CVD Multi Exchange Percentile

CVD Multi Exchange Percentile

Aggregated order flow across four major crypto derivatives exchanges — with historical percentile ranking to measure how extreme today's session really is.

A Cumulative Volume Delta (CVD) indicator with daily reset, divergence detection, and absorption signals, built for perpetual futures.
It combines Binance, Bybit, OKX, and Bitget into a single aggregated flow, then ranks it against its own history to give you objective context.

█ 🧩 KEY FEATURES

🔹 Multi Exchange Aggregation
Four sources (Binance, Bybit, OKX, Bitget) can be toggled independently. The aggregated delta captures cross-exchange order flow that single-source CVD cannot detect — especially during liquidations or arbitrage-driven moves.

🔹 Historical Percentile System
Each session's peak CVD is stored in a rolling buffer, separated by direction (bull vs bear). The current session is ranked against this distribution to measure how extreme the flow is compared to recent history.

🔹 Live Percentile
A real-time percentile tracks the current CVD value as the session develops — no need to wait for session close.

🔹 Swing Divergence
Detects divergences between price and CVD structure:
- Bullish: price makes lower low, CVD makes higher low
- Bearish: price makes higher high, CVD makes lower high
Filtered by percentile threshold and optional trend filter.

🔹 Volume Absorption
Highlights conditions where price and CVD move in opposite directions under high volume:
- Bullish absorption: price down, CVD up
- Bearish absorption: price up, CVD down
Requires elevated volume and percentile confirmation.

🔹 Visual Encoding
Histogram color reflects direction and momentum. Signal markers:
- Divergence bullish: dark green triangle up
- Divergence bearish: blue triangle down
- Absorption bullish: orange circle
- Absorption bearish: purple circle
Optional info table provides real-time stats.

Signal examples on TRXUSDT.P (1H) — three signal types visible:
- Orange circle (Absorption Bull): price dropping but CVD rising on high volume — buying pressure hidden under falling price

- Blue triangle (DIV- Bearish): price making higher high but CVD making lower high — selling pressure building despite rising price

- Purple circle (Absorption Bear): price rising but CVD falling on high volume — selling pressure hidden under rising price



Signal examples on ETHUSDT.P (1H) — bullish signals visible:
- Dark green triangles (DIV+ Bullish): price making lower lows but CVD making higher lows — buying pressure increasing despite falling price, signaling potential reversal

- Orange circle (Absorption Bull): same logic as above — hidden buying under selling candles




█ 🔧 HOW IT WORKS

The script fetches lower-timeframe OHLCV data from each exchange using `request.security_lower_tf()`.
Each intrabar volume is classified using a CLV-based model (close location within range) to estimate buying vs selling pressure. The resulting deltas are summed across all exchanges and accumulated into a daily CVD, resetting at the start of each new UTC session.


█ 📖 HOW TO USE

Apply the indicator to Perpetual Futures charts (.P).
The symbol is auto-detected from the chart and mapped across all supported exchanges — no manual input needed.
Suggested timeframe: 1H (default percentile lookback is 336 bars, which equals ~14 days on 1H charts).

Signals are contextual, not standalone triggers. Use them to identify:
- flow/price divergences
- potential absorption zones
- extreme participation conditions


█ ⚙️ SETTINGS

Data Sources (Perpetual Futures Only) — Enable/disable Binance, Bybit, OKX, Bitget
Settings — Intrabar precision (1/5/15/60), daily reset
Signals — Percentile lookback (default 336 bars, ~14 days on 1H), min percentile for divergence (75), swing length (8), trend filter SMA (20), absorption volume lookback (10) and multiplier (1.5), show/hide toggles for divergences, absorption, trend filter, and info table


█ 💡 WHAT MAKES THIS DIFFERENT

Most CVD indicators rely on a single exchange and lack statistical context.
This script aggregates flow across venues and ranks it using a percentile system, providing a clear measure of whether current activity is extreme or routine.
Bull and bear distributions are handled separately, avoiding distortion from mixed data.


█ ⚠️ LIMITATIONS

— Works only on perpetual futures (.P required)
— Delta is estimated from OHLCV, not tick-level order book data
— Exchange data availability may vary by symbol
— Intrabar resolution affects precision and performance


█ 📌 DISCLAIMER

This is a contextual analysis tool, not a signal generator.
It does not provide buy/sell signals and should not be used as a standalone trading system. Always apply proper risk management.