BTC Volume Contango Index

MartinShkreIi מעודכן   
Based on my previous script "BTC Contango Index" which was inspired by a Twitter post by Byzantine General:

This is a script that shows the contango between spot and futures volumes of Bitcoin to identify overbought and oversold conditions. When a market is in contango, the volume of a futures contract is higher than the spot volume . Conversely, when a market is in backwardation, the volume of the futures contract is lower than the spot volume .

The aggregate daily volumes on top exchanges are taken to obtain Total Spot Volume and Total Futures Volume . The script then plots (Total Futures Volume /Total Spot Volume ) - 1 to illustrate the percent difference (contango) between spot and futures volumes of Bitcoin . This data by itself is useful, but because aggregate futures volumes are so much larger than spot volumes, no negative values are produced. To correct for this, the Z-score of contango is taken. The Z-score (z) of a data item x measures the distance (in standard deviations StdDev) and direction of the item from its mean (U):

Z-score = (x - U) / StDev

A value of zero indicates that the data item x is equal to the mean U, while positive or negative values show that the data item is above or below the mean (x Values of +2 and -2 show that the data item is two standard deviations above or below the chosen mean, respectively, and over 95.5% of all data items are contained within these two horizontal references). We substitute x with volume contango C, the mean U with simple moving average ( SMA ) of n periods (50), and StdDev with the standard deviation of closing contango for n periods (50), so the above formula becomes: Z-score = (C - SMA (50)) / StdDev(C,50).

When in contango, Bitcoin may be overbought.
When in backwardation, Bitcoin may be oversold.

The current bar calculation will always look incorrect due to TV plotting the Z-score before the bar closes.
הערות שחרור:
Changed the contango calculation to instead include the On Balance Volume of aggregate spot and futures exchanges.

Contango = (Futures OBV / Spot OBV) - 1

Also changed the sma period (n) in the Z-score calculation to 20.
הערות שחרור:
Updated to show real-time data - just select your current timeframe in the dropdown menu.
הערות שחרור:
Added more markets to aggregate volume from. Also added an option to use regular volume in the calculation, just click the box in the menu.
הערות שחרור:
Added options in the menu to select which exchanges are included in the calculation.
הערות שחרור:
Simplified the code. Because of the logic, some exchanges are paired - may find a way to unpair them later.
הערות שחרור:
Repaired the three paired exchanges so they make more sense:

Coinbase/Deribit --> Coinbase/Bitmex
Bitfinex/Bitmex --> Bitfinex/Bybit
Bitstamp/Bybit --> Bitstamp/Deribit
הערות שחרור:
Removed the timeframe input to simplify the script.

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