The market cap an exchange has on a coin is directly related to how much it can influence the price. This is easily understandable if each exchange was imagined as a single person. The more money a person has the more influence they have on the price. Also, x-volume yields different asssessment values for the same bar across different exchanges despite the price being roughly equal. The only difference between the exchanges is the volume, which suggests volume is affects the outcome of the x-volume indicator.

There are 4 situations:

1. A market has significantly higher market cap than all other markets. In this case, the highest volume market controls the price.

2. There are many exchanges with very similar market cap. For example, there are 2 exchanges with 50% market cap. The only way to determine the overall outcome is to combine the volume of both exchanges.

3. There are a few exchanges that have significantly high market cap and many other exchanges with very low market cap. E.g. 2 exchanges with 40% market cap and 20 others with 1% market cap each. The volume for the exchanges with 40% volume must be combined. The exchanges with 1% market cap will follow the outcome of the combined result.

Therefore, the only way to get accurate volume is to either analyse coins with situation (1) or combine the volume across the exchanges that have a noteworthy market cap. Also note that the currency with the highest volume used to trade that coin in the exchange must be used. All of this information can found be in Coinmarketcap in the volume section. The website sometimes misses some exchanges though, like Bitfinex in SNT. Another website is Cryptocompare. In regards to combining the volume across multiple exchanges, the scripts here seem to do it for BTC https://www.tradingview.com/u/PhiChris/#published-scripts. It seems it can be easily modified for alt coins.