VWAP Cross-Venue - Allium Documentation Hub

Beta ProductThis product is currently in beta. The schema and data may change as we refine our methodology.Historical coverage varies by venue — major venues reach back to 2013–2014, while newer venues start in 2026. See Venues supported for the earliest available date per venue.

Volume-weighted average prices (VWAP) aggregated across all CEX venues. Each row represents a unified price for a trading pair across all contributing exchanges during a specific time window. These tables provide a consolidated view of pricing across venues, ideal for standardizing price feeds and cross-exchange market analysis. Open/Close prices are omitted from these tables as they lose strict first/last-trade semantics when aggregating across multiple venues.

Available Tables

Table	Granularity	Description
`cex.prices.vwap_5min_beta`	5-minute	5-minute cross-venue VWAP (one row per pair, 5-min window)
`cex.prices.vwap_hourly_beta`	Hourly	Hourly cross-venue VWAP (one row per pair, hour)
`cex.prices.vwap_daily_beta`	Daily	Daily cross-venue VWAP (one row per pair, day)
`cex.prices.vwap_weekly_beta`	Weekly	Weekly cross-venue VWAP (one row per pair, week)
`cex.prices.vwap_monthly_beta`	Monthly	Monthly cross-venue VWAP (one row per pair, month)

Sample Query

Get daily aggregated BTC/USD prices across all venues for the past 30 days, including venue lineage:

select
    timestamp,
    base_asset,
    quote_asset,
    price as vwap_price,
    high,
    low,
    volume,
    volume_quote,
    venue_count,
    contributing_venues
from cex.prices.vwap_daily_beta
where base_asset = 'BTC'
  and quote_asset = 'USD'
  and timestamp >= current_date - 30
order by timestamp desc

Table Columns

Unique Key: timestamp, base_asset, quote_asset, granularity

Column	Data Type	Description
`timestamp`	TIMESTAMP_NTZ(9)	Start of the candle window (UTC, truncated to the candle boundary)
`base_asset`	VARCHAR	Base asset of the trading pair (e.g. BTC, ETH)
`quote_asset`	VARCHAR	Quote asset of the trading pair (e.g. USD, USDC)
`granularity`	VARCHAR	Candle granularity label (5min, 1h, 1d, 1w, 1m)
`price`	FLOAT	Volume-weighted average price (VWAP) across all venues = sum(volume_quote) / sum(volume). Null if total volume across all venues is zero.
`high`	FLOAT	Highest trade price seen across all venues within the candle period
`low`	FLOAT	Lowest trade price seen across all venues within the candle period
`volume`	FLOAT	Total base asset volume traded across all venues within the candle period
`volume_quote`	FLOAT	Total notional volume in quote asset (sum of price × quantity) across all venues within the candle period
`trade_count`	INTEGER	Total number of individual trades across all venues aggregated into this candle
`venue_count`	INTEGER	Number of distinct venues that contributed to this candle. A low count for a major pair may indicate missing data from one or more exchanges.
`contributing_venues`	ARRAY	Sorted array of venue names that contributed to this candle (lineage). Use to trace which exchanges drove an anomalous price.
`_created_at`	TIMESTAMP_NTZ(9)	Row creation timestamp
`_updated_at`	TIMESTAMP_NTZ(9)	Row last-update timestamp

Usage Tips

Lineage Tracking: Use the contributing_venues array and venue_count to understand which exchanges are represented in the aggregate price
VWAP Interpretation: The price column represents the true volume-weighted average, useful for fair valuation and standardized comparisons

Venues Supported

VWAP is aggregated across all contributing venues. The Data since column shows the earliest daily candle available for each venue, which is when it begins contributing to the cross-venue aggregate.

Venue	`venue`	Data since
Kraken	`kraken`	September 2013
Bitstamp	`bitstamp`	October 2014
Coinbase	`coinbase`	December 2014
Binance	`binance`	July 2017
Gate.io	`gate`	November 2017
OKX	`okx`	December 2017
Crypto.com	`cryptodotcom`	October 2021
Bullish	`bullish`	November 2021
Bybit	`bybit`	March 2022
Deribit	`deribit`	January 2024
Bitget	`bitget`	March 2026
BitMart	`bitmart`	March 2026
KuCoin	`kucoin`	March 2026
MEXC	`mexc`	March 2026
Pionex	`pionex`	March 2026
Poloniex	`poloniex`	March 2026
Backpack	`backpack`	March 2026
Binance.US	`binanceusa`	March 2026
Bitso	`bitso`	March 2026
Bitvavo	`bitvavo`	March 2026
CEX.IO	`cexio`	March 2026
Luno	`luno`	April 2026
Upbit	`upbit`	April 2026
WhiteBIT	`whitebit`	April 2026
HashKey	`hashkey`	April 2026
itBit	`itbit`	April 2026
LMAX Digital	`lmax`	April 2026
Binance Alpha	`binance-alpha`	June 2026

​Available Tables

​Sample Query

​Table Columns

​Usage Tips

​Venues Supported

Available Tables

Sample Query

Table Columns

Usage Tips

Venues Supported