Do you have any ideas for monitoring sentiment or open interest across multiple exchanges? Message me and I will try to make it happen.
This allows it to analyze the trend at any timeframe, and it's kind of similar to the "Price Volume Trend" (PVT/VPT) or "On Balance Volume" (OBV) indicators, only it's taking into account all of the most significant markets. With On-Balance-Volume, the indicator increases or decreases based on whether price simply made a new high or low, not considering the extent of the move into its calculation. With Price-Volume-Trend, the indicator moves based on how big of a percentage shift was made in price. And with this indicator, the value moves based on the difference in buying vs selling pressure. It's considered selling volume if the price is decreasing and buying volume if the price is increasing, then we compare buying vs selling volume for our final score.
The key difference between this indicator and Price-Volume-Trend is that here we sum the cumulative volume differences depending on the open/close price on each exchange for higher accuracy. Each exchange is reduced to a score of buy volume and sell volume.
Price-Volume-Trend's calculation measures the percentage increase compared to the previous period: On days when the price goes up, we multiply volume by the percentage price increase between today's close and the previous day's close, and add that result to the previous day's value.
I made a chart with PVT and OBV indicators so we can compare. This indicator works better for giving you more informed buy/sell decisions and determining the trend over long periods of time.
It might be more accurate if you had a way to tell which side had initiated the market order to make each individual trade but that would require tick data that has the aggressor information and that's not easily accessible. The uptick/downtick approach is a pretty good alternative and may even be better since sometimes limit orders are used to aggressively absorb price action.