Bond Market Dashboard

// This source code is subject to the terms of the Mozilla Public License 2.0
// © iyoshikawa
//@version=6

// ============================================================================
// BOND MARKET DASHBOARD  v1.0.0
// ----------------------------------------------------------------------------
// Standalone Pine Script v6 indicator — overlay=true, no chart impact
// Standalone confluence context panel for equity futures trading (YM/ES/NQ)
//
// ROWS (6-row compact table):
//   1. 10Y Yield      — live value + direction (▲/▼/—)
//   2. 10Y ROC        — rate-of-change label: FLAT / MILD / SHARP
//   3. 2Y  Yield      — live value + direction
//   4. Yield Curve    — spread label (NORMAL/FLAT/INVERTED) + slope (STEEPEN/FLATTEN/STABLE)
//   5. ZN Price       — ZN futures direction (BIDDING / SELLING / FLAT)
//   6. Eq Confirm     — bond/equity relationship (CONFIRMED / DIVERGING / NEUTRAL)
//
// All data pulled via request.security() on 5-min bars (configurable).
// Table position: 8 selectable positions.
// Future: alertcondition on DIVERGING, VIX row, library export for VES/Hybrid Router.
// ============================================================================

indicator("Bond Market Dashboard v1.0.0", shorttitle="BMD v1.0", overlay=true, max_lines_count=0, max_labels_count=0)

// ============================================================================
// VERSION
// ============================================================================
VER = "v1.0.0"

// ============================================================================
// INPUTS — DISPLAY
// ============================================================================
var grp_disp = "01. Display"
show_dash = input.bool(true,  "Show Dashboard", group=grp_disp)
dash_pos  = input.string("Top Right", "Position",
     options=["Top Right","Top Left","Bottom Right","Bottom Left",
              "Top Center","Middle Right","Middle Left","Bottom Center"],
     group=grp_disp)

// ============================================================================
// INPUTS — DATA SOURCE
// ============================================================================
var grp_src = "02. Data Source"
data_tf  = input.string("5", "Data Timeframe (minutes)", group=grp_src,
     tooltip="All bond/equity data is fetched on this timeframe. 5 = default.")
sym_10y  = input.string("TVC:US10Y",      "10Y Yield Symbol",    group=grp_src)
sym_2y   = input.string("TVC:US02Y",      "2Y Yield Symbol",     group=grp_src)
sym_zn   = input.string("CBOT:ZN1!",      "ZN Futures Symbol",   group=grp_src)
sym_eq   = input.string("CME_MINI:ES1!",  "Equity Symbol (ES1!)", group=grp_src,
     tooltip="Used for bond/equity relationship confirmation. ES1! default.")

// ============================================================================
// INPUTS — THRESHOLDS
// ============================================================================
var grp_thr = "03. Thresholds"
dir_lb       = input.int  (3,     "Direction Lookback (bars)",     minval=1, maxval=30, group=grp_thr,
     tooltip="N bars back to compare for yield/ZN/equity direction detection.")
roc_lb       = input.int  (5,     "ROC Lookback (bars)",           minval=1, maxval=50, group=grp_thr,
     tooltip="N bars back for 10Y Rate-of-Change calculation.")
curve_lb     = input.int  (10,    "Curve Slope Lookback (bars)",   minval=2, maxval=100, group=grp_thr,
     tooltip="N bars back to compare spread for steepening/flattening detection.")
roc_flat_bps = input.float(2.0,   "ROC — FLAT  Threshold (bps)",  minval=0.1, step=0.5, group=grp_thr,
     tooltip="Absolute 10Y yield change below this = FLAT. Unit: basis points (0.01% = 1 bps).")
roc_mild_bps = input.float(5.0,   "ROC — MILD  Threshold (bps)",  minval=0.5, step=0.5, group=grp_thr,
     tooltip="Absolute 10Y yield change below this = MILD, above = SHARP.")
curve_norm   = input.float(0.25,  "Curve — NORMAL  (spread > X%)",   step=0.05, group=grp_thr,
     tooltip="10Y-2Y spread above this threshold = NORMAL (upward-sloping curve).")
curve_inv    = input.float(-0.10, "Curve — INVERTED (spread < X%)",   step=0.05, group=grp_thr,
     tooltip="10Y-2Y spread below this threshold = INVERTED (recession signal).")
curve_slope_bps = input.float(1.0, "Curve Slope Min Change (bps)",   minval=0.1, step=0.5, group=grp_thr,
     tooltip="Minimum spread move to classify as STEEPEN or FLATTEN vs STABLE.")
yield_dir_bps = input.float(0.5,  "Yield Direction Min (bps)",     minval=0.1, step=0.1, group=grp_thr,
     tooltip="Minimum yield move over direction lookback to register as directional.")
zn_dir_ticks  = input.float(0.03125, "ZN Direction Min (ticks)",   minval=0.01, step=0.03125, group=grp_thr,
     tooltip="Minimum ZN price move over lookback to register as directional. 1 tick = 0.015625.")
eq_dir_pts    = input.float(1.0,  "Equity Direction Min (pts)",    minval=0.1, step=0.5, group=grp_thr,
     tooltip="Minimum equity move over lookback to register as directional.")

