/**
* Open Interest Indicators
* Analyze OI trends, divergence, momentum, concentration
*/
import { OpenInterestData } from '../types/futures-types'
export interface OpenInterestIndicator {
trend: {
direction: 'rising' | 'falling' | 'neutral'
strength: number // 0-1, trend strength
momentum: number // 0-1, momentum score
}
divergence: {
vsPrice: {
detected: boolean // True if divergence detected
type: 'bullish' | 'bearish' | 'none'
strength: number // 0-1, divergence strength
}
vsVolume: {
detected: boolean
type: 'bullish' | 'bearish' | 'none'
strength: number
}
}
momentum: {
score: number // 0-1, momentum score
breakout: boolean // True if OI momentum breakout
}
concentration: {
level: number // 0-1, concentration level
risk: 'high' | 'medium' | 'low' // Concentration risk
}
correlation: {
vsVolume: number // Correlation with volume (-1 to 1)
signal: 'bullish' | 'bearish' | 'neutral'
}
}
/**
* Calculate OI trend
*/
function calculateTrend(oiData: OpenInterestData): OpenInterestIndicator['trend'] {
const change24h = oiData.change24h
const momentum = oiData.momentum
// Determine direction
let direction: 'rising' | 'falling' | 'neutral' = 'neutral'
if (change24h > 2) {
direction = 'rising'
} else if (change24h < -2) {
direction = 'falling'
}
// Strength: absolute change percentage
const strength = Math.min(1, Math.abs(change24h) / 10) // Scale to 0-1 (max 10% change = 1.0)
// Momentum score (normalize to 0-1)
const momentumScore = Math.min(1, Math.abs(momentum) / 100)
return {
direction,
strength: isNaN(strength) ? 0 : strength,
momentum: isNaN(momentumScore) ? 0 : momentumScore
}
}
/**
* Detect OI vs Price divergence
*/
function detectPriceDivergence(
oiData: OpenInterestData,
priceChange24h: number
): OpenInterestIndicator['divergence']['vsPrice'] {
const oiChange = oiData.change24h
// Bullish divergence: Price down but OI up (accumulation)
// Bearish divergence: Price up but OI down (distribution)
let detected = false
let type: 'bullish' | 'bearish' | 'none' = 'none'
let strength = 0
if (priceChange24h > 0 && oiChange < -3) {
// Price up, OI down = bearish divergence (weak trend)
detected = true
type = 'bearish'
strength = Math.min(1, Math.abs(oiChange) / 10)
} else if (priceChange24h < 0 && oiChange > 3) {
// Price down, OI up = bullish divergence (accumulation)
detected = true
type = 'bullish'
strength = Math.min(1, Math.abs(oiChange) / 10)
}
return {
detected,
type,
strength: isNaN(strength) ? 0 : strength
}
}
/**
* Detect OI vs Volume divergence
*/
function detectVolumeDivergence(
oiData: OpenInterestData,
volumeChange24h: number
): OpenInterestIndicator['divergence']['vsVolume'] {
const oiChange = oiData.change24h
// If OI rising but volume falling = institutional accumulation
// If OI falling but volume rising = distribution
let detected = false
let type: 'bullish' | 'bearish' | 'none' = 'none'
let strength = 0
if (oiChange > 3 && volumeChange24h < -10) {
// OI up, volume down = bullish (institutional)
detected = true
type = 'bullish'
strength = Math.min(1, Math.abs(oiChange) / 10)
} else if (oiChange < -3 && volumeChange24h > 10) {
// OI down, volume up = bearish (distribution)
detected = true
type = 'bearish'
strength = Math.min(1, Math.abs(oiChange) / 10)
}
return {
detected,
type,
strength: isNaN(strength) ? 0 : strength
}
}
/**
* Calculate OI momentum
*/
function calculateMomentum(oiData: OpenInterestData): OpenInterestIndicator['momentum'] {
const momentum = oiData.momentum
// Momentum score (normalize to 0-1)
const score = Math.min(1, Math.abs(momentum) / 100)
// Breakout: strong momentum change (>50% of average)
const breakout = Math.abs(momentum) > 50
return {
score: isNaN(score) ? 0 : score,
breakout
}
}
/**
* Calculate OI concentration
*/
function calculateConcentration(oiData: OpenInterestData): OpenInterestIndicator['concentration'] {
const concentration = oiData.concentration
// Risk level based on concentration
let risk: 'high' | 'medium' | 'low' = 'low'
if (concentration > 0.7) {
risk = 'high' // Highly concentrated = high risk
} else if (concentration > 0.5) {
risk = 'medium'
}
return {
level: isNaN(concentration) ? 0.5 : Math.max(0, Math.min(1, concentration)),
risk
}
}
/**
* Calculate OI vs Volume correlation
*/
function calculateVolumeCorrelation(
oiData: OpenInterestData,
volumeChange24h: number
): OpenInterestIndicator['correlation'] {
const oiChange = oiData.change24h
// Simple correlation: if both moving in same direction = positive
// If moving opposite = negative
let correlation = 0
if (oiChange !== 0 && volumeChange24h !== 0) {
// Normalize both to same scale
const normalizedOI = oiChange / 10 // Scale to -1 to 1
const normalizedVolume = volumeChange24h / 100 // Scale to -1 to 1
// Calculate correlation sign
if (normalizedOI > 0 && normalizedVolume > 0) {
correlation = Math.min(1, (Math.abs(normalizedOI) + Math.abs(normalizedVolume)) / 2)
} else if (normalizedOI < 0 && normalizedVolume < 0) {
correlation = Math.min(1, (Math.abs(normalizedOI) + Math.abs(normalizedVolume)) / 2)
} else {
correlation = -Math.min(1, (Math.abs(normalizedOI) + Math.abs(normalizedVolume)) / 2)
}
}
// Signal: bullish if OI and volume both rising, bearish if both falling
let signal: 'bullish' | 'bearish' | 'neutral' = 'neutral'
if (correlation > 0.3 && oiChange > 0) {
signal = 'bullish'
} else if (correlation < -0.3 && oiChange < 0) {
signal = 'bearish'
}
return {
vsVolume: isNaN(correlation) ? 0 : Math.max(-1, Math.min(1, correlation)),
signal
}
}
/**
* Calculate open interest indicators
*/
export function calculateOpenInterestIndicators(
oiData: OpenInterestData,
priceChange24h?: number,
volumeChange24h?: number
): OpenInterestIndicator {
const trend = calculateTrend(oiData)
const divergence = {
vsPrice: detectPriceDivergence(oiData, priceChange24h || 0),
vsVolume: detectVolumeDivergence(oiData, volumeChange24h || 0)
}
const momentum = calculateMomentum(oiData)
const concentration = calculateConcentration(oiData)
const correlation = calculateVolumeCorrelation(oiData, volumeChange24h || 0)
return {
trend,
divergence,
momentum,
concentration,
correlation
}
}
