OPEN-SOURCE SCRIPT
Spot v Perp aggrRollingVWAP
This indicator is a rolling VWAP that shows an aggregated BTC VWAP for both spot markets and futures markets
Spot VWAP is shown in BTC orange while perp VWAP is shown in blue
This is useful for identifying which market (spot or perps) is pushing trending moves
If the spot VWAP is more closely following the trend, then spot is pushing the move
If the perp VWAP is more closely following the trend, then perps are pushing the move
e.g. In the following picture you can see that the move down was followed much more closely by the spot VWAP, therefore you can assume that the move is being pushed my spot
Spot VWAP is shown in BTC orange while perp VWAP is shown in blue
This is useful for identifying which market (spot or perps) is pushing trending moves
If the spot VWAP is more closely following the trend, then spot is pushing the move
If the perp VWAP is more closely following the trend, then perps are pushing the move
e.g. In the following picture you can see that the move down was followed much more closely by the spot VWAP, therefore you can assume that the move is being pushed my spot
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