OpenInterestMomentum

The percentage rate of change of open interest over a lookback — positioning trend rather than the single-tick delta.

Quick reference

Field	Value
Family	Derivatives
Input type	DerivativesTick (open interest)
Output type	f64 (percent)
Output range	signed (percent)
Default parameters	(period = 5) (Python)
Warmup period	period + 1
Interpretation	> 0 OI expanding (new money); < 0 contracting (deleveraging).

Formula

OIM = 100 · (OI_t − OI_{t−period}) / OI_{t−period}

Where OIDelta reports the single-tick change, OI Momentum measures the positioning trend over a window: rising OI = new money building positions (trend fuel); falling OI = positions closing (deleveraging / short-covering). Source: crates/wickra-core/src/indicators/open_interest_momentum.rs.

Parameters

Name	Type	Default	Valid range	Source	Description
period	usize	5 (Python)	>= 1	open_interest_momentum.rs:52	Lookback in ticks for the rate of change. 0 errors with Error::PeriodZero.

The period getter returns the lookback; value returns the current output if ready.

Inputs / Outputs

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

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

A DerivativesTick in, an Option<f64> out. Python/Node take the full tick field order; only open_interest is used.

Warmup

warmup_period() == period + 1. The window needs the current and period-ago OI (first_emission_at_warmup_period pins this).

Edge cases

• Reference value. 1000 → 1200 over the window → +20% (reference_value pins this).
• Expanding → positive. (expanding_oi_is_positive pins this).
• Contracting → negative. (contracting_oi_is_negative pins this).
• Zero base → 0. A zero OI period ago returns 0 (zero_base_is_zero pins this).
• Finiteness. DerivativesTick::new rejects non-finite fields, so no in-method guard is needed.
• Reset. o.reset() clears the OI window and the last value (reset_clears_state).

Examples

Rust

use wickra::{BatchExt, Indicator, OpenInterestMomentum};
use wickra::DerivativesTick;

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut o = OpenInterestMomentum::new(2)?;
    let t = |oi: f64| 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 out = o.batch(&[t(1_000.0), t(1_100.0), t(1_200.0)]);
    println!("{:?}", out.last().unwrap()); // Some(20.0)
    Ok(())
}

Output:

Some(20.0)

Python

import numpy as np
import wickra as ta

o = ta.OpenInterestMomentum(5)
# build ticks via the binding's tick helper / per-field update

Node

const ta = require('wickra');
const o = new ta.OpenInterestMomentum(5);
console.log('warmupPeriod:', o.warmupPeriod()); // 6

Streaming

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

let mut o = OpenInterestMomentum::new(5).unwrap();
let deriv_feed: Vec<DerivativesTick> = Vec::new(); // your live stream
for tick in deriv_feed {
    if let Some(oim) = o.update(tick) {
        // oim > 0 with rising price -> new-long trend
    }
}

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

Interpretation

1. Trend confirmation. Rising OI Momentum with rising price = new longs fuelling the move; with falling price = new shorts.
2. Short-covering tell. Price up while OI Momentum is negative = a covering rally that may stall once shorts are out.
3. Deleveraging. Sharp negative OI Momentum during a selloff marks forced position closing / liquidations.

Common pitfalls

• Not OIDelta. This is a multi-tick percentage trend, not the per-tick change.
• Tick cadence. "period" is in ticks — align the cadence to your bar size.
• OI definition. Use a consistent OI source; venue definitions differ.

References

Open-interest trend analysis is standard futures practice; see Schwager, J. D. (1996), Schwager on Futures.

See also

• Indicator-OpenInterestDelta — per-tick OI change.
• Indicator-OIWeighted — OI-weighted price.
• Indicator-OiToVolumeRatio — OI vs. turnover.
• Indicators-Overview — the full taxonomy.