I am new to Pine script, more R user, so pine script code is quite easy to understand but I've got problem with indicator called "Open Interest:CME e-o-d vs CFTC e-o-w" - the pirple line (contracts sum) does not shows plot(OiSum>0?OiSum:na, color=purple, title="CME e-o-d\n 9 cntrcts sum", linewidth=3,offset=OffSet), maybe because of the contracts data not collecting.
Main problem is that I couldn't find function discription "getCntrct" so that I could understand where it goes and e.t.c.
Any help would be prefect.
//@version=3
study("Open Interest:CME e-o-d vs CFTC e-o-w", precision=0,overlay=true, scale=scale.left)
ChkComm = input("", title="override symbol (SI/CL etc)", type=string)
ChkPrelim = input(0, title="Prelim.OI", type=integer)
Prelim=(ChkPrelim>0?ChkPrelim:0)
fxroot =
ticker == "XAUUSD" ? "GC" :
ticker == "XAGUSD" ? "SI" :
""
ThisComm = ChkComm == "" ? fxroot == "" ? syminfo.root : fxroot : ChkComm
// root = syminfo.root
code = ThisComm
getCntrct(fut,num,max) =>
N=tostring(num)
C=num<=max?security("QUANDL:CHRIS/CME_"+fut+N+"|7", "D", close,barmerge.gaps_on, barmerge.lookahead_on):0
Cx=(C?C:0) // not na? OK, else 0
// NUMBER OF CONTRACTS
// CME Vol and Open Interesst page eg. for GOLD:
// https://www.cmegroup.com/markets/metals/precious/gold.volume.html#
// Totals Volume & OI (last line of table) are not exported
// CME data is recorded&exported daily by quandl.com to tradingview
// via the che CHRIS/CME datasets
// https://www.quandl.com/data/CHRIS
// Eg. Nat GAs cntract n. 20, field n. 7(OI)
// https://www.quandl.com/data/CHRIS/CME_NG20 (@quandl.com)
// https://www.tradingview.com/e/?symbol=QUANDL:CHRIS/CME_NG20|7 (@tradingview)
// This script tries to sum all the fut cntrcts' Vol&OI to obtain a fair total
//
// Number of cntrcts per commodity differ.
// eg E-mini (ES) has 4 contracts, Gold(GC) 16 cntrcts, NatGas(NG) has 43, WTI(CL) has 38 etc
// see https://s3.amazonaws.com/quandl-production-static/Ticker+CSV%27s/Futures/continuous.csv
getNc(code)=>
// set the N.of outstanding contracts per future code
c=16 //default 16
c:=code=="AD"?2:c //Australian Dollar
c:=code=="BB"?5:c //Brent Crude Oil HMUZ
c:=code=="BP"?2:c //British Pound FGHJKMNQUVXZ
c:=code=="C"?11:c //Corn HMUZ
c:=code=="CD"?4:c //Canadian Dollar HKNUZ
c:=code=="CL"?38:c //WTI Crude Oil HMUZ
c:=code=="CNH"?2:c //Standard-Size USD/Offshore RMB (CNH) FGHJKMNQUVXZ
c:=code=="EC"?2:c //Euro FX FGHJKMNQUVXZ
c:=code=="ES"?4:c //E-mini S&P 500 Index HMUZ
c:=code=="FC"?7:c //Feeder Cattle HMUZ
c:=code=="FV"?2:c //5 Year Treasury Note FHJKQUVX
c:=code=="GC"?16:c //Gold HMUZ
c:=code=="HG"?11:c //Copper GHJKMQVZ
c:=code=="HO"?17:c //Heating Oil FGHJKMNQUVXZ
c:=code=="IBV"?2:c //Ibovespa Index FGHJKMNQUVXZ
c:=code=="JY"?2:c //Japanese Yen GJMQVZ
c:=code=="LB"?2:c //Lumber HMUZ
c:=code=="LC"?7:c //Live Cattle FHKNUX
c:=code=="LN"?10:c //Lean Hogs GJMQVZ
c:=code=="ND"?2:c //NASDAQ 100 GJKMNQVZ
