Cross-Exchange Spread and Volume Percentile Dashboard
Summary
This indicator compares the chart’s asset with matching instruments from a selected set of crypto exchanges or forex brokers. It gathers prices and volumes, displays last and average values in a sortable dashboard, and plots the current spread alongside a smoothed average. The source set can be chosen manually or selected from the chart’s asset type.
The script calculates percentile thresholds for the spread, marking typical, high, and unusual readings; the default thresholds are configurable. It can use a rolling sample or the full available dataset, though the document warns that full-history calculations may exceed platform resources. This is a monitoring tool: the document provides no execution method, proof of risk-free arbitrage, performance results, or adjustment for fees, latency, liquidity, and differing instrument specifications. A spread between venues alone does not establish a tradable profit opportunity.
Key ideas
- The indicator compares prices and volumes across a configured list of crypto exchanges or forex brokers.
- A dashboard can sort venues by last or average price and volume.
- Spread readings are plotted with a smoothed average and configurable percentile thresholds.
- Full-dataset percentile calculations may exceed platform resource limits.
- Observed cross-venue differences do not by themselves demonstrate executable arbitrage after trading costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.