix in the settings, the indicator will attempt to fetch data for the base currency of your current chart from those specified sources.

Why is the line flat or missing?

Ensure that the "Exchange" and "Suffix" inputs are correct for the asset you are viewing. If the data vendor does not provide volume for a selected ticker, the calculation may be affected.