c:=code=="NE"?2:c //New Zealand Dollar HMUZ
c:=code=="NF"?4:c //Nonfat Dry Milk HMUZ
// as max securities for pine scripts is 40, NG has too many! lowered to 39
// c:=code=="NG"?43:c //Natural Gas FGHJKMNQUVXZ
c:=code=="NG"?39:c //Natural Gas FGHJKMNQUVXZ
c:=code=="NQ"?2:c //E-mini NASDAQ 100 Index HMUZ
c:=code=="O"?3:c //Oats HMUZ
c:=code=="PA"?2:c //Palladium HKNUZ
c:=code=="PL"?3:c //Platinum HJKMUZ
c:=code=="QL"?2:c //Coal FHJKNV
c:=code=="RB"?10:c //Gasoline FGHJKMNQUVXZ
c:=code=="RBB"?10:c //RBOB Gasoline Brent Crack Spread FGHJKMNQUVXZ
c:=code=="RP"?2:c //Euro/British Pound FGHJKMNQUVXZ
c:=code=="RR"?3:c //Rough Rice HMUZ
c:=code=="RU"?7:c //Russian Ruble FHKNUX
c:=code=="RY"?2:c //Euro/Japanese Yen FGHJKMNQUVXZ
c:=code=="S"?10:c //Soybeans HMUZ
c:=code=="SF"?2:c //Swiss Franc FHKNQUX
c:=code=="SI"?12:c //Silver HMUZ
c:=code=="SM"?11:c //Soybean Meal FHJKNUZ
c:=code=="SP"?3:c //Full-Size S&P 500 Index FHKNQUVZ
c:=code=="TRY"?2:c //Turkish Lira HMUZ
c:=code=="TU"?2:c //2 Year Treasury Note HMUZ
c:=code=="TY"?2:c //10 Year Treasury Note HMUZ
c:=code=="UL"?2:c //Ultra Treasury Bond HMUZ
c:=code=="US"?2:c //30-Year Treasury Bond HMUZ
c:=code=="W"?7:c //Wheat HMUZ
c:=code=="XAF"?2:c //E-mini Financial Sector HKNUZ
c:=code=="XAK"?2:c //E-mini Technology Sector HM
c:=code=="XAP"?2:c //E-mini Consumer Staples Sector HM
c:=code=="XAU"?2:c //E-mini Utilities Sector HM
c:=code=="XAY"?2:c //E-mini Consumer Discretionary Sector HM
// unfortunately, "securuty" can't be called inside a for loop,so:
C1=getCntrct(code,1,getNc(code))
C2=getCntrct(code,2,getNc(code))
C3=getCntrct(code,3,getNc(code))
C4=getCntrct(code,4,getNc(code))
C5=getCntrct(code,5,getNc(code))
C6=getCntrct(code,6,getNc(code))
C7=getCntrct(code,7,getNc(code))
C8=getCntrct(code,8,getNc(code))
C9=getCntrct(code,9,getNc(code))
C10=getCntrct(code,10,getNc(code))
C11=getCntrct(code,11,getNc(code))
C12=getCntrct(code,12,getNc(code))
C13=getCntrct(code,13,getNc(code))
C14=getCntrct(code,14,getNc(code))
C15=getCntrct(code,15,getNc(code))
C16=getCntrct(code,16,getNc(code))
C17=getCntrct(code,17,getNc(code))
C18=getCntrct(code,18,getNc(code))
C19=getCntrct(code,19,getNc(code))
C20=getCntrct(code,20,getNc(code))
C21=getCntrct(code,21,getNc(code))
C22=getCntrct(code,22,getNc(code))
C23=getCntrct(code,23,getNc(code))
C24=getCntrct(code,24,getNc(code))
C25=getCntrct(code,25,getNc(code))
C26=getCntrct(code,26,getNc(code))
C27=getCntrct(code,27,getNc(code))
C28=getCntrct(code,28,getNc(code))
C29=getCntrct(code,29,getNc(code))
C30=getCntrct(code,30,getNc(code))
C31=getCntrct(code,31,getNc(code))
C32=getCntrct(code,32,getNc(code))
C33=getCntrct(code,33,getNc(code))
C34=getCntrct(code,34,getNc(code))
C35=getCntrct(code,35,getNc(code))
C36=getCntrct(code,36,getNc(code))
C37=getCntrct(code,37,getNc(code))
C38=getCntrct(code,38,getNc(code))
C39=getCntrct(code,39,getNc(code))
// max securities for scripts is 40!
