Open Interest Suite - By Leviathan

The Open Interest Suite [Aggregated] indicator provides a comprehensive toolkit for analyzing aggregated Open Interest data across multiple exchanges to identify market positioning and potential liquidations. This script consolidates data from various sources into a single interface to offer insights into market participant behavior through advanced visualizations like OI candles, delta, and distribution profiles.

Usage

The Usage section describes how the script can be used to interpret market activity. Users can toggle between different primary displays to suit their analysis needs:

• Open Interest Candles: View OI as OHLC candles to see how positioning fluctuates within a specific timeframe.
• Open Interest Delta: A histogram showing the net change in Open Interest, useful for identifying aggressive positioning or liquidations.
• OIΔ x rVOL: Combines OI Delta with Relative Volume to highlight periods where significant OI changes occur on high relative volume.
• Open Interest RSI: Applies the Relative Strength Index to OI data to identify "overbought" or "oversold" levels of market participation.

The script also includes visual overlays:

• Highlighting: Users can enable coloring for large OI increases (potential aggressive entry) or decreases (potential rekt/liquidation events) on the chart candles, background, or indicator nodes.
• Distribution Profile: Displays a horizontal histogram showing the concentration of OI across different price levels in the visible range, helping identify where the most significant action has occurred.
• Stats Screener: Provides a real-time dashboard displaying net OI values and tallies for aggressive or "rekt" market participants over a specified lookback period.

Details

The script aggregates data from major exchanges including Binance (USDT, USD, and BUSD pairs), BitMEX, and Kraken. When USD-quoted pairs are selected, the script normalizes the value to provide a consistent view across different assets.

The "Large OI" detection is based on a threshold multiplier applied to a 300-period Simple Moving Average of the OI Delta. This allows the script to dynamically adapt to varying market volatility. The distribution profile logic calculates the frequency of OI at specific price intervals within the visible chart range, providing a structural view of market commitment.

Full credit goes to @KioseffTrading for the profile generation code used in the distribution feature.

Settings

General & Display

• Display: Selects the primary indicator output (OI Candles, Delta, OIΔ x rVOL, or OI RSI).
• Quoted in: Toggles between USD or COIN (native asset) denominations.
• Colors (▲/▼): Customizes the colors for bullish and bearish OI movements.

Data Sources and Aggregation

• Exchange Toggles: Individual checkboxes to include or exclude specific data sources from Binance, BitMEX, and Kraken.

Thresholds

• Threshold Multiplier: Adjusts the sensitivity for detecting large OI increases/decreases.
• Highlight Large OI Increase/Decrease: Enables specific coloring for significant OI shifts.
• Color Chart Bars/Background: Applies the threshold coloring directly to the main price chart.
• Show Thresholds: Displays the calculated positive and negative delta thresholds on the indicator pane.

Additional Settings

• OI EMA: Plots an Exponential Moving Average over the OI data for trend identification.
• OI RSI: Sets the length and color for the RSI calculation applied to OI.

Distribution Profile

• Generate a profile: Enables the volume-profile-style OI distribution on the y-axis.
• Value Area %: Defines the percentage of OI to include in the Value Area calculation.
• Node Size/Rows: Controls the granularity and thickness of the profile nodes.

Screener

• Lookback (bars): Sets the window for calculating screener statistics.
• Show Screener: Toggles the visibility of the real-time stats dashboard.

FAQ

How can I see if traders are being liquidated?
Look for "Large OI Decreases" (Rekt Longs/Shorts) combined with significant price movements. The screener and candle coloring help highlight these events automatically.

Why does the script use multiple exchanges?
Aggregating data from multiple exchanges provides a more accurate representation of total market participation than looking at a single exchange's data.

How do I access the Open Interest Suite [Aggregated]?
You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.