Premium by expiry

// Premium by Expiry: which expiries the session's directional option money went into, on the chart's underlying,
// as one bar per expiry under the chart. Each contract that traded adds its premium by side: calls bought at the
// ask and puts sold at the bid are bullish premium, puts bought at the ask and calls sold at the bid bearish. Net
// (the default) draws bullish minus bearish per expiry, green above zero and red below; Sides draws the two apart,
// bullish up and bearish down. The sums run from the session's first bar (each trade date starts again), over the
// nearest expiries that traded, labelled by date and days to go. Premium at the mid or with no quote has no side
// and counts in neither. The cells come from option_contract_flow, one tuple per contract that traded in each bar:
// a bar whose block was cut down (the partial bit, 14) is a floor, and the panel's badge says so; a tuple whose
// contract is not whole (a root the symbol codec refuses, no expiry, a side other than call or put, no strike) is
// skipped and counted. 1-minute cells reach back 7 days and 5-minute cells 30 days.

section("Expiries");
param.choice("view", ["net", "sides"], "net", { label: "View", description: "net: bullish minus bearish premium per expiry; sides: the bullish premium up and the bearish premium down" });
param.int("expiries", 12, { min: 1, max: 40, label: "Expiries shown", description: "The nearest expiries that traded this session" });
input("close", ohlcv.close); // the chart's own candles: the bar grid
input("trade_date", time.trade_date); // the bar's trade date, the New York date on a US stock: the sums start again on each
input("flow", option_contract_flow.cells, { max_cells: 6000, description: "Each contract that traded in the bar: [root_code, expiry_ms, side_cp, strike, vol_ask, vol_bid, vol_mid, vol_none, prem_ask, prem_bid, share_delta_net, vwap, last_price, iv_last, vol_above_ask, vol_below_bid, present]" }); // every expiry and strike of the chart's underlying
// The readings, data-only: the Console reads them.
output("session_net", none, overlay, { description: "Bullish minus bearish premium over every expiry this session, USD" });
output("top_days", none, overlay, { description: "Days to go of the expiry holding the largest net premium either way this session" });
output("top_net", none, overlay, { description: "That expiry's net premium, USD" });
output("partial_bars", none, overlay, { description: "Bars of this session whose block was cut down (bit 14): the sums are a floor while it is above 0" });
output("skipped", none, overlay, { description: "Tuples of this session skipped because their contract is not whole" });
string("note", { max_bytes: 72 }); // the one line while there is nothing to draw, or the sums are a floor
const net_rows = frame("net_rows", { max_bytes: 8192 });
const side_rows = frame("side_rows", { max_bytes: 12288 });
panel.bars({ name: "net_by_expiry", title: "Net premium by expiry", x: "category", place: "below", frame: net_rows, orientation: "vertical", chrome: "grid", color_mode: "sign", positive_color: "#22c55e", negative_color: "#ef4444", series: [{ name: "Net" }], format: "usd", hover_card: true, legend_style: "title", height_frac: 0.2 });
panel.bars({ name: "sides_by_expiry", title: "Bullish and bearish premium by expiry", x: "category", place: "below", frame: side_rows, orientation: "vertical", chrome: "grid", color_mode: "series", series: [{ name: "Bullish", color: "#22c55e" }, { name: "Bearish", color: "#ef4444" }], format: "usd", hover_card: true, legend_style: "title", height_frac: 0.2 });
render.label("note_label", { position: "top_center", text: "note", color: "#94a3b8", style: "knockout", offset: [0, 8] });

const TUPLE = 17; // f64s per contract: OPTION_CONTRACT_FLOW_TUPLE
const MAX_EXPIRIES = 96; // expiries kept a session, the nearest when more trade
const NEW_YORK = 1; // OPRA's calendar: an expiry's date and days to go
const MONTHS: StaticArray<string> = ["JAN", "FEB", "MAR", "APR", "MAY", "JUN", "JUL", "AUG", "SEP", "OCT", "NOV", "DEC"];
const expiryAt = new StaticArray<f64>(MAX_EXPIRIES); // the session's expiries, ascending
const bullAt = new StaticArray<f64>(MAX_EXPIRIES);
const bearAt = new StaticArray<f64>(MAX_EXPIRIES);
const dateClock = new Clock("UTC"); // reads a date from its day number

let sides = false; // settings, read in onStart()
let shown = 12;
let day: f64 = NaN; // the trade date the sums run over
let expiryCount = 0;
let partialBars = 0;
let skipped = 0;
let runCells = 0; // tuples read over the whole run

function onStart(): void {
  sides = p_view() == 1.0;
  shown = i32(p_expiries());
}

// The symbol codec's rule without decoding: a whole number from 1 to 38^10 - 1 with no zero digit in base 38.
function rootOk(code: f64): bool {
  if (!(code >= 1.0) || code > 6278211847988223.0 || code != Math.floor(code)) return false;
  let rest = code;
  while (rest > 0.0) {
    const digit = rest % 38.0;
    if (digit == 0.0) return false;
    rest = (rest - digit) / 38.0;
  }
  return true;
}

