Library "NetLiquidityLibrary" The Net Liquidity Library provides daily values for net liquidity. Net liquidity is measured as Fed Balance Sheet - Treasury General Account - Reverse Repo. Time series for each individual component included too.
get_net_liquidity_for_date(t) Function takes date in timestamp form and returns the Net Liquidity value for that date. If date is not present, 0 is returned. Parameters: t: The timestamp of the date you are requesting the Net Liquidity value for. Returns: The Net Liquidity value for the specified date.
get_net_liquidity() Gets the Net Liquidity time series from Dec. 2021 to current. Dates that are not present are represented as 0. Returns: The Net Liquidity time series.
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v2 - Return na for dates that don't have a value
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v3
Update documentation
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v4 Experimenting with switch statement
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v5
Update to switch statement
Removed: get_net_liquidity_for_date(t) Function takes date in timestamp form and returns the Net Liquidity value for that date. If date is not present, na is returned.
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v6
Add TGA time series
Added: get_tga() Gets the Treasury General Account time series from Dec. 2021 to current. Dates that are not present are represented as 0. Returns: The Treasury General Account time series.
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v7
Updated: get_net_liquidity(component) Gets the Net Liquidity time series from Dec. 2021 to current. Dates that are not present are represented as na. Parameters: component: The component of the Net Liquidity function to return. Possible values: 'fed', 'tga', and 'rrp'. (`Net Liquidity` is returned if no argument is supplied). Returns: The Net Liquidity time series or a component of the Net Liquidity function.
Removed: get_tga() Gets the Treasury General Account time series from Dec. 2021 to current. Dates that are not present are represented as 0.
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v8
Update to retrieve values for trailing 250 trading days
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v9
Update for 11/11/2022
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v10
11/14/2022 Update
Added: get_sm_metric(The) Gets either the DIX or GEX time series for the last 250 trading days. Dates that are not present are represented as na. Parameters: The: metric to return. Possible values: 'dix' and 'gex'. (`DIX` is returned if no argument is supplied). Returns: The specified SqueezeMetrics time series.
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v11
11/15/2022 Update
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v12
11/16/2022 update
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v13
11/16/2022 Update #2
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v14
11/17/2022 Update
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v15
11/18/2022 Update
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v16
11/21/2022 update
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v17
11/22/2022 update
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v18
11/23/2022 update
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v19
11/25/2022 update
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v20
11/28/2022 update
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v21
11/29/2022 update
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v22
11/30/2022 update
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v23
12/1/2022 update
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v26
12/2/2022 update
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v27
12/5/2022 update
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v28
12/6/2022
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v29
12/7/2022 update
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v30
12/8/2022 update
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v31
12/9/2022 update
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v32
12/12/2022 update
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v33
12/13/2022 update
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v34
12/14/2022 update
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v35
12/16/2022 update
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v36
12/20/2022 update
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v37
12/28/2022 update
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v38
12/30/2022 update
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v39
Updated to provide the trailing 400 trading days
Removed: get_sm_metric(component) Gets either the DIX or GEX time series for the last 250 trading days. Dates that are not present are represented as na.
Hi, great script. It's nice there's a library for Net Liquidity to overlay as an indicator rather than using calculations in the Compare function in TV. This is how I've used the Net Liquidity in my work Add to compare the calculation below FRED:WALCL-(FRED:RRPONTSYD+FRED:WDTGAL)
Few thoughts, the "float val" array is long, I bet there's a way to reduce the array size from 250 lines of code to less than 5. Maybe using the max_bars_back as in
This is how I've used the Net Liquidity in my work
Add to compare the calculation below
FRED:WALCL-(FRED:RRPONTSYD+FRED:WDTGAL)
Few thoughts, the "float val" array is long, I bet there's a way to reduce the array size from 250 lines of code to less than 5. Maybe using the max_bars_back as in
library("NetLiquidityLibrary", overlay = true, max_bars_back = 250)
Again, great script