// ============================================================================
// DATA — 5-MIN REQUEST.SECURITY PULLS
// ============================================================================
// Yield data — in % (e.g. 4.25 = 4.25%)
// Spread and ROC logic operates in percentage-point terms (1% = 100 bps)

[y10_now, y10_dir_ago, y10_roc_ago, y10_curve_ago] =
     request.security(sym_10y, data_tf,
     [close, close[dir_lb], close[roc_lb], close[curve_lb]],
     lookahead=barmerge.lookahead_off)

[y2_now, y2_dir_ago, y2_curve_ago] =
     request.security(sym_2y, data_tf,
     [close, close[dir_lb], close[curve_lb]],
     lookahead=barmerge.lookahead_off)

[zn_now, zn_dir_ago] =
     request.security(sym_zn, data_tf,
     [close, close[dir_lb]],
     lookahead=barmerge.lookahead_off)

[eq_now, eq_dir_ago] =
     request.security(sym_eq, data_tf,
     [close, close[dir_lb]],
     lookahead=barmerge.lookahead_off)

// ============================================================================
// CALCULATIONS
// ============================================================================

// bps conversion helper — yields are in %, so 0.01 = 1 bps
pct_to_bps(pct_delta) =>
    pct_delta * 100.0

// --- 10Y Yield Direction ---
y10_delta_bps = pct_to_bps(y10_now - y10_dir_ago)
y10_dir_int   = y10_delta_bps >  yield_dir_bps ? 1 :
                y10_delta_bps < -yield_dir_bps ? -1 : 0

// --- 10Y ROC (basis points over N bars) ---
y10_roc_bps  = math.abs(pct_to_bps(y10_now - y10_roc_ago))
y10_roc_lbl  = y10_roc_bps >= roc_mild_bps ? "SHARP" :
               y10_roc_bps >= roc_flat_bps  ? "MILD"  : "FLAT"
y10_roc_sign = pct_to_bps(y10_now - y10_roc_ago)  // signed version for display

// --- 2Y Yield Direction ---
y2_delta_bps  = pct_to_bps(y2_now - y2_dir_ago)
y2_dir_int    = y2_delta_bps >  yield_dir_bps ? 1 :
                y2_delta_bps < -yield_dir_bps ? -1 : 0

// --- Yield Curve (10Y - 2Y) ---
spread_now    = y10_now      - y2_now
spread_ago    = y10_curve_ago - y2_curve_ago
spread_chg_bps = pct_to_bps(spread_now - spread_ago)

curve_shape_lbl = spread_now >= curve_norm ? "NORMAL"   :
                  spread_now <= curve_inv  ? "INVERTED" : "FLAT"

curve_slope_lbl = spread_chg_bps >=  curve_slope_bps ? "▲ STEEPEN" :
                  spread_chg_bps <= -curve_slope_bps  ? "▼ FLATTEN" : "→ STABLE"

// --- ZN Futures Direction ---
zn_delta    = zn_now - zn_dir_ago
zn_dir_int  = zn_delta >  zn_dir_ticks ? 1 :
              zn_delta < -zn_dir_ticks  ? -1 : 0

// --- Equity Direction ---
eq_delta    = eq_now - eq_dir_ago
eq_dir_int  = eq_delta >  eq_dir_pts ? 1 :
              eq_delta < -eq_dir_pts  ? -1 : 0

// --- Equity Confirmation ---
// Normal macro relationship: bonds BID (ZN ▲) ↔ equities SELL (ES ▼) = risk-off coherent
//                            bonds SELL (ZN ▼) ↔ equities BID (ES ▲) = risk-on coherent
// Inverse ZN/EQ direction = CONFIRMED (normal relationship holding)
// Same direction = DIVERGING (correlation breakdown — macro stress or dislocation)
// Either flat = NEUTRAL
eq_conf_lbl = zn_dir_int == 0 or eq_dir_int == 0 ? "NEUTRAL"   :
              zn_dir_int != eq_dir_int              ? "CONFIRMED" : "DIVERGING"

// ============================================================================
// HELPERS — pure functions (top scope, usable in table block)
// ============================================================================
dir_arrow(d) =>
    d > 0 ? " ▲" : d < 0 ? " ▼" : " —"

// ============================================================================
// DASHBOARD TABLE (3 cols × 8 rows)
// Row 0 : Header
// Row 1 : 10Y Yield
// Row 2 : 10Y ROC
// Row 3 : 2Y Yield
// Row 4 : Yield Curve
// Row 5 : ZN Futures
// Row 6 : Eq Confirm
// Row 7 : Footer
// ============================================================================
dash_position = switch dash_pos
    "Top Right"     => position.top_right
    "Top Left"      => position.top_left
    "Bottom Right"  => position.bottom_right
    "Bottom Left"   => position.bottom_left
    "Top Center"    => position.top_center
    "Middle Right"  => position.middle_right
    "Middle Left"   => position.middle_left
    "Bottom Center" => position.bottom_center
    => position.top_right

var table dash = table.new(dash_position, 3, 8,
     border_width=1,
     frame_color=color.new(color.white, 75),
     border_color=color.new(color.gray, 82))

if show_dash and barstate.islast

    // ---------- theme ----------
    bg_hdr = color.new(#0a0a1a, 0)
    bg_row = color.new(#111122, 0)
    c_txt  = color.new(color.white, 5)
    c_dim  = color.new(color.gray,  25)

