Opening sweeps

// Large taker orders that walked the book, split by what they did to open interest. A sweep that
// raised open interest opened positions; one that lowered it closed them. Opening sweeps are the
// bars, buys up and sells down; closing sweeps are the line, in USD per bar. Each order is joined
// from its fills, and its change in open interest is the sum of theirs, which 0xArchive records on
// every print.
indicator('Opening sweeps', { shortName: 'Sweeps' });

const minUsd = input.float('Smallest order ($)', 250_000, { min: 0 });
const minLevels = input.int('Prices walked, at least', 3, { min: 1, max: 100 });

const chart = bars();
const orders = takerOrders({ minNotional: minUsd });
const opening = tally();
const closing = tally();

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

orders.onOrder((o) => {
  // na: some fill's change in open interest is unknown. 0: what opened on one side closed on the other.
  if (o.levels < minLevels || isNa(o.oiDelta) || o.oiDelta === 0) return;
  const usd = o.side === 'buy' ? o.notional : -o.notional;
  (o.oiDelta > 0 ? opening : closing).add(usd);
});

chart.onBar(() => {
  // Trades reach back to the chart's first bar, at most 7 UTC days; older bars stay empty.
  if (!orders.available) return;
  openingBars.set(opening.value, color.withAlpha(opening.value >= 0 ? color.up : color.down, 0.75));
  closingLine.set(closing.value);
});