Demand Index

James Sibbet's Demand Index — the ratio of smoothed buying pressure to smoothed selling pressure, bounded in [-100, +100]. Each bar's relative volume goes in full to the side the weighted close moved towards, while the other side receives that volume damped exponentially by the size of the move against the typical two-bar range. Sibbet's hypothesis is that volume confirms or denies price moves; the Demand Index quantifies the confirmation.

Quick reference

Item	Value
Family	Volume
Input type	Candle (uses high, low, close, volume)
Output type	f64
Output range	[-100, +100] (bounded)
Default parameters	period required (common choice 20)
Warmup period	period + 1
Interpretation	> 0 buying pressure dominates, < 0 selling; divergences flag exhaustion

Formula

WC     = (high + low + 2·close) / 4
ratio  = (WC_t − WC_{t−1}) / min(WC_t, WC_{t−1})
vol    = volume_t / SMA(volume, period)
K      = 3·WC_t / SMA(max(high_t, high_{t−1}) − min(low_t, low_{t−1}), period)
damped = vol / exp(min(K · |ratio|, 88))

ratio > 0:  BP = vol,     SP = damped
otherwise:  BP = damped,  SP = vol

B, S = EMA(BP, period), EMA(SP, period)     (α = 2/(period+1), seeded with the first value)

DI_t = +100 · (1 − S / B)   if B > S
       −100 · (1 − B / S)   if B < S
       0                    if B = S

This is Sibbet's construction as published in the TradeStation DemandIndex function. The side the weighted close moved towards receives the bar's full relative volume; the opposite side receives it damped by exp(K·|ratio|), so a large move relative to the market's typical two-bar range leaves almost nothing on the losing side. The exponent is capped at 88 to keep exp finite on a violent bar. Because B and S are both non-negative, the ratio form keeps DI within [-100, +100]. See crates/wickra-core/src/indicators/demand_index.rs.

Parameters

Name	Type	Default	Constraint	Description
period	usize	none	> 0	Length of the volume and two-bar-range SMAs and of the two pressure EMAs.

Inputs / Outputs

Indicator<Input = Candle, Output = f64>. Python: DemandIndex(period).batch(high, low, close, volume) returns a array.array('d') with NaN warmup. Node: same shape.

Warmup

warmup_period() == period + 1. Needs one bar to establish the prior candle, then period two-bar ranges to fill the range average; the first value lands on bar period + 1. The pressure EMAs are seeded with their first value, so there is no extra EMA warmup.

Edge cases

• Flat bars. Zero two-bar range means no measurable pressure; DI stays at 0 (constant_series_yields_zero).
• Zero weighted close / zero averages. A bar whose weighted close (current or prior), average range or average volume is zero carries no measurable pressure and repeats the previous reading — no division by zero (zero_weighted_close_contributes_no_signal).
• Direction. Steadily rising closes end strictly positive, steadily falling closes strictly negative (rising_series_yields_positive_signal, falling_series_yields_negative_signal).
• Reset. Clears both EMAs, the SMA windows and the prior-candle cache (reset_clears_state).

Examples

Rust

use wickra::{BatchExt, Candle, DemandIndex, Indicator};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let candles: Vec<Candle> = (0..40).map(|i| {
        let b = 100.0 + (f64::from(i) * 0.3).sin() * 5.0;
        Candle::new(b, b + 1.0, b - 1.0, b + 0.2, 1000.0, i as i64).unwrap()
    }).collect();
    let mut di = DemandIndex::new(20)?;
    println!("row 30 = {:?}", di.batch(&candles)[30]); // row 30 = Some(35.02925671228102)
    Ok(())
}

Python

import numpy as np
import wickra as ta

n = 40
base = 100 + np.sin(np.linspace(0, 12, n)) * 5
di = ta.DemandIndex(20)
print(di.batch(base + 1, base - 1, base + 0.2, np.full(n, 1000.0))[30])  # ≈ 29.2266

Node

const wickra = require('wickra');
const di = new wickra.DemandIndex(20);
// feed h, l, c, v arrays

Streaming

use wickra::{Candle, DemandIndex, Indicator};

let mut di = DemandIndex::new(20).unwrap();
let candle_stream: Vec<wickra::Candle> = Vec::new(); // your live OHLCV candle feed
for bar in candle_stream {
    if let Some(v) = di.update(bar) {
        // Compare DI direction vs price direction for divergence
    }
}

Interpretation

• Sign of DI. Positive = buying pressure dominates, negative = selling pressure dominates; the magnitude (up to ±100) says by how much. Smoothed by the EMAs, so swings are slower than raw bar-direction.
• Zero crossings. A move through zero marks the balance of pressure changing sides.
• Divergences. The flagship use — price makes a new high while DI flatlines or falls = bearish divergence (exhaustion).
• Vs ChaikinMoneyFlow. Similar concept; CMF uses close-position-within-range, DI uses the change in weighted close scaled by the typical range.

Common pitfalls

• Treating extreme values as signals. DI is bounded at ±100, and readings near the bounds are normal in strongly trending markets — they are not overbought/oversold levels.
• Period too short. period = 5 makes DI as noisy as raw pressure. Stick to 20+ for Sibbet's intended smoothing.

References

• James Sibbet, Demand Index (1970s) — original.
• TradeStation DemandIndex function — the published reference implementation this follows.
• Steven B. Achelis, Technical Analysis from A to Z (2000) — modern reference.

See also

• ChaikinMoneyFlow — alternative buy/sell-pressure measure.
• Mfi — Money Flow Index sibling.
• Obv — cumulative-flow alternative.
• Indicators-Overview — full taxonomy.