SF - Net open interest
Indicator displays net open interest taker and maker sides
The indicator takes 2 variables Volume delta and Open interest delta as input, which are further compared according to the following logic:
As a result, the indicator gets 2 new variables:
Net taker long delta - net long interest opened by market orders,
Net taker short delta - net short interest opened by market orders.
Net taker long/short delta variables are calculated from the obtained variables:
Net maker long delta - net long interest opened by limit orders,
Net maker short delta - net short interest opened by limit orders.
Fair enough:
Net maker long delta = Net taker short delta
Net maker short delta = Net taker long delta
That said:
Open interest = Net taker long delta+Net taker short delta = Net maker long delta+Net taker maker delta
since every buy/sell trade opened by a market/limit order always has a trade in the opposite direction of the opposite order type.
The user has the ability to change the values of the following parameters:
How to calculate open interest? - choose the method of calculation: either in contracts (in the quoted asset) or in dollars;
Dispplay input - select the type of input to be displayed: Net maker long delta, Net taker short delta, Net maker short delta, Net taker long delta;
Moving average typeline - type of moving average calculated for PMDI. Can take the following values: "SMA" (simple moving average), "EMA" (exponential moving average), "WMA" (weighted moving average), "VWMA" (volume weighted moving average), "LSMA" (linear regression moving average);
Length - period of moving average and trend channel;
Show metrics? - button to activate the display of the trend channel and moving average of the open interest;
Channel type - type of trend channel. Two options are available - Extremum (based on supertrend channel) and Bolinger bands (based on Bollinger bands indicator).
In the graphics customization window, the user can select:
color and transparency of candles (by default, rising candles are green, falling candles are red, transparency = 0%);
color, transparency and method of displaying the moving average (white opaque line by default);
color, transparency and method of displaying the trend channel (white opaque line by default).
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