OpenInterestDelta

The tick-over-tick change in open interest — new positioning versus mere turnover. The raw input to OI-vs-price divergence analysis.

Quick reference

Item	Value
Family	Derivatives
Input type	DerivativesTick — a perp / futures market tick
Output type	f64 (contracts / notional)
Output range	unbounded around zero
Default parameters	none
Warmup period	2
Interpretation	Position building vs unwinding

Formula

delta = openInterestₜ − openInterestₜ₋₁

Stateful only in the previous open-interest value; O(1). The first tick seeds the previous value and returns None. See crates/wickra-core/src/indicators/oi_delta.rs.

Parameters

None. Construct with OpenInterestDelta::new().

Inputs / Outputs

Indicator<Input = DerivativesTick, Output = f64>. The bindings expose only the field this indicator reads: update(open_interest). Python / Node batch accept a single open_interest array and return a 1-D array (NaN on the first, seeding tick); WASM is streaming-only.

Warmup

warmup_period() == 2; the first delta lands on the second tick.

Edge cases

• First tick. Returns None — there is no previous value to difference yet.
• Reset. After reset() the next tick only re-seeds, returning None again.

Examples

Rust

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

fn tick(oi: f64) -> DerivativesTick {
    DerivativesTick::new(0.0, 100.0, 100.0, 100.0, oi, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0)
        .unwrap()
}

let mut oid = OpenInterestDelta::new();
assert_eq!(oid.update(tick(1_000.0)), None);
assert_eq!(oid.update(tick(1_250.0)), Some(250.0));

Python

import wickra as ta

oid = ta.OpenInterestDelta()
print(oid.update(1000.0))  # None
print(oid.update(1250.0))  # 250.0

Node

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

const oid = new OpenInterestDelta();
console.log(oid.update(1000)); // null
console.log(oid.update(1250)); // 250

Interpretation

Open interest counts outstanding contracts; its change separates fresh money from churn. Rising OI alongside a rising price confirms a trend (new longs); rising OI into a falling price marks fresh shorts; falling OI is an unwind regardless of direction. Combine the sign of this delta with the price move — or use OIPriceDivergence for the windowed version.

Common pitfalls

• Absolute, not relative. This is a raw change in contracts. For a percentage that compares across instruments, use the relative term inside OIPriceDivergence.
• Snapshot cadence. OI is a level sampled per tick; deltas inherit your sampling interval.

See also

• OIPriceDivergence — OI change vs price change.
• OIWeighted — OI-weighted fair price.
• Indicators-Overview — the full taxonomy.