Volume Weighted Average Price Advanced

VWAP (Advanced) with Multi‑Venue Aggregation and Historical Value Areas

Core: Anchored VWAP with configurable anchor (session/week/month/quarter/year/decade/century or corporate events), offset, and up to three standard-deviation bands.

Multi‑Venue Aggregation: Optionally pull price/volume from up to 5 additional exchanges/symbols (pair-matched by default). VWAP/σ are computed on the aggregated price*volume.

Value Area Blocks: Each completed anchor draws a block from the chosen basis (±1σ or ±2σ) or an optional percentile-based range (default 20–80%). Blocks project to the exact next anchor boundary, or you can extend them to the latest bar. Prior-period VWAP lines are shown inside the blocks.

Volume Gate: Optionally skip drawing prior blocks when the anchor’s aggregated volume is below a median/mean baseline times a multiplier.

HTF Context: Optional higher-timeframe VWAP overlay; can filter the current VWAP/bands so they only show when aligned with the HTF VWAP.

Venue Health: Label shows how many extra venues were included (non‑na) and median venue volume; flags divergence when primary volume is below venue median × threshold.

Alerts: Price in current value area (VWAP ±1σ) and price crossing the most recent prior VWAP.

Styling: Bands and fills are minimal; HTF VWAP is a distinct line; value-area blocks are shaded with prior VWAP lines inside.

Configure via the grouped inputs: VWAP Settings, Additional Exchange Sources, Historical Value Areas, HTF Context, and Bands Settings.