Liquidation Level Screener

semalam

//version=5
indicator('Liquidation Level Screener', shorttitle = 'LLS', overlay=true, max_lines_count=500, max_boxes_count=120, max_labels_count=1)

// Libraries
import gotbeatz26107/ma_/2 as ma

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// General Parameters //
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

// Input
show_line = input(true, title="Show lines", group = 'Plotting Parameters', inline = 'l1')
show_hist = input(true, title="Show histogram", group = 'Plotting Parameters', inline = 'l1')

tip = 'In order for indicator to work, you need to keep at least one of the level groups on the chart'
showl1 = input(true, title="Show Liquidations Level 1", tooltip = tip, group = 'Plotting Parameters')
showl2 = input(true, title="Show Liquidations Level 2", tooltip = tip, group = 'Plotting Parameters')
showl3 = input(true, title="Show Liquidations Level 3", tooltip = tip, group = 'Plotting Parameters')
show_params = input(false, title="Show OI delta parameters", tooltip = tip, group = 'Plotting Parameters')

// Moving Average
ma_length = input(80, title="Length", group = 'Moving average')
averageType = input.string("VWMA", options = ['SMA', 'EMA', 'ALMA', 'AHMA', 'BMF', 'DEMA', 'DSWF'
, 'EVWMA', 'ESD', 'FRAMA', 'FLSMA', 'GMMA', 'HCF', 'HMA', 'JMA', 'KAMA', 'KIJUN'
, 'LSMA', 'LMA', 'MD', 'MF', 'MM', 'SMMA', 'SSMA', 'SWMA', 'TEMA', 'TSF'
, 'VAR', 'VAMA', 'VMA', 'VBMA', 'VIDA', 'VWMA', 'WMA', 'QMA', 'RPMA'
, 'RSRMA', 'ZLEMA'], title = "Type", group = 'Moving Averages')

// Input Source
src = input(ohlc4, title = 'Source', group = 'Indicator Source')

// Histogram Settings
hist_amnt = input(30, 'Number of histograms (density)', group = 'Histogram settings')
bars_amnt = input(1000, 'Number of bars to lookback', group = 'Histogram settings')
dist_from_candle = input(5, 'Histgram distance from last candle', group = 'Histogram settings')

// Liquidation levels
lines_amnt = input(1000, title="Number of lines to plot", group = 'Line settings')
h3 = input.float(3.4, step = 0.1, title="Large Liquidation Level", group = 'Line settings')
h2 = input.float(2.2, step = 0.1, title="Middle Liquidation Level", group = 'Line settings')
h1 = input.float(1.8, step = 0.1, title="Small Liquidation Level", group = 'Line settings')

// Colors
color_5x = input.color(color.rgb(179, 181, 190, 70), '5x Leverage color', group='Colors')
color_10x = input.color(color.rgb(0, 137, 123, 70), '10x Leverage color', group='Colors')
color_25x = input.color(color.rgb(255, 235, 59, 70), '25x Leverage color', group='Colors')
color_50x = input.color(color.rgb(255, 82, 82, 70), '50x Leverage color', group='Colors')
color_100x = input.color(color.rgb(136, 14, 79, 70), '100x Leverage color', group='Colors')

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// Data Collection //
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

// OI data
currency = syminfo.basecurrency
xbt = currency =='BTC' ? 'XBT' : string(currency)
delta = close - close[1]

[oid1, oic1, oio1, oih1, oil1] = request.security('BINANCE' + ":" + string(currency) + 'USDT.P_OI',
timeframe.period, [delta, close, open, high, low], ignore_invalid_symbol = true)
[oid2, oic2, oio2, oih2, oil2] = request.security('BINANCE' + ":" + string(currency) + 'USD.P_OI',
timeframe.period, [delta, close, open, high, low], ignore_invalid_symbol = true)
[oid3, oic3, oio3, oih3, oil3] = request.security('BINANCE' + ":" + string(currency) + 'BUSD.P_OI',
timeframe.period, [delta, close, open, high, low], ignore_invalid_symbol = true)
[oid4, oic4, oio4, oih4, oil4] = request.security('BITMEX' + ":" + xbt + 'USD.P_OI',
timeframe.period, [delta, close, open, high, low], ignore_invalid_symbol = true)
[oid5, oic5, oio5, oih5, oil5] = request.security('BITMEX' + ":" + xbt + 'USDT.P_OI',
timeframe.period, [delta, close, open, high, low], ignore_invalid_symbol = true)
[oid6, oic6, oio6, oih6, oil6] = request.security('KRAKEN' + ":" + string(currency) + 'USD.P_OI',
timeframe.period, [delta, close, open, high, low], ignore_invalid_symbol = true)

