Percent of 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 Percent", shorttitle="Noncom Int Pcnt", 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_OI"
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)