// A tuple counts when its contract is whole and its present mask is a whole number from 0 up.
function contractOk(cells: StaticArray<f64>, i: i32): bool {
  const present = cells[i + 16];
  const side = cells[i + 2];
  return rootOk(cells[i]) && cells[i + 1] > 0.0 && (side == 1.0 || side == -1.0) && cells[i + 3] > 0.0 && present >= 0.0 && present == Math.floor(present);
}

// The row of an expiry, inserted when new; -1 when the table is full and the expiry is later than every kept one.
function expirySlot(ms: f64): i32 {
  let lo = 0;
  let hi = expiryCount;
  while (lo < hi) {
    const mid = (lo + hi) >> 1;
    if (expiryAt[mid] < ms) lo = mid + 1;
    else hi = mid;
  }
  if (lo < expiryCount && expiryAt[lo] == ms) return lo;
  if (expiryCount >= MAX_EXPIRIES) {
    if (lo >= expiryCount) return -1;
    expiryCount -= 1; // the latest makes room
  }
  for (let k = expiryCount; k > lo; k -= 1) {
    expiryAt[k] = expiryAt[k - 1];
    bullAt[k] = bullAt[k - 1];
    bearAt[k] = bearAt[k - 1];
  }
  expiryAt[lo] = ms;
  bullAt[lo] = 0.0;
  bearAt[lo] = 0.0;
  expiryCount += 1;
  return lo;
}

// One bar's block into the session's sums.
function fold(n: i32): void {
  const cells = in_flow_view();
  let partial = false;
  for (let i = 0; i + TUPLE - 1 < n; i += TUPLE) {
    if (!contractOk(cells, i)) {
      skipped += 1;
      continue;
    }
    if (isPartial(cells[i + 16])) partial = true;
    runCells += 1;
    const slot = expirySlot(cells[i + 1]);
    if (slot < 0) continue;
    const call = cells[i + 2] > 0.0;
    const premAsk = cells[i + 8];
    const premBid = cells[i + 9];
    bullAt[slot] += call ? premAsk : premBid; // calls bought, puts sold
    bearAt[slot] += call ? premBid : premAsk; // puts bought, calls sold
  }
  if (partial) partialBars += 1;
}

function fbLabel(ms: f64, today: f64): void { // "16OCT 0d"
  const expiryDay = optionsTradeDay(ms, NEW_YORK);
  dateClock.update(expiryDay * 86400.0);
  fb_text("\"");
  if (dateClock.dayOfMonth() < 10) fb_text("0");
  fb_int(dateClock.dayOfMonth());
  fb_text(MONTHS[dateClock.month() - 1]);
  fb_text(" ");
  fb_int(i64(expiryDay - today));
  fb_text("d\"");
}

// The panel the View setting picks, on the live bar: the nearest expiries, ascending.
function writePanel(today: f64): void {
  const last = expiryCount < shown ? expiryCount : shown;
  fb_clear();
  fb_text("{");
  if (partialBars > 0) fb_text("\"badge\":{\"text\":\"Floor\",\"color\":\"#f59e0b\"},");
  fb_text("\"rows\":[");
  for (let e = 0; e < last; e += 1) {
    if (e > 0) fb_text(",");
    fb_text("[");
    fbLabel(expiryAt[e], today);
    fb_text(",");
    if (sides) {
      fb_f64(bullAt[e], 0);
      fb_text(",");
      fb_f64(-bearAt[e], 0);
    } else fb_f64(bullAt[e] - bearAt[e], 0);
    fb_text("]");
  }
  fb_text("]}");
  if (sides) writeFrameBuffer(side_rows);
  else writeFrameBuffer(net_rows);
}

// onBar() runs once per bar: a new trade date starts the sums again; the bar's block adds each contract's bullish
// and bearish premium to its expiry; then the readings and, on the live bar, the panel and the note.
function onBar(): void {
  const date = in_trade_date();
  if (!isNaN(date) && date != day) {
    day = date;
    expiryCount = 0;
    partialBars = 0;
    skipped = 0;
  }
  const n = in_flow_cells();
  if (n >= TUPLE) fold(n);
  let net = 0.0;
  let topDays: f64 = NaN;
  let topNet: f64 = NaN;
  const today = Math.floor(day / 86400.0); // the bar's own date as a day number (the chart fills trade_date on every bar)
  for (let e = 0; e < expiryCount; e += 1) {
    const row = bullAt[e] - bearAt[e];
    net += row;
    if (isNaN(topNet) || Math.abs(row) > Math.abs(topNet)) {
      topNet = row;
      topDays = optionsTradeDay(expiryAt[e], NEW_YORK) - today;
    }
  }
  const reading = expiryCount > 0;
  out_session_net(reading ? net : NaN);
  out_top_days(topDays);
  out_top_net(topNet);
  out_partial_bars(f64(partialBars));
  out_skipped(f64(skipped));
  if (!bar.isLast()) return;
  if (reading && !isNaN(today)) writePanel(today);
  sb_clear();
  if (runCells == 0) sb_text("No contract flow on this chart yet");
  else if (!reading) sb_text("No contract flow yet this session");
  else if (partialBars > 0) {
    sb_text("A floor: ");
    sb_int(partialBars);
    sb_text(partialBars == 1 ? " bar's contracts were cut down" : " bars' contracts were cut down");
  }
  str_note_sb(); // an empty text draws no label
}