OIWeighted

The running mean mark price, weighting each tick by its open interest — the price level the bulk of outstanding positioning sits around.

Quick reference

Item	Value
Family	Derivatives
Input type	DerivativesTick — a perp / futures market tick
Output type	f64 (price scale)
Output range	unbounded (price scale)
Default parameters	none
Warmup period	1
Interpretation	Fair-value anchor for positioning

Formula

oiWeighted = Σ(markPrice · openInterest) / Σ openInterest

A cumulative open-interest-weighted average, maintained with running sums; O(1). Until any open interest has accrued it returns the current mark price. Call reset() at session boundaries to re-anchor. See crates/wickra-core/src/indicators/oi_weighted.rs.

Parameters

None. Construct with OIWeighted::new().

Inputs / Outputs

Indicator<Input = DerivativesTick, Output = f64>. The bindings expose the two fields this indicator reads: update(mark_price, open_interest). Python / Node batch accept two equal-length arrays (mark_price, open_interest) and return a 1-D array; WASM is streaming-only.

Warmup

warmup_period() == 1; emits on the first tick.

Edge cases

• Zero open interest. Before any OI accrues, the fallback is the current mark price (no division by zero).
• Cumulative. The average runs from construction; reset() re-anchors it at the next tick.

Examples

Rust

use wickra::{DerivativesTick, Indicator, OIWeighted};

fn tick(mark: f64, oi: f64) -> DerivativesTick {
    DerivativesTick::new(0.0, mark, mark, mark, oi, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0)
        .unwrap()
}

let mut oiw = OIWeighted::new();
assert_eq!(oiw.update(tick(100.0, 10.0)), Some(100.0));
assert_eq!(oiw.update(tick(110.0, 30.0)), Some(107.5));

Python

import wickra as ta

oiw = ta.OIWeighted()
print(oiw.update(100.0, 10.0))  # 100.0
print(oiw.update(110.0, 30.0))  # 107.5

Node

const { OIWeighted } = require('wickra');

const oiw = new OIWeighted();
console.log(oiw.update(100, 10)); // 100
console.log(oiw.update(110, 30)); // 107.5

Interpretation

Where a plain average treats every tick equally, the OI-weighted price pulls toward the levels at which the most contracts were actually open — a fair-value anchor for liquidation and mean-reversion analysis. Price trading far above its OI-weighted level means recent positioning is offside relative to where the crowd built.

Common pitfalls

• Cumulative drift. Without periodic reset() the anchor reflects the whole session; re-anchor when you want a recent reading.
• Argument order. The binding signature is (mark_price, open_interest) — price first, weight second.

See also

• OpenInterestDelta — the raw OI change.
• OIPriceDivergence — OI vs price moves.
• Vwap — the volume-weighted analogue.
• Indicators-Overview — the full taxonomy.