EstimatedLeverageRatio

Open interest relative to aggregate position size — a proxy for how leveraged the outstanding positions are.

Quick reference

Field	Value
Family	Derivatives
Input type	DerivativesTick (open interest / long & short size)
Output type	f64
Output range	[0, ∞)
Default parameters	None (parameter-free)
Warmup period	1
Interpretation	High/rising = crowded leverage; falling = deleveraging.

Formula

ELR = open_interest / (long_size + short_size)

The estimated leverage ratio compares open interest (notional of outstanding contracts) to the position base backing it. A rising ELR means a given pool of positions controls more open interest — hotter leverage and a more fragile market prone to liquidation cascades. Source: crates/wickra-core/src/indicators/estimated_leverage_ratio.rs.

Parameters

Name	Type	Default	Valid range	Source	Description
—	—	—	—	None.	ELR is parameter-free; EstimatedLeverageRatio::new() is infallible.

Inputs / Outputs

From crates/wickra-core/src/indicators/estimated_leverage_ratio.rs:

use wickra::{Indicator, EstimatedLeverageRatio};
use wickra::DerivativesTick;
// EstimatedLeverageRatio: Input = DerivativesTick, Output = f64
const _: fn(&mut EstimatedLeverageRatio, DerivativesTick) -> Option<f64> =
    <EstimatedLeverageRatio as Indicator>::update;

A DerivativesTick in, an Option<f64> out. The Python binding takes a tick via update(funding, mark, index, futures, oi, long_size, short_size, taker_buy, taker_sell, long_liq, short_liq) and a build_tick helper for batch; Node mirrors the field order. Only open_interest, long_size, short_size are used.

Warmup

warmup_period() == 1. Each tick yields one value (ready_after_first_update pins this).

Edge cases

• Reference value. 1000 / (400 + 600) = 1.0 (ratio_reference_value pins this).
• OI raises it. Higher open interest on the same base raises the ratio (higher_oi_raises_ratio pins this).
• Zero base → 0. A tick with zero aggregate size returns 0 (zero_base_is_zero pins this).
• Finiteness. DerivativesTick::new rejects non-finite fields, so no in-method guard is needed.
• Reset. e.reset() clears readiness (reset_clears_state).

Examples

Rust

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

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut e = EstimatedLeverageRatio::new();
    let tick = DerivativesTick::new(0.0001, 100.0, 100.0, 100.0, 1_000.0, 400.0, 600.0, 0.0, 0.0, 0.0, 0.0, 0)?;
    println!("{:?}", e.update(tick)); // Some(1.0)
    Ok(())
}

Output:

Some(1.0)

Python

import wickra as ta

e = ta.EstimatedLeverageRatio()
print(e.update(0.0001, 100, 100, 100, 1000, 400, 600, 0, 0, 0, 0))  # 1.0

Node

const ta = require('wickra');
const e = new ta.EstimatedLeverageRatio();
console.log(e.update(0.0001, 100, 100, 100, 1000, 400, 600, 0, 0, 0, 0)); // 1

Streaming

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

let mut e = EstimatedLeverageRatio::new();
let deriv_feed: Vec<DerivativesTick> = Vec::new(); // your live stream
for tick in deriv_feed {
    if let Some(elr) = e.update(tick) {
        // elr spiking -> crowded leverage, cascade risk
    }
}

Streaming update and batch are equivalent tick-for-tick (batch_equals_streaming pins this).

Interpretation

1. Liquidation risk. ELR peaks often precede deleveraging events; pair with funding and liquidations for a squeeze map.
2. Trend conviction. A grinding ELR rise alongside price can mark a leveraged, reflexive advance prone to violent unwinds.
3. Regime. Sustained low ELR is a calmer, less reflexive market.

Common pitfalls

• Proxy base. This uses the tick's size fields as the position base; if your feed reports account counts rather than notional, interpret ELR accordingly.
• Not OI/MarketCap. The canonical ELR divides OI by exchange reserves or market cap; substitute that base if you have it.
• Cross-venue. OI definitions differ across exchanges; do not compare raw ELR across venues.

References

The estimated leverage ratio is popularised by on-chain analytics (e.g. CryptoQuant) as open interest / reserves.

See also

• Indicator-OiToVolumeRatio — OI vs. turnover.
• Indicator-OpenInterestMomentum — OI rate of change.
• Indicator-LiquidationFeatures — liquidation flow.
• Indicators-Overview — the full taxonomy.