Open Interest for non commercial traders from legacy commitment of traders ( COT ) report. For the main symbol but also allows to override it. Also allows to include options in consideration.
study("Noncommercial Interest", shorttitle="Noncom Int", precision=0)
force_root = input("", title="Override Product")
is_includeoptions = input(false, type=bool, title="Include Options")
fxroot =
ticker == "USDCAD" ? "CD" :
ticker == "USDCAD" ? "CD" :
ticker == "USDCHF" ? "SF" :
ticker == "USDCZK" ? "CZ" :
ticker == "USDHUF" ? "FR" :
ticker == "USDILS" ? "IS" :
ticker == "USDJPY" ? "JY" :
ticker == "USDMXN" ? "MP" :
ticker == "USDNOK" ? "UN" :
ticker == "USDPLN" ? "PZ" :
ticker == "USDRUB" ? "RU" :
ticker == "USDSEK" ? "SE" :
ticker == "USDZAR" ? "RA" :
ticker == "EURUSD" ? "EC" :
ticker == "AUDUSD" ? "AD" :
ticker == "GBPUSD" ? "BP" :
ticker == "NZDUSD" ? "NE" :
ticker == "BRLUSD" ? "BR" :
""
root = force_root == "" ? fxroot == "" ? syminfo.root : fxroot : force_root
code = root + (is_includeoptions ? "_FO" : "_F") + "_L_ALL"
is_inversed =
ticker == "USDCAD" ? true :
ticker == "USDCAD" ? true :
ticker == "USDCHF" ? true :
ticker == "USDCZK" ? true :
ticker == "USDHUF" ? true :
ticker == "USDILS" ? true :
ticker == "USDJPY" ? true :
ticker == "USDMXN" ? true :
ticker == "USDNOK" ? true :
ticker == "USDPLN" ? true :
ticker == "USDRUB" ? true :
ticker == "USDSEK" ? true :
ticker == "USDZAR" ? true :
false
long_noncom = security("QUANDL:CFTC/"+code+"|1", "D", close)
short_noncom = security("QUANDL:CFTC/"+code+"|2", "D", close)
spread = security("QUANDL:CFTC/"+code+"|3", "D", close)
long = is_inversed ? short_noncom : long_noncom
short = is_inversed ? long_noncom : short_noncom
plot(long, color = green, title="Long")
plot(short, color = red, title="Short")
plot(long-short, color = yellow, title="Net", style=histogram)
plot(spread, color = purple, title="Spread", style=area)
hline(0, color=yellow, linestyle=dashed)