EstimatedLeverageRatio

A derivatives exchange's open interest divided by its coin reserve — CryptoQuant's measure of how much leverage traders use on average.

Quick reference

Field	Value
Family	Derivatives
Input type	(f64, f64) — (open_interest, exchange_reserve) pair
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 / exchange_reserve      (0 when exchange_reserve <= 0)

The estimated leverage ratio compares the open interest of an exchange's derivatives to the amount of the coin the exchange holds in reserve, both in the same unit. A rising ELR means a given reserve backs more outstanding contracts — traders are taking on more leverage and the market is more fragile to liquidation cascades; a falling ELR marks deleveraging. 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};
// EstimatedLeverageRatio: Input = (f64, f64), Output = f64
const _: fn(&mut EstimatedLeverageRatio, (f64, f64)) -> Option<f64> =
    <EstimatedLeverageRatio as Indicator>::update;

An (open_interest, exchange_reserve) pair in, an Option<f64> out. ELR is a two-series indicator (it stays in the Derivatives family but no longer consumes a DerivativesTick).

• Python. update(open_interest, exchange_reserve) → float | None; batch(open_interest, exchange_reserve) → array.array('d') (NaN where an input is non-finite; the two series must have equal length).
• Node / WASM. update(openInterest, exchangeReserve) → number | null; batch(openInterest, exchangeReserve) → number[] (WASM: Float64Array).
• C ABI. wickra_estimated_leverage_ratio_update(handle, x, y) with x = open_interest, y = exchange_reserve; returns NaN for no value.

Breaking change: earlier releases took a DerivativesTick and divided open interest by long_size + short_size; that input shape is gone.

Warmup

warmup_period() == 1. The indicator is stateless — each finite pair yields one value (ready_after_first_update pins this).

Edge cases

• Reference value. 1000 / 4000 = 0.25 (ratio_reference_value pins this).
• OI raises it. Higher open interest on the same reserve raises the ratio (higher_oi_raises_ratio pins this).
• Zero reserve → 0. A non-positive reserve returns 0 rather than dividing by zero (zero_reserve_is_zero pins this).
• Non-finite input → None. A NaN or infinite open interest or reserve returns None and does not mark the indicator ready (non_finite_input_returns_none).
• Reset. e.reset() clears readiness (reset_clears_state).

Examples

Rust

use wickra::{Indicator, EstimatedLeverageRatio};

fn main() {
    let mut e = EstimatedLeverageRatio::new();
    // Open interest 25,000 coins against a 100,000-coin reserve.
    println!("{:?}", e.update((25_000.0, 100_000.0))); // Some(0.25)
    println!("{:?}", e.update((1_000.0, 0.0)));        // Some(0.0) — zero reserve
}

Output:

Some(0.25)
Some(0.0)

Python

import wickra as ta

e = ta.EstimatedLeverageRatio()
print(e.update(25000, 100000))  # open_interest, exchange_reserve -> 0.25
print(list(e.batch([1000, 2000, 3000], [4000, 4000, 0])))  # [0.25, 0.5, 0.0]

Node

const ta = require('wickra');
const e = new ta.EstimatedLeverageRatio();
console.log(e.update(25000, 100000)); // 0.25 (openInterest, exchangeReserve)

Streaming

use wickra::{Indicator, EstimatedLeverageRatio};

let mut e = EstimatedLeverageRatio::new();
let feed: Vec<(f64, f64)> = Vec::new(); // your live (open_interest, exchange_reserve) stream
for pair in feed {
    if let Some(elr) = e.update(pair) {
        // elr spiking -> crowded leverage, cascade risk
    }
}

Streaming update and batch are equivalent pair-for-pair (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

• Unit mismatch. Open interest and reserve must be in the same unit (e.g. both in coins); dividing USD open interest by a coin reserve gives a meaningless scale.
• Old tick input. Code written for the earlier DerivativesTick / (oi, long_size, short_size) signature must be migrated to the (open_interest, exchange_reserve) pair.
• Cross-venue. OI definitions differ across exchanges; do not compare raw ELR across venues.

References

• CryptoQuant, Estimated Leverage Ratio — defined as an exchange's open interest divided by its coin reserve.

See also

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