BTCUSD Volume Weighted Average Price & Kairi

This indicator calculates VWAP(Volume Weighted Average Price) for major crypto exchanges with BTCUSD pairs and shows what percentage each exchange deviates from VWAP.
When the parameter "Display" is the default value "Deviation", this deviation is expressed in%. Therefore, VWAP is always drawn as "0.00".

VWAP is calculated using the BTCUSD prices and volumes of the following exchanges.
These exchanges are the ones BitMEX refers to when indexing (excluding ITBIT).

・ Coinbase
・ Bitstamp
・ Kraken
・ Gemini
・ Bittrex

Therefore, VWAP shows a price close to ".BXBT" of BitMEX.

However, while BitMEX has a fixed weight, VWAP of this indicator calculates the volume for each candlestick, so it will be closer to the actual value.
When there is a big movement in the short term, it is easy to be swayed.

If you set the parameter "Display" to "Deviation_SMA", it will calculate the simple moving average of the deviation rate, so it will be hard to be swayed.
Set the desired "Length".

If you want to know the actual value of VWAP, set the parameter "Display" to "Price" and the actual BTCUSD prices will be displayed.

* Warning: This indicator also shows BitMEX and Bitfinex, but these two exchanges are not included in the VWAP calculation. be careful.

リリースノート:

Fixed the exchange to be excluded from VWAP calculations if it is down for maintenance.
Changed the length of "Basis_SMA" to 10 in defval.

リリースノート:

Fixed a bug that caused the average price to overlap.

リリースノート:

I added BYBIT:BTCUSD (perpetual contract) for reference.
This is not used in the VWAP formula.

リリースノート:

I have added the Japanese exchange bitFlyer (spot and FX) .

These are not included in the VWAP calculation.

These are paired with JPY, but this indicator takes the USDJPY price and shows it in dollars.

This allows you to visualize the comparison between VWAP and Japanese exchange prices.


****** Caution! ******

"bitFlyerFX" is a very specific derivative product in a bad way.

This product has a very weak mechanism for correcting deviations from spot, and the mechanism does not work until the difference from spot exceeds ±5%.

Therefore, it is usually strongly recommended to hide it.

However, I have added this indicator because it is a strong indicator of Japanese speculative fervor.

リリースノート:

1) Added BITHUMB:BTCKRW converted to USD-denominated as an indicator of the physical price in Korea.

2) Carefully selected currency pairs for initial display. This is because it would be confusing if too many pairs were initially displayed.

By default, this indicator shows four Bitcoin perpetual futures ( XBTUSD.P , BYBIT:BTCUSD, BTCUSDT.P converted to USD, and BTCPERP ), one spot ( BTCUSD ), and the volume weighted average price (VWAP) of the spot.

The VWAP always shows 0%.
See how far the perpetual futures deviate from VWAP to help you guess the market's fears and desires.

リリースノート:

• Corrected BYBIT:BTCUSD to BYBIT:BTCUSD.P
  
• Changed the exchange used for VWAP calculation according to BitMEX announcement-index-weights-q2-2023.
  Bitfinex
  Binance US
  Bitstamp
  Coinbase
  Kraken
  
• Bittrex was removed.
  
• FTX was removed.
  
• Excluded GEMINI:BTCUSD from the VWAP formula, but not from the display items.
  
• Added an item to set the maximum and minimum values to be displayed for perp issues (default values are area_max:0.5%, area_min:-0.5%).
  

リリースノート:

The symbols for "perpetual" have been changed, causing errors to occur.
To address this issue, the symbol was corrected.
The perptual and some of the symbols have been made variable in case the same thing happens again.

リリースノート:

• BinanceUS was removed from the VWAP formula due to the high number of outliers in BinanceUS.
  
• BXBT of BitMEX is no longer used as a reference for the VWAP formula. I have reverted to my original method of calculating VWAP based on BTCUSD Spot from Coinbase, Bitstamp, Kraken, and Gemini.
  
• Instead, I have added an option to switch VWAP to BXBT. By turning this on, the VWAP value will be overwritten with BXBT. This option should be useful if an anomaly occurs on US exchanges due to political reasons.
  
• BTCUSD.P is added as a Perpetual Swap issue.
  
• The order in which parameters are displayed has been rearranged.
  
• Fine-tuned the position of the VWAP values to be displayed.
  

リリースノート:

• OKX:BTCUSD.P has been added as a permanent swap issue.
  
• Fine-tuned the position of the VWAP values to be displayed.
  

リリースノート:

BinanceUS BTCUSD completely removed.

This is because the BTCUSD symbol on BinanceUS is no longer there and it is now generating script errors.