Option sweeps

// Big BTC option orders on the chart, whatever market it shows. On each bar the largest
// order over a premium that leans up (calls bought, puts sold) is marked under the candle, and the
// largest that leans down (puts bought, calls sold) above it, with its premium, strike, calls or puts,
// and an S for a sweep or B for a block.
// A block or a screen combo is one order; so is a sweep, one taker order that took several strikes
// or prices in the same millisecond. Spreads, whose legs went both ways, are left out.
indicator('Option sweeps', { overlay: true, shortName: 'Option orders', maxLabels: 80 });

const minUsd = input.float('Minimum premium ($)', 250_000, { min: 0 });
const sweepsOnly = input.bool('Sweeps only', false);

const chart = bars();
const orders = optionOrders({ minNotional: minUsd });

// This bar's largest order each way: its premium and its words. An event handler may change only tallies and live state.
const upUsd = state.live<number>(0);
const upText = state.live<string>('');
const downUsd = state.live<number>(0);
const downText = state.live<string>('');

const strikeText = (strike: number) => `${Math.round(strike / 1000)}k`;

orders.onOrder((o) => {
  if (o.side === 'mixed') return;
  const sweep = o.kind === 'taker' && o.fills > 1;
  if (sweepsOnly && !sweep) return;
  // Calls more than puts reads as calls: a call bought, or a put sold, leans up.
  const calls = o.callSize >= o.putSize;
  const up = (o.side === 'buy') === calls;
  const kind = o.kind === 'block' ? ' B' : sweep ? ' S' : '';
  const strikes = o.strikes > 1 ? `${strikeText(o.lowStrike)}-${strikeText(o.highStrike)}` : strikeText(o.strike);
  const text = `${fmt.usd(o.premium)} ${strikes}${calls ? 'C' : 'P'}${kind}`;
  const best = up ? upUsd : downUsd;
  if (o.premium <= best.value) return;
  best.value = o.premium;
  (up ? upText : downText).value = text;
});

// Tags pointing at the candle, once its bar closes: up under the low, down over the high. The newest 80 stay.
chart.onClose(() => {
  // `available` is false before the prints' 7 days.
  if (orders.available) {
    if (upUsd.value > 0) draw.label({ at: { bar: chart.index, price: chart.low }, text: upText.value, style: 'up', color: color.up, textColor: color.panel, size: 'small' });
    if (downUsd.value > 0) draw.label({ at: { bar: chart.index, price: chart.high }, text: downText.value, style: 'down', color: color.down, textColor: color.panel, size: 'small' });
  }
  upUsd.value = 0;
  downUsd.value = 0;
});