OiSum=C1+C2+C3+C4+C5+C6+C7+C8+C9+C10+C11+C12+C13+C14+C15+C16+C17+C18+C19+C20+C21+C22+C23+C24+C25+C26+C27
+C28+C29+C30+C31+C32+C33+C34+C35+C36+C37+C38+C39
///////// CFTC COT Open Interest
CftcOI = security("QUANDL:CFTC/"+code+"_F_ALL|0", "W", close, barmerge.gaps_off, barmerge.lookahead_on)
plot(CftcOI, color=orange, title="CFTC COT OI", linewidth=3)
// lastBar function
lastBar=(barstate.islast and close ? barstate.islast : na)
lB=lastBar
//day of week function
isMon() => dayofweek(time('D')) == monday and close ? 1 : 0
isTue() => dayofweek(time('D')) == tuesday and close ? 1 : 0
isWed() => dayofweek(time('D')) == wednesday and close ? 1 : 0
isThu() => dayofweek(time('D')) == thursday and close ? 1 : 0
isFri() => dayofweek(time('D')) == friday and close ? 1 : 0
NowIsSat() => dayofweek(timenow) == 7 ? 1: 0
NowIsSun() => dayofweek(timenow) == 1 ? 1: 0
//default label params to shorten command lines
s=shape.labeldown
l=location.absolute
tc=black
sz=size.tiny
o=+1
e=true
tr=70
// if lastblock is on Fri but we are on Sat or Sun...
//OffSetPrelim=(Prelim>0?OffSet+1:OffSet)
OffSet=-1
//OffSetPrelim=OffSet
OffSetPrelim=(NowIsSat() or NowIsSun()? 0:OffSet)
// Sum of next 20 contracts OI
plot(OiSum>0?OiSum:na, color=purple, title="CME e-o-d\n 9 cntrcts sum", linewidth=3,offset=OffSet)
// If a Prelim has been entered
plot(lB and Prelim > 0?Prelim:na, offset=OffSetPrelim, style=cross, color=black,title="Preliminary OI", linewidth=4)
// labels
plotshape(lB and Prelim > 0?Prelim:na, show_last=1,color=black,text="Preliminary OI",editable=e,location=l,style=shape.cross,textcolor=black,size=size.small,offset=OffSetPrelim,transp=30)
plotshape(lB and CftcOI?CftcOI:na, color=purple, text ="CME e-o-d OI ",editable=e,style=shape.labelup,location=l,textcolor=tc,size=s,offset=+1,transp=tr)
plotshape(lB and CftcOI?CftcOI:na, color=orange, text="CFTC Weekly OI",editable=true,style=s,location=l,textcolor=tc,size=s,offset=+1,transp=tr)
Discription on Trading View - https://www.tradingview.com/script/7EvGzM0a-Open-Interest-CME-e-o-d-vs-CFTC-e-o-w/
The getCntrct() function is used to construct the ticker/quandl code and retrieve via security call the OI values.
The script expects you to specify the prefix for the contracts manually except for gold and silver. For those if you change the chart ticker to XAUUSD or XAGUSD you'll see the script plot the OI values.
For others, eg for the Australian Dollar OI values, you'd have to change the "override symbol (SI/CL etc)" setting to "AD" (input variable ChkComm)
For the Australian Dollar this will construct the quandl code for the security call :
QUANDL:CHRIS/CME_AD1|7
QUANDL:CHRIS/CME_AD2|7
etc
(you can also view these directly by using it as a ticker id on the chart itself)
The "pipe" symbol | is used to reference which field in the table of values, with 7 being the OI value. You can view the corresponding table for AD1 here :