Opening and closing flow

// Taker flow split by what each trade did to open interest. A buy that raised open interest opened
// a long; a buy that lowered it closed a short. Opening flow is new longs less new shorts, closing
// flow is shorts bought back less longs sold out, in USD per bar: opening as the bars, closing as
// the line. From each trade's own change in open interest (`oiDelta`), which 0xArchive records on
// every print.
indicator('Opening and closing flow', { shortName: 'Open/close flow' });

const minUsd = input.float('Smallest trade ($)', 0, { min: 0 });

const chart = bars();
const tape = trades({ minNotional: minUsd });
const opening = tally();
const closing = tally();

const openingBars = plot.histogram('Opening flow $');
const closingLine = plot.line('Closing flow $', { color: color.study(12), width: 1 });

tape.onTrade((t) => {
  // 0: one side opened and the other closed, so open interest did not move. na: the venue did not say.
  if (isNa(t.oiDelta) || t.oiDelta === 0) return;
  const usd = t.side === 'buy' ? t.notional : -t.notional;
  (t.oiDelta > 0 ? opening : closing).add(usd);
});

chart.onBar(() => {
  // Trades reach back to the start of the UTC day before yesterday; older bars stay empty.
  if (!tape.available) return;
  openingBars.set(opening.value, color.withAlpha(opening.value >= 0 ? color.up : color.down, 0.75));
  closingLine.set(closing.value);
});