Hi @javier_ortiz_mir, hope you are ok man.
Now in the course, Volume does refer to the volume going through a particular exchange.
To get the total volume of all exchanges together you might need tools like coinmarketcap or coingecko that calculate the summary volume of all known exchanges.
Their included in the volume of total transactions in a range of time, those stats can be calculate on-chain (monitoring the blockchain). Glassnode is an amazing tool for on-chain stats like those.
DEX’s live on a blockchain, so all data from them can be calculated on-chain.
bloxy.info is a nice tool to get on-chain data for Ethereum (and DEX on it).
If you have any more questions, please let us know so we can help you!
Carlos Z.