calebsandfort

8 nov 2022 22:08

NetLiquidityLibrary

S&P 500SP

Descrizione

⋅ 8 nov 2022 22:08

Library "NetLiquidityLibrary"
The Net Liquidity Library provides daily values for net liquidity. Net liquidity is measured as Fed Balance Sheet - Treasury General Account - Reverse Repo. Time series for each individual component included too.

get_net_liquidity_for_date(t)
Function takes date in timestamp form and returns the Net Liquidity value for that date. If date is not present, 0 is returned.
Parameters:
t: The timestamp of the date you are requesting the Net Liquidity value for.
Returns: The Net Liquidity value for the specified date.

get_net_liquidity()
Gets the Net Liquidity time series from Dec. 2021 to current. Dates that are not present are represented as 0.
Returns: The Net Liquidity time series.

Note di rilascio

⋅ 8 nov 2022 22:40

v2 - Return na for dates that don't have a value

Note di rilascio

⋅ 8 nov 2022 22:43

v3

Update documentation

Note di rilascio

⋅ 9 nov 2022 01:02

v4
Experimenting with switch statement

Note di rilascio

⋅ 9 nov 2022 01:17

v5

Update to switch statement

Removed:
get_net_liquidity_for_date(t)
Function takes date in timestamp form and returns the Net Liquidity value for that date. If date is not present, na is returned.

Note di rilascio

⋅ 9 nov 2022 01:19

v6

Add TGA time series

Added:
get_tga()
Gets the Treasury General Account time series from Dec. 2021 to current. Dates that are not present are represented as 0.
Returns: The Treasury General Account time series.

Note di rilascio

⋅ 9 nov 2022 23:53

v7

Updated:
get_net_liquidity(component)
Gets the Net Liquidity time series from Dec. 2021 to current. Dates that are not present are represented as na.
Parameters:
component: The component of the Net Liquidity function to return. Possible values: 'fed', 'tga', and 'rrp'. (`Net Liquidity` is returned if no argument is supplied).
Returns: The Net Liquidity time series or a component of the Net Liquidity function.

Removed:
get_tga()
Gets the Treasury General Account time series from Dec. 2021 to current. Dates that are not present are represented as 0.

Note di rilascio

⋅ 10 nov 2022 23:42

v8

Update to retrieve values for trailing 250 trading days

Note di rilascio

⋅ 12 nov 2022 01:23

v9

Update for 11/11/2022

Note di rilascio

⋅ 15 nov 2022 00:49

v10

11/14/2022 Update

Added:
get_sm_metric(The)
Gets either the DIX or GEX time series for the last 250 trading days. Dates that are not present are represented as na.
Parameters:
The: metric to return. Possible values: 'dix' and 'gex'. (`DIX` is returned if no argument is supplied).
Returns: The specified SqueezeMetrics time series.

Note di rilascio

⋅ 15 nov 2022 23:30

v11

11/15/2022 Update

Note di rilascio

⋅ 16 nov 2022 22:45

v12

11/16/2022 update

Note di rilascio

⋅ 16 nov 2022 22:52

v13

11/16/2022 Update #2

Note di rilascio

⋅ 17 nov 2022 22:52

v14

11/17/2022 Update

Note di rilascio

⋅ 18 nov 2022 22:57

v15

11/18/2022 Update

Note di rilascio

⋅ 21 nov 2022 21:06

v16

11/21/2022 update

Note di rilascio

⋅ 23 nov 2022 00:22

v17

11/22/2022 update

Note di rilascio

⋅ 23 nov 2022 21:10

v18

11/23/2022 update

Note di rilascio

⋅ 26 nov 2022 01:28

v19

11/25/2022 update

Note di rilascio

⋅ 28 nov 2022 23:07

v20

11/28/2022 update

Note di rilascio

⋅ 29 nov 2022 22:00

v21

11/29/2022 update

Note di rilascio

⋅ 30 nov 2022 22:04

v22

11/30/2022 update

Note di rilascio

⋅ 1 dic 2022 22:19

v23

12/1/2022 update

Note di rilascio

⋅ 2 dic 2022 21:24

v26

12/2/2022 update

Note di rilascio

⋅ 5 dic 2022 21:28

v27

12/5/2022 update

Note di rilascio

⋅ 6 dic 2022 21:55

v28

12/6/2022

Note di rilascio

⋅ 7 dic 2022 21:04

v29

12/7/2022 update

Note di rilascio

⋅ 8 dic 2022 22:23

v30

12/8/2022 update

Note di rilascio

⋅ 9 dic 2022 21:04

v31

12/9/2022 update

Note di rilascio

⋅ 12 dic 2022 21:06

v32

12/12/2022 update

Note di rilascio

⋅ 13 dic 2022 21:46

v33

12/13/2022 update

Note di rilascio

⋅ 14 dic 2022 21:16

v34

12/14/2022 update

Note di rilascio

⋅ 16 dic 2022 22:19

v35

12/16/2022 update

Note di rilascio

⋅ 20 dic 2022 23:09

v36

12/20/2022 update

Note di rilascio

⋅ 28 dic 2022 21:25

v37

12/28/2022 update

Note di rilascio

⋅ 30 dic 2022 21:55

v38

12/30/2022 update

Note di rilascio

⋅ 18 gen 2023 23:58

v39

Updated to provide the trailing 400 trading days

Removed:
get_sm_metric(component)
Gets either the DIX or GEX time series for the last 250 trading days. Dates that are not present are represented as na.

Note di rilascio

⋅ 19 gen 2023 00:39

v40

Testing

Note di rilascio

⋅ 19 gen 2023 00:51

v41

Testing 2

Note di rilascio

⋅ 19 gen 2023 19:32

v42

1/18/2018 update

Now includes trailing 400 trading days

Note di rilascio

⋅ 19 gen 2023 22:11

v43

1/19/2023 update

Note di rilascio

⋅ 20 gen 2023 22:14

v44

1/20/2023 update

Note di rilascio

⋅ 23 gen 2023 21:09

v45

1/23/2023 update

statistics liquidity

Commenti

GrizzlyBearBee

⋅ 30 nov 2022 06:16

Hi, great script. It's nice there's a library for Net Liquidity to overlay as an indicator rather than using calculations in the Compare function in TV.
This is how I've used the Net Liquidity in my work
Add to compare the calculation below
FRED:WALCL-(FRED:RRPONTSYD+FRED:WDTGAL)

Few thoughts, the "float val" array is long, I bet there's a way to reduce the array size from 250 lines of code to less than 5. Maybe using the max_bars_back as in

library("NetLiquidityLibrary", overlay = true, max_bars_back = 250)

Again, great script

the_crypto_king

⋅ 29 dic 2023 12:47

Great script.

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