BTC Volume Index 1.1 beta [Dia] — Indicator by Diabolicus

bitcoin volume index

Indicator calculates total volume across multiple bitcoin exchanges. The influence of each exchange can be adjusted seperately.
0 fee exchanges default to 50%
0 fee futures default to 10%
Define custom lookback periods for price breakout detection.
Look for low-volume price reversals in those candles immediately following high volume peaks. The lower the volume and the greater the open/close price difference of that 2nd candle is compared to the previous one, the higher the likelihood of a local top/bottom being in.

Note:
Bar highlighting is still experimental, future versions will include better filtering options.
Use for confirmation only, not as standalone trading system.

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

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.

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study(title="BTC Volume Index 1.1 [Dia]", shorttitle="BTCVx_Dia", overlay=false)
//
// 150911 v1.0 
// calculate total volume across exchanges, influence of exchanges weighted individually
// 0 fee exchanges default to 50%
// 0 fee futures default to 10%
// 150915 v1.1
// define custom long / short lookback periods to identify peak buy / sell activity
// light green / red = above average volume & price above / below short lookback period
// dark green / red =  above average volume & price above / below long lookback period
// look for price reversals following high volume peaks
//
slow_ma = input(100,title="Volume Slow SMA")
fast_ma = input(3,title="Volume Fast EMA")
long_lb = input(10,title="Long Lookback Period")
short_lb = input(5,title="Short Lookback Period")
lb = input(true,title="Highlight High Volume Peaks?")
s_okcs = input(defval=0.5,minval=0,maxval=1,step=0.1, title="Include OKCoin USD Spot?")
s_okc1 = input(defval=0.1,minval=0,maxval=1,step=0.1, title="Include OKCoin USD 1W Future?")
s_okc2 = input(defval=0.1,minval=0,maxval=1,step=0.1, title="Include OKCoin USD 2W Future?")
s_okc3 = input(defval=0.1,minval=0,maxval=1,step=0.1, title="Include OKCoin USD 3M Future?")
s_okccs = input(defval=0.5,minval=0,maxval=1,step=0.1, title="Include OKCoin CNY Spot?")
s_btcchina = input(defval=0.5,minval=0,maxval=1,step=0.1, title="Include BTCCHina CNY?")
s_huobi = input(defval=0.5,minval=0,maxval=1,step=0.1, title="Include Huobi CNY?")
s_stamp = input(defval=1,minval=0,maxval=1,step=0.1, title="Include Bitstamp USD?")
s_bfx = input(defval=1,minval=0,maxval=1,step=0.1, title="Include Bitfinex USD?")
s_btce = input(defval=1,minval=0,maxval=1,step=0.1, title="Include BTC-E USD?")
s_btcee = input(defval=1,minval=0,maxval=1,step=0.1, title="Include BTC-E EUR?")
s_kraken = input(defval=1,minval=0,maxval=1,step=0.1, title="Include Kraken EUR?")

sym_v(s)=>security(s,period,volume)
sym_h(s)=>security(s,period,high)
sym_l(s)=>security(s,period,low)

// Exchange pairs must be normalized to USD, so multiply by EURUSD or divide by USDCNH respectively
okc_sv = sym_v("OKCOIN:BTCUSD")
okc_1v = sym_v("OKCOIN:BTCUSD1W")
okc_2v = sym_v("OKCOIN:BTCUSD2W")
okc_3v = sym_v("OKCOIN:BTCUSD3M")
okcc_sv = sym_v("OKCOIN:BTCCNY")
btcchina_sv = sym_v("BTCCHINA:BTCCNY")
huobi_sv = sym_v("HUOBI:BTCCNY")
stamp_sv = sym_v("BITSTAMP:BTCUSD")
bfx_sv = sym_v("BITFINEX:BTCUSD")
btce_sv = sym_v("BTCE:BTCUSD")
btcee_sv = sym_v("BTCE:BTCEUR")
kraken_sv = sym_v("KRAKEN:XBTEUR")