oid7 = request.security('BITFINEX:BTCUSDLONGS', timeframe.period, delta) +
request.security('BITFINEX:BTCUSDSHORTS', timeframe.period, delta) +
request.security('BITFINEX:BTCUSTLONGS', timeframe.period, delta) +
request.security('BITFINEX:BTCUSTSHORTS', timeframe.period, delta)
oio7 = request.security('BITFINEX:BTCUSDLONGS', timeframe.period, open) +
request.security('BITFINEX:BTCUSDSHORTS', timeframe.period, open) +
request.security('BITFINEX:BTCUSTLONGS', timeframe.period, open) +
request.security('BITFINEX:BTCUSTSHORTS', timeframe.period, open)
oic7 = request.security('BITFINEX:BTCUSDLONGS', timeframe.period, close) +
request.security('BITFINEX:BTCUSDSHORTS', timeframe.period, close) +
request.security('BITFINEX:BTCUSTLONGS', timeframe.period, close) +
request.security('BITFINEX:BTCUSTSHORTS', timeframe.period, close)
oih7 = request.security('BITFINEX:BTCUSDLONGS', timeframe.period, high) +
request.security('BITFINEX:BTCUSDSHORTS', timeframe.period, high) +
request.security('BITFINEX:BTCUSTLONGS', timeframe.period, high) +
request.security('BITFINEX:BTCUSTSHORTS', timeframe.period, high)
oil7 = request.security('BITFINEX:BTCUSDLONGS', timeframe.period, low) +
request.security('BITFINEX:BTCUSDSHORTS', timeframe.period, low) +
request.security('BITFINEX:BTCUSTLONGS', timeframe.period, low) +
request.security('BITFINEX:BTCUSTSHORTS', timeframe.period, low)

// Caclualtion
OI_delta = currency == 'BTC' ? (nz(oid1,0) + nz(oid2,0)/close + nz(oid3,0) + nz(oid4,0)/close +
nz(oid5,0)/close + nz(oid6,0)/close) + nz(oid7,0) :
(nz(oid1,0) + nz(oid2,0)/close + nz(oid3,0) + nz(oid4,0)/close +
nz(oid5,0)/close + nz(oid6,0)/close)

OI_delta_abs = math.abs(OI_delta)
OI_delta_MA = ma.selector(OI_delta, ma_length, averageType)
OI_delta_abs_MA = ma.selector(OI_delta_abs, ma_length, averageType)

OI_delta_open_h3 = (OI_delta_abs >= OI_delta_abs_MA * h3) and OI_delta > 0
OI_delta_open_h2 = (OI_delta_abs >= OI_delta_abs_MA * h2 and OI_delta_abs < OI_delta_abs_MA * h3) and OI_delta > 0
OI_delta_open_h1 = (OI_delta_abs >= OI_delta_abs_MA * h1 and OI_delta_abs < OI_delta_abs_MA * h2) and OI_delta > 0

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// Level Calculations And Plotting //
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

// Histogram
local_high = ta.highest(high, bars_amnt)
local_low = ta.lowest(low, bars_amnt)
range_high = local_high * (1 + local_high / local_low / 10)
range_low = local_low * (1 - local_high / local_low / 10)
range_height = range_high - range_low

hist_height = range_height / hist_amnt
hist_lower_list = array.new_float(hist_amnt, na)
hist_higher_list = array.new_float(hist_amnt, na)
hist_data = array.new_float()
hist_targets = array.new_float(hist_amnt, 0.0)

var h3_array = array.new_line()
var h2_array = array.new_line()
var h1_array = array.new_line()
var bars_array = array.new_box(hist_amnt, na)

// Clean up drawings every tick
for i = 0 to hist_amnt - 1
box.delete(array.get(bars_array, i))

// Indicators funcitons
f_drawLine(x1, x2, y_value, line_color, style, width) =>
line.new(x1, y_value, x2, y_value, color = line_color, style = style, width = width)

f_extendArray(line_array, extend_lines) =>
if array.size(line_array) > 0
for _i = array.size(line_array) - 1 to 0 by 1

x2 = line.get_x2(array.get(line_array, _i))
y_value = line.get_y1(array.get(line_array, _i))

if extend_lines or bar_index - 1 == x2 - 1 and not(high > y_value and low < y_value)
line.set_x2(array.get(line_array, _i), bar_index + 1)
if bar_index == last_bar_index
array.push(hist_data, y_value)

calculate_leverage(pivot_value, leverage, short_sell) =>
short_sell ? pivot_value * (1 - leverage) : pivot_value * (1 + leverage)

float y_value = na
int x1 = na
int x2 = na
line l = na

x1 := bar_index
x2 := bar_index

f_append(Array, l) =>
if array.size(Array) == lines_amnt
line.delete(array.shift(Array))
array.push(Array, l)

if OI_delta_open_h3 and showl3
y_value := calculate_leverage(src, 0.01, true)
l := f_drawLine(x1, x2, y_value, color_100x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.01, false)
l := f_drawLine(x1, x2, y_value, color_100x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.02, true)
l := f_drawLine(x1, x2, y_value, color_50x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.02, false)
l := f_drawLine(x1, x2, y_value, color_50x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.04, true)
l := f_drawLine(x1, x2, y_value, color_25x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.04, false)
l := f_drawLine(x1, x2, y_value, color_25x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.1, true)
l := f_drawLine(x1, x2, y_value, color_10x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.1, false)
l := f_drawLine(x1, x2, y_value, color_10x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.2, true)
l := f_drawLine(x1, x2, y_value, color_5x, line.style_solid, 3)
f_append(h3_array, l)

