Greek flow

// Greek Flow: the delta and the vega the options tape traded on the chart's underlying, signed by side and summed
// through the session (each trade date starts again). Each print's share delta is its contracts times its delta
// times 100, calls up and puts down; a print bought at the ask counts as it is and one sold at the bid counts
// against, so the directional delta is the share delta bought at the ask minus the share delta sold at the bid: the
// share-equivalent pressure the tape puts on the stock, close to what the dealers on the other side end up hedging.
// The directional vega is the vega bought at the ask minus the vega sold at the bid, in USD per IV point: above zero
// the tape is net buying volatility. Prints at the mid or with no quote carry no side and count in neither line. The
// delta line sits under the chart and the vega line in a pane below it. Out of the money only reads the same sums
// over the out-of-the-money contracts (a second read, fetched only while it is on). The rows come from options_flow,
// one per bar: 1-minute rows reach back 7 days and 5-minute rows 30 days, so older bars carry none; a bar without a
// row adds nothing, and the regular-session bars that had none are counted, the sums being a floor while the count
// is above 0.

param.bool("otm", false, { label: "Out of the money only", description: "Read the out-of-the-money contracts alone (a second read, fetched only while this is on)" });
input("close", ohlcv.close); // the chart's own candles: the bar grid
input("trade_date", time.trade_date); // the bar's trade date: the sums start again on each
input("session", time.session); // 1 in the regular session: the bars a missing row is counted on
input("delta_ask", options_flow.share_delta_ask, { missing: "nan", description: "Share delta bought at the ask in the bar, the chart's underlying: contracts times delta times 100" }); // NaN on a bar the class serves no row for
input("delta_bid", options_flow.share_delta_bid, { missing: "nan", description: "Share delta sold at the bid in the bar" });
input("vega_ask", options_flow.vega_ask, { missing: "nan", description: "Vega bought at the ask in the bar, USD per IV point" });
input("vega_bid", options_flow.vega_bid, { missing: "nan", description: "Vega sold at the bid in the bar, USD per IV point" });
input("otm_delta_ask", options_flow.share_delta_ask, { moneyness: "otm", when: "otm", missing: "nan", description: "Share delta bought at the ask, out-of-the-money contracts" });
input("otm_delta_bid", options_flow.share_delta_bid, { moneyness: "otm", when: "otm", missing: "nan", description: "Share delta sold at the bid, out-of-the-money contracts" });
input("otm_vega_ask", options_flow.vega_ask, { moneyness: "otm", when: "otm", missing: "nan", description: "Vega bought at the ask, out-of-the-money contracts" });
input("otm_vega_bid", options_flow.vega_bid, { moneyness: "otm", when: "otm", missing: "nan", description: "Vega sold at the bid, out-of-the-money contracts" });
pane("vega", { title: "Vega flow", height_frac: 0.16, format: "usd" });
output("delta_flow", line, lower, { color: "#38bdf8", width: 2, label: "Directional delta", format: "si", unit: " sh", description: "Share delta bought at the ask minus sold at the bid, summed since the session's first bar, shares" });
output("delta_zero", line, lower, { color: "#334155", width: 1, legend: false, description: "The delta pane's zero line" });
output("vega_flow", line, lower, { pane: "vega", color: "#a78bfa", width: 2, label: "Directional vega", format: "usd", description: "Vega bought at the ask minus sold at the bid, summed since the session's first bar, USD per IV point" });
output("vega_zero", line, lower, { pane: "vega", color: "#334155", width: 1, legend: false, description: "The vega pane's zero line" });
// The readings, data-only: the Console reads them.
output("delta_bar", none, lower, { description: "This bar's directional share delta; NaN on a bar without a flow row" });
output("vega_bar", none, lower, { description: "This bar's directional vega, USD per IV point; NaN on a bar without a flow row" });
output("delta_sided", none, lower, { description: "This bar's share delta at the ask plus at the bid: the sided prints' delta whichever way they traded" });
output("missing_bars", none, lower, { description: "Regular-session bars of this session that carried no flow row: the sums are a floor while it is above 0" });
string("note", { max_bytes: 64 }); // the one line while there is nothing to draw
render.label("note_label", { position: "top_center", text: "note", color: "#94a3b8", style: "knockout", offset: [0, 8] });

let otm = false; // setting, read in onStart()
let day: f64 = NaN; // the trade date the sums run over
let delta = 0.0; // the session's sums
let vega = 0.0;
let rows = 0; // bars of this session that carried a flow row
let missing = 0; // regular-session bars of this session without one
let runRows = 0; // flow rows over the whole run

function onStart(): void {
  otm = pb_otm();
}

// onBar() runs once per bar: a new trade date starts the sums again; this bar's row adds its directional delta and
// vega, or counts as missing on a regular-session bar; then the lines and the readings.
function onBar(): void {
  const date = in_trade_date();
  if (!isNaN(date) && date != day) {
    day = date;
    delta = 0.0;
    vega = 0.0;
    rows = 0;
    missing = 0;
  }
  // The out-of-the-money inputs read NaN while the setting is off: their lane is never fetched.
  const deltaAsk = otm ? in_otm_delta_ask() : in_delta_ask();
  const deltaBid = otm ? in_otm_delta_bid() : in_delta_bid();
  const vegaAsk = otm ? in_otm_vega_ask() : in_vega_ask();
  const vegaBid = otm ? in_otm_vega_bid() : in_vega_bid();
  const served = !isNaN(deltaAsk) && !isNaN(deltaBid) && !isNaN(vegaAsk) && !isNaN(vegaBid);
  if (served) {
    delta += deltaAsk - deltaBid;
    vega += vegaAsk - vegaBid;
    rows += 1;
    runRows += 1;
  } else if (in_session() == 1.0) missing += 1;
  const reading = rows > 0;
  out_delta_flow(reading ? delta : NaN);
  out_delta_zero(0.0);
  out_vega_flow(reading ? vega : NaN);
  out_vega_zero(0.0);
  out_delta_bar(served ? deltaAsk - deltaBid : NaN);
  out_vega_bar(served ? vegaAsk - vegaBid : NaN);
  out_delta_sided(served ? deltaAsk + deltaBid : NaN);
  out_missing_bars(f64(missing));
  if (bar.isLast()) str_note(runRows == 0 ? "No options flow on this chart yet" : rows == 0 ? "No options flow yet this session" : ""); // an empty text draws no label
}