Liquidation Levels on OI

2023年5月11日

This indicator is used to display estimated contract liquidation prices. When there are dense liquidation areas on the chart, it indicates that there may be a lot of liquidity at that price level. The horizontal lines of different colors on the chart represent different leverage ratios. See below for details.

Let me introduce the principle behind this indicator:

1. When position trading volume increases or decreases significantly higher than usual levels in a specific candlestick chart, it indicates that a large number of contracts were opened during that period. We use the 60-day moving average change as a benchmark line. If the position trading volume changes more than 1.2x, 2x or 3x its MA60 value, it is considered small, medium or large abnormal increase or decrease.

2. This indicator takes an approximate average between high, open, low and close prices of that candlestick as opening price.

3. Since contracts involve liquidity provided by both buyers and sellers with equal amounts of long and short positions corresponding to each contract respectively; since we cannot determine actual settlement prices for contract positions; therefore this indicator estimates settlement prices instead which marks five times (5x), ten times (10x), twenty-five times (25x), fifty times (50x) and one hundred times (100x) long/short settlement prices corresponding to each candlestick chart generating liquidation lines with different colors representing different leverage levels.

4. We can view areas where dense liquidation lines appear as potential liquidation zones which will have high liquidity.

5. We can adjust orders based on predicted liquidation areas because most patterns in these areas will be quickly broken.

6. We provide a density histogram to display the liquidation density of each price range.

Special thanks to the following TradingView community members for providing open-source indicators and contributing to the development of this indicator!
Liquidation - Mysterysauce
Open Interest Delta - By Leviathan - LeviathanCapital

Regarding the relationship with the above-mentioned open source indicators:

1. Indicator Liquidation - Mysterysauce can also draw a liquidation line in the chart, but:
(1) Our indicator generates a liquidation line based on abnormal changes in open interest; their indicator generates a liquidation line based on trading volume.
(2) Our indicator will generate both long and short liquidation lines at the same time; their indicator will only generate a liquidation line in a single direction.
We refer to their method of drawing liquidation lines when drawing our own.

2. Indicator Open Interest Delta - By Leviathan - LeviathanCapital obtained OI data for Binance USDT perpetual contracts in the code. We refer to their method of obtaining OI data in our code.


============= 中文版本 =============

此指标用于显示估计合约清算价格。当图表上有密集的清算区域时，表示该价格水平可能存在大量流动性。图表上不同颜色的水平线代表不同杠杆比率。详情请参见下面的说明。

让我介绍一下这个指标背后的原理：

1. 当特定蜡烛图对应的合约仓位增加量（OI Delta）显著高于通常水平时，表示在那段时间有大量合约开仓。我们使用OI Delta的60日移动均线作为基准线。如果OI Delta超过其MA60值的1.2倍、2倍或3倍，则认为是小型、中型或大型的异常OI Delta。
2. 该指标将上述蜡烛图高、开、低和收盘价的平均值作为近似的合约开仓价。
3. 由于合约涉及买方和卖方之间相互提供流动性，每个合约对应相等数量的多头和空头头寸。由于我们无法确定合约头寸的实际清算价格，因此该指标估计了清算价格。它标记了与该蜡烛图相对应的多头和空头5倍、10倍、25倍、50倍和100倍的清算价格，生成清算线。不同杠杆水平用不同颜色表示。
4. 我们可以将出现密集清算线的区域视为潜在的清算区域。这些区域将具有高流动性。
5. 我们可以根据预测到的清算区域调整自己的订单，因为根据规律，这些清算区域大部分都会很快被击穿。
6. 我们提供了密度直方图来显示每个价格范围的清算密度

特别感谢以下TradingView社区成员提供开源指标并为该指标的开发做出贡献！
Liquidation - Mysterysauce
Open Interest Delta - By Leviathan - LeviathanCapital

与上述开源指标的关系：
1. 指标Liquidation - Mysterysauce也可以在图中绘制清算线，但是：
（1）我们的指标是基于open interest的异常变化生成的清算线；他们的指标是基于成交量生成的清算线
（2）我们的指标会同时生成多头和空头清算线；他们的指标仅会在单一方向生成清算线
我们的指标在绘制清算线上参考了他们绘制清算线的方式

2. 指标Open Interest Delta - By Leviathan - LeviathanCapital在代码中获取了Binance USDT永续合约的OI数据。我们在代码中参考他们获取OI数据的方式