y_value := calculate_leverage(src, 0.2, false)
l := f_drawLine(x1, x2, y_value, color_5x, line.style_solid, 3)
f_append(h3_array, l)

if OI_delta_open_h2 and not OI_delta_open_h3 and showl2
y_value := calculate_leverage(src, 0.01, true)
l := f_drawLine(x1, x2, y_value, color_100x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.01, false)
l := f_drawLine(x1, x2, y_value, color_100x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.02, true)
l := f_drawLine(x1, x2, y_value, color_50x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.02, false)
l := f_drawLine(x1, x2, y_value, color_50x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.04, true)
l := f_drawLine(x1, x2, y_value, color_25x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.04, false)
l := f_drawLine(x1, x2, y_value, color_25x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.1, true)
l := f_drawLine(x1, x2, y_value, color_10x, line.style_solid, 2)
f_append(h2_array, l)

y_value := calculate_leverage(src, 0.1, false)
l := f_drawLine(x1, x2, y_value, color_10x, line.style_solid, 2)
f_append(h2_array, l)


if OI_delta_open_h1 and not OI_delta_open_h2 and not OI_delta_open_h3 and showl1
y_value := calculate_leverage(src, 0.01, true)
l := f_drawLine(x1, x2, y_value, color_100x, line.style_dotted, 1)
f_append(h1_array, l)

y_value := calculate_leverage(src, 0.01, false)
l := f_drawLine(x1, x2, y_value, color_100x, line.style_dotted, 1)
f_append(h1_array, l)

y_value := calculate_leverage(src, 0.02, true)
l := f_drawLine(x1, x2, y_value, color_50x, line.style_dotted, 1)
f_append(h1_array, l)

y_value := calculate_leverage(src, 0.02, false)
l := f_drawLine(x1, x2, y_value, color_50x, line.style_dotted, 1)
f_append(h1_array, l)

y_value := calculate_leverage(src, 0.04, true)
l := f_drawLine(x1, x2, y_value, color_25x, line.style_dotted, 1)
f_append(h1_array, l)

y_value := calculate_leverage(src, 0.04, false)
l := f_drawLine(x1, x2, y_value, color_25x, line.style_dotted, 1)
f_append(h1_array, l)

f_extendArray(h3_array, false)
f_extendArray(h2_array, false)
f_extendArray(h1_array, false)

// Draw Histogram
if barstate.islast and show_hist
// Define lows and highs of the histograms
for i = 0 to hist_amnt - 1
histogramLow = range_low + hist_height * i
histogramHigh = range_low + hist_height * (i + 1)
array.set(hist_lower_list, i, histogramLow)
array.set(hist_higher_list, i, histogramHigh)

for i = 0 to array.size(hist_data) - 1
y = array.get(hist_data, i)

for j = 0 to hist_amnt - 1
histogramLow = array.get(hist_lower_list, j)
histogramHigh = array.get(hist_higher_list, j)
if y >= histogramLow and y <= histogramHigh
array.set(hist_targets, j, array.get(hist_targets, j) + 1)

maxHistogramtarget = array.max(hist_targets) // add this line to get the max target value

for i = 0 to hist_amnt - 1
histogramLow = array.get(hist_lower_list, i)
histogramHigh = array.get(hist_higher_list, i)
histogramtarget = array.get(hist_targets, i)
histogramWidth = math.floor((histogramtarget + 0.49) * 2)

// Compute alpha based on the size of the histogram, max alpha is 100
alpha = 100 - math.floor(histogramtarget / maxHistogramtarget * 100)

// Define color based on comparison with close price
barColor = histogramHigh > close ? color.new(color.red, alpha) : color.new(color.teal, alpha)

// Draw histograms
array.set(bars_array, i, box.new(left=bar_index + dist_from_candle, top=histogramHigh, right=bar_index + dist_from_candle + histogramWidth, bottom=histogramLow, bgcolor=barColor, border_color=barColor))

// Update Positions
if barstate.islast and not show_line
for i=0 to array.size(h3_array) - 1
line.delete(array.get(h3_array, i))

for i=0 to array.size(h2_array) - 1
line.delete(array.get(h2_array, i))

for i=0 to array.size(h1_array) - 1
line.delete(array.get(h1_array, i))

// Parameters for settings
plot(show_params ? OI_delta_abs : na, color = color.red)
plot(show_params ? OI_delta_abs_MA * h3 : na, color = color.white)
plot(show_params ? OI_delta_abs_MA * h2 : na, color = color.yellow)
plot(show_params ? OI_delta_abs_MA * h1 : na, color = color.orange)