import ccxt
import pandas as pd
import time
from datetime import datetime
def calculate_cvd(symbol="BTC/USDT", limit=1000):
"""
Calculates Cumulative Volume Delta (CVD) for a given symbol on Bybit using public trades.
"""
print(f"--- Calculating CVD for {symbol} ---")
# Initialize Bybit client (public data doesn't require API keys)
exchange = ccxt.bybit()
try:
# Fetch recent trades
# Note: standard fetch_trades gets the latest trades.
# For a longer history, you'd need pagination, but this is a snapshot example.
print(f"Fetching last {limit} trades...")
trades = exchange.fetch_trades(symbol, limit=limit)
if not trades:
print("No trades found.")
return
# Convert to DataFrame for easier analysis
df = pd.DataFrame(trades)
# Ensure 'side' and 'amount' are present and correct types
df['amount'] = df['amount'].astype(float)
df['price'] = df['price'].astype(float)
# Calculate Delta for each trade
# Buy = +Volume, Sell = -Volume
df['delta'] = df.apply(lambda x: x['amount'] if x['side'] == 'buy' else -x['amount'], axis=1)
# Calculate Cumulative Delta
df['cvd'] = df['delta'].cumsum()
# Basic Stats
total_volume = df['amount'].sum()
buy_volume = df[df['side'] == 'buy']['amount'].sum()
sell_volume = df[df['side'] == 'sell']['amount'].sum()
total_delta = df['delta'].sum()
print(f"\nAnalysis of last {len(df)} trades:")
print(f"Start Time: {df['datetime'].iloc[0]}")
print(f"End Time: {df['datetime'].iloc[-1]}")
print(f"Total Volume: {total_volume:.4f}")
print(f"Buy Volume: {buy_volume:.4f}")
print(f"Sell Volume: {sell_volume:.4f}")
print(f"Final CVD: {total_delta:.4f}")
# Detect Divergence (Simple comparison of Price vs CVD trend)
first_price = df['price'].iloc[0]
last_price = df['price'].iloc[-1]
price_change = (last_price - first_price) / first_price * 100
first_cvd = df['cvd'].iloc[0] # Likely close to 0 or delta of first trade
last_cvd = df['cvd'].iloc[-1]
cvd_change = last_cvd - first_cvd # Should match total_delta if starting from 0
print(f"\nPrice Change: {price_change:.4f}%")
print(f"CVD Change: {cvd_change:.4f}")
if price_change < 0 and cvd_change > 0:
print("\n⚠️ DIVERGENCE DETECTED: Price Down, CVD Up (Bullish Absorption)")
elif price_change > 0 and cvd_change < 0:
print("\n⚠️ DIVERGENCE DETECTED: Price Up, CVD Down (Bearish Absorption)")
else:
print("\nConvergence: Price and CVD moving together.")
return df
except Exception as e:
print(f"Error: {e}")
finally:
exchange.close()
if __name__ == "__main__":
calculate_cvd("BTC/USDT", limit=1000)
