AGGREGATED Fixed Range VWAP

An aggregated multi-exchange fixed range VWAP is a precision anchoring tool designed to track true market positioning across the broader derivatives landscape rather than a single venue. Instead of relying on isolated exchange data, it aggregates volume, order flow, and trade execution from multiple exchanges into one unified calculation. This creates a far more representative VWAP that reflects where real size has transacted globally.

The “fixed range” element means the user manually defines the anchor window. You choose the exact swing, impulse, distribution, or event leg you want measured — whether that’s a liquidity grab, breakout expansion, news reaction, or higher-timeframe accumulation phase. Once the range is selected, the VWAP is calculated strictly from all trades executed inside that defined window.

If the range remains untapped afterward, the tool continues projecting the VWAP forward in time. This extension effectively acts as a dynamic mean reversion magnet — highlighting where price may revisit to rebalance inventory or mitigate imbalances created during the original move.

What makes this aggregated model especially powerful is the additional order-flow layer embedded inside the range:

• Total Volume Traded — Displays the full aggregated size transacted within the anchor window, giving context to how significant the move actually was.
• Delta Traded — Shows the net aggressive buying vs selling executed in that range, helping determine whether the move was initiative-driven or absorption-based.
• Inventory Context — By combining VWAP location with delta and volume, traders can infer whether participants are in profit, underwater, or defending positions.

Because the VWAP extends until tapped, it naturally maps unfinished business. Untested VWAPs often act as magnets, reaction points, or invalidation zones depending on how price behaves upon revisit.

In practice, this tool is used to:

• Identify institutional cost basis across venues
• Frame mean reversion vs continuation scenarios
• Locate high-probability reaction levels post-impulse
• Confirm whether a move was supported by real aggregated participation
• Track inventory imbalance across the market, not just one exchange

It essentially transforms VWAP from a single-exchange average into a global execution benchmark — aligning price with true multi-venue positioning.

Shoutout 999 and DaniK the coder for engineering and pushing this level of tooling forward.