Hey there Andrei,
We do have some code that is not thoroughly tested to achieve this.
You could apply the following snippet in the functions.php file of your theme (without the PHP tag at the top): https://gist.github.com/cliffordp/d14104708a76468cd694111f9f1fe92b
But first to be extra safe, before making any changes to your functions.php file, you should make a backup of that file.
However, several venues per event might impact certain views such as the map view or the single event view.
Let me know how that goes.
Best regards,
Geoff B.