Total Futures Volume & Open Interest (Aggregated Curve)

Description

Most futures indicators only look at the front contract, but that often tells an incomplete — and sometimes misleading — story.

This indicator solves that problem by aggregating Volume and Open Interest across the entire futures curve, not just the nearest expiry.

Instead of focusing on a single contract, the script automatically scans up to 40 futures contracts ahead (roughly one year forward) for the same underlying root symbol and sums their data into a single, unified series.

🔍 Why this matters

Open Interest is about commitment, not just activity.

A drop in front-month OI can simply mean rolls, not liquidation
Rising total OI confirms new money entering the market, not just contract switching
Divergences between price and aggregated OI often signal positioning stress, exhaustion, or regime shifts

By looking at total participation across all maturities, you get a much cleaner view of:

Real capital inflows vs. mechanical rolls
Structural positioning changes
Whether volatility is driven by speculation or true exposure changes

This is especially useful during high-volatility phases, contract roll periods, and major macro moves, where front-month data alone can be deceptive.

⚙️ How it works

Automatically iterates through the last 40 futures contracts of the same root symbol starting from ~1 year ahead expiry.
Aggregates: Total Open Interest and Total Volume
Lets you choose what to display directly from the indicator settings
Fully dynamic — no manual symbol selection, no roll management

The result is a continuous, roll-agnostic view of futures participation.

🧠 How to use it

Confirm breakouts with rising aggregated OI
Detect false moves when price expands but total OI contracts
Analyze post-spike behavior to see whether moves were driven by forced liquidation or fresh positioning
Compare volatility spikes against true market engagement

Note di rilascio

A new option allows you to switch between the current product root and a custom product root. This means you can analyze a CFD while applying analytics derived from the underlying futures contract.

Note di rilascio

Adding MA for the Total OI/Volume

Note di rilascio

Added a table with basic stats for option positioning

Note di rilascio

A feature was added to receive alerts when OI or Volume deviates from the MA too much. This way you can spot big moves in total volume or OI.

Note di rilascio

Bug fixed with OI alerts

Note di rilascio

Moving to libraries
Updating the style.

Note di rilascio

Updating calculation logic

Script open-source

Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.

QuantNomad

Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience

Indicators, strategies & screeners
Futures & options

💼 Hire/Consulting:
qntly.com/hire

🎓 Pine Code With AI:
qntly.com/pineai

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Script open-source

QuantNomad

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