OPEN-SOURCE SCRIPT
Cross-Exchange VWAP with VAH/VAL
This indicator calculates a cross‑exchange VWAP by aggregating price and volume data from up to four major crypto exchanges: Coinbase, Binance, Bybit, and OKX.
It also derives Value Area High (VAH) and Value Area Low (VAL) using a volume‑weighted standard deviation around VWAP.
What this indicator does
Aggregates price × volume and volume from multiple exchanges for the same asset
Calculates a single, unified VWAP reflecting broader market activity rather than a single venue
Computes VAH and VAL as:
VAH = VWAP + k × σ
VAL = VWAP − k × σ
where σ is the volume‑weighted standard deviation and k is user‑configurable
Exchanges supported
Coinbase (default quote: USD)
Binance (default quote: USDT)
Bybit (default quote: USDT)
OKX (default quote: USDT)
Each exchange can be enabled/disabled individually, and symbol overrides are supported (e.g. BTCUSDT, BTCUSDT.P, ETHUSD).
VWAP anchoring options
You can choose how VWAP and Value Area reset:
Daily (UTC session)
Weekly
Monthly
None (fully cumulative)
Manual reset via input toggle
This makes it suitable for intraday, swing, and higher‑timeframe analysis.
Value Area configuration
Standard deviation multiplier (k) is configurable
k = 1.0 → ~68% band (default)
k ≈ 1.036 → ~70% band (normal assumption)
Optional shaded VAL–VAH area for quick visual context
Note: VAH/VAL are derived from VWAP ± σ, not from a full volume‑profile histogram.
This approach is computationally efficient and stable for real‑time trading.
Optional status table
An optional table (top‑right) displays:
Enabled exchanges
Active trading pairs per exchange
Volume availability status
Useful for quickly validating data coverage.
Intended use cases
Institutional‑style VWAP analysis across venues
Reducing single‑exchange bias in crypto trading
Identifying fair value, mean reversion zones, and acceptance areas
Intraday execution and swing trade context
Notes & limitations
Availability of symbols may vary by exchange
(use symbol overrides if needed)
Crypto sessions are UTC‑based for daily resets
Not a true Market Profile / volume‑at‑price VA calculation
It also derives Value Area High (VAH) and Value Area Low (VAL) using a volume‑weighted standard deviation around VWAP.
What this indicator does
Aggregates price × volume and volume from multiple exchanges for the same asset
Calculates a single, unified VWAP reflecting broader market activity rather than a single venue
Computes VAH and VAL as:
VAH = VWAP + k × σ
VAL = VWAP − k × σ
where σ is the volume‑weighted standard deviation and k is user‑configurable
Exchanges supported
Coinbase (default quote: USD)
Binance (default quote: USDT)
Bybit (default quote: USDT)
OKX (default quote: USDT)
Each exchange can be enabled/disabled individually, and symbol overrides are supported (e.g. BTCUSDT, BTCUSDT.P, ETHUSD).
VWAP anchoring options
You can choose how VWAP and Value Area reset:
Daily (UTC session)
Weekly
Monthly
None (fully cumulative)
Manual reset via input toggle
This makes it suitable for intraday, swing, and higher‑timeframe analysis.
Value Area configuration
Standard deviation multiplier (k) is configurable
k = 1.0 → ~68% band (default)
k ≈ 1.036 → ~70% band (normal assumption)
Optional shaded VAL–VAH area for quick visual context
Note: VAH/VAL are derived from VWAP ± σ, not from a full volume‑profile histogram.
This approach is computationally efficient and stable for real‑time trading.
Optional status table
An optional table (top‑right) displays:
Enabled exchanges
Active trading pairs per exchange
Volume availability status
Useful for quickly validating data coverage.
Intended use cases
Institutional‑style VWAP analysis across venues
Reducing single‑exchange bias in crypto trading
Identifying fair value, mean reversion zones, and acceptance areas
Intraday execution and swing trade context
Notes & limitations
Availability of symbols may vary by exchange
(use symbol overrides if needed)
Crypto sessions are UTC‑based for daily resets
Not a true Market Profile / volume‑at‑price VA calculation
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.