//calculate total volume
total_v =(okc_sv*s_okcs+okc_1v*s_okc1+okc_2v*s_okc2+okc_3v*s_okc3+okcc_sv*s_okccs+btcchina_sv*s_btcchina+huobi_sv*s_huobi+stamp_sv*s_stamp+bfx_sv*s_bfx+btce_sv*s_btce+btcee_sv*s_btcee+kraken_sv*s_kraken)

okc_sh = sym_h("OKCOIN:BTCUSD")
okc_1h = sym_h("OKCOIN:BTCUSD1W")
okc_2h = sym_h("OKCOIN:BTCUSD2W")
okc_3h = sym_h("OKCOIN:BTCUSD3M")
okcc_sh = sym_h("OKCOIN:BTCCNY")
btcchina_sh = sym_h("BTCCHINA:BTCCNY")
huobi_sh = sym_h("HUOBI:BTCCNY")
stamp_sh = sym_h("BITSTAMP:BTCUSD")
bfx_sh = sym_h("BITFINEX:BTCUSD")
btce_sh = sym_h("BTCE:BTCUSD")
btcee_sh = sym_h("BTCE:BTCEUR")
kraken_sh = sym_h("KRAKEN:XBTEUR")

//calculate mean high
mean_h =(okc_sh*s_okcs+okc_1h*s_okc1+okc_2h*s_okc2+okc_3h*s_okc3+okcc_sh*s_okccs+btcchina_sh*s_btcchina+huobi_sh*s_huobi+stamp_sh*s_stamp+bfx_sh*s_bfx+btce_sh*s_btce+btcee_sh*s_btcee+kraken_sh*s_kraken)

okc_sl = sym_l("OKCOIN:BTCUSD")
okc_1l = sym_l("OKCOIN:BTCUSD1W")
okc_2l = sym_l("OKCOIN:BTCUSD2W")
okc_3l = sym_l("OKCOIN:BTCUSD3M")
okcc_sl = sym_l("OKCOIN:BTCCNY")
btcchina_sl = sym_l("BTCCHINA:BTCCNY")
huobi_sl = sym_l("HUOBI:BTCCNY")
stamp_sl = sym_l("BITSTAMP:BTCUSD")
bfx_sl = sym_l("BITFINEX:BTCUSD")
btce_sl = sym_l("BTCE:BTCUSD")
btcee_sl = sym_l("BTCE:BTCEUR")
kraken_sl = sym_l("KRAKEN:XBTEUR")

//calculate mean low
mean_l =(okc_sl*s_okcs+okc_1l*s_okc1+okc_2l*s_okc2+okc_3l*s_okc3+okcc_sl*s_okccs+btcchina_sl*s_btcchina+huobi_sl*s_huobi+stamp_sl*s_stamp+bfx_sl*s_bfx+btce_sl*s_btce+btcee_sl*s_btcee+kraken_sl*s_kraken)

// logic
range = mean_h-mean_l
long_lb_h = highest(mean_h[1],long_lb)
long_lb_l = lowest(mean_l[1],long_lb)
long_highpercent = mean_h > long_lb_h ? lb*(mean_h-long_lb_h)/range : 0
long_lowpercent  = mean_l < long_lb_l ? lb*(long_lb_l-mean_l)/range : 0
short_lb_h = highest(mean_h[1],short_lb)
short_lb_l = lowest(mean_l[1],short_lb)
short_highpercent = mean_h > short_lb_h ? lb*(mean_h-short_lb_h)/range : 0
short_lowpercent  = mean_l < short_lb_l ? lb*(short_lb_l-mean_l)/range : 0

// plot values
total_vol = plot(total_v,color=#FFAA22,style=columns,transp=20)
short_low_vol  = plot(-total_v*short_lowpercent,color=#FF4444,style=columns,transp=20)
short_high_vol = plot(total_v*short_highpercent,color=#44FF44,style=columns,transp=20)
long_low_vol  = plot(-total_v*long_lowpercent,color=red,style=columns,transp=20)
long_high_vol = plot(total_v*long_highpercent,color=green,style=columns,transp=20)
barcolor=barcolor(total_v*long_highpercent > sma(total_v,slow_ma) ? green : total_v*long_lowpercent > sma(total_v,slow_ma) ? red : na)
total_vol_fast_ma = plot(ema(total_v,fast_ma),color=#FF0000,linewidth=1,style=area,transp=90)
total_vol_slow_ma = plot(sma(total_v,slow_ma),color=#0000AA,linewidth=1)