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Description

This study calculates and displays the On Balance Open Interest over a specific length of bars.

Let $C_t$ be the value of the Close Price at Index $t$. We denote the Signed Open Interest at Index $t$ as $OI^{(\pm)}_t$, and we initialize this quantity to zero (that is, $OI^{(\pm)}_0 = 0$). We compute the Signed Open Interest for $t > 0$ in terms of the Open Interest as follows.

Let the Length Input be denoted as $n$. We denote the On Balance Open Interest - Short Term for this Input at Index $t$ as $OI^{(OB)}_t(n)$, and we describe the calculation of this quantity below.

For $0 \leq t < n$, $OI^{(OB)}_t(n)$ is calculated internally as follows. These values are not displayed as output.

The above formula is equivalent to $OI^{(OB)}_t(n) = OI^{(OB)}_t$, where $OI^{(OB)}_t$ is the On Balance Open Interest. That is, for $0 \leq t < n$, the On Balance Open Interest - Short Term is equivalent to the ordinary On Balance Open Interest.

For $t \geq n$, $OI^{(OB)}_t(n)$ is calculated as follows. These values are displayed as output.