Open interest heat

// Where open interest was built and where it was unwound, as zones: each fill's `oiDelta`, its change
// in the venue's open interest, netted by price. Built is blue and unwound amber, so neither reads as
// buying or selling.
indicator('Open interest heat', { overlay: true, shortName: 'OI heat' });

const tape = trades();
const heat = plot.heat('Open interest change', {
  sides: [
    { id: 'unwound', label: 'Unwound', color: '#e0a33a' },
    { id: 'built', label: 'Built', color: '#4f9cf0' },
  ],
});

tape.onTrade((t) => {
  // `na` where the venue does not know; 0 where one side opened and the other closed.
  const oi = t.oiDelta;
  if (isNa(oi) || oi === 0) return;
  if (oi > 0) heat.add('built', t.price, oi);
  else heat.add('unwound', t.price, -oi);
});