    // ---------- reusable color palettes ----------
    c_bull   = color.new(#00C853, 35)   // green — bullish / risk-on
    c_bear   = color.new(#FF1744, 30)   // red   — bearish / risk-off
    c_warn   = color.new(#FF6D00, 25)   // orange — sharp / alert
    c_mild   = color.new(#FFD600, 35)   // yellow — mild / caution
    c_flat   = color.new(#455A64, 55)   // slate — flat / neutral
    c_conf   = color.new(#00BCD4, 35)   // cyan  — confirmed / normal curve
    c_div    = color.new(#FF1744, 25)   // red   — diverging
    c_neut   = color.new(#546E7A, 55)   // grey  — neutral

    // ---------- ROW 0: HEADER ----------
    table.cell(dash, 0, 0, "BOND MKT",   bgcolor=bg_hdr, text_color=color.new(#00BFFF, 0),
         text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 0, "VALUE",      bgcolor=bg_hdr, text_color=c_dim, text_size=size.small)
    table.cell(dash, 2, 0, "STATUS",     bgcolor=bg_hdr, text_color=c_dim, text_size=size.small)

    // ---------- ROW 1: 10Y YIELD ----------
    // Yield UP = red (higher rates = tighter conditions = bearish equities)
    // Yield DN = green (lower rates = easier conditions = bullish equities)
    y10_val_str  = str.tostring(y10_now, "#.000") + "%" + dir_arrow(y10_dir_int)
    y10_stat_str = y10_dir_int > 0 ? "RISING" : y10_dir_int < 0 ? "FALLING" : "FLAT"
    y10_dir_col  = y10_dir_int > 0 ? c_bear   : y10_dir_int < 0 ? c_bull    : c_flat

    table.cell(dash, 0, 1, "10Y Yield",  bgcolor=bg_row, text_color=c_dim, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 1, y10_val_str,  bgcolor=bg_row, text_color=y10_dir_col, text_size=size.small)
    table.cell(dash, 2, 1, y10_stat_str, bgcolor=y10_dir_col, text_color=c_txt, text_size=size.small)

    // ---------- ROW 2: 10Y ROC ----------
    roc_sign_str = y10_roc_sign >= 0 ? "+" : ""
    roc_val_str  = roc_sign_str + str.tostring(y10_roc_sign, "#.0") + " bps"
    roc_bg       = y10_roc_lbl == "SHARP" ? c_warn  :
                   y10_roc_lbl == "MILD"  ? c_mild  : c_flat
    roc_val_col  = y10_roc_lbl == "SHARP" ? c_warn  :
                   y10_roc_lbl == "MILD"  ? c_mild  : c_dim

    table.cell(dash, 0, 2, "10Y ROC",    bgcolor=bg_row, text_color=c_dim, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 2, roc_val_str,  bgcolor=bg_row, text_color=roc_val_col, text_size=size.small)
    table.cell(dash, 2, 2, y10_roc_lbl,  bgcolor=roc_bg, text_color=c_txt, text_size=size.small)

    // ---------- ROW 3: 2Y YIELD ----------
    y2_val_str   = str.tostring(y2_now, "#.000") + "%" + dir_arrow(y2_dir_int)
    y2_stat_str  = y2_dir_int > 0 ? "RISING" : y2_dir_int < 0 ? "FALLING" : "FLAT"
    y2_dir_col   = y2_dir_int > 0 ? c_bear   : y2_dir_int < 0 ? c_bull    : c_flat

    table.cell(dash, 0, 3, "2Y Yield",   bgcolor=bg_row, text_color=c_dim, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 3, y2_val_str,   bgcolor=bg_row, text_color=y2_dir_col, text_size=size.small)
    table.cell(dash, 2, 3, y2_stat_str,  bgcolor=y2_dir_col, text_color=c_txt, text_size=size.small)

    // ---------- ROW 4: YIELD CURVE ----------
    spread_str     = (spread_now >= 0 ? "+" : "") + str.tostring(spread_now, "#.000") + "%"
    curve_shape_bg = curve_shape_lbl == "NORMAL"   ? c_conf :
                     curve_shape_lbl == "INVERTED" ? c_bear : c_mild
    curve_slope_bg = str.contains(curve_slope_lbl, "STEEP") ? color.new(#00C853, 45) :
                     str.contains(curve_slope_lbl, "FLAT")  ? color.new(#FF1744, 40) :
                     c_flat
    // Cell 1 shows spread + shape label together
    curve_shape_full = spread_str + "  " + curve_shape_lbl

    table.cell(dash, 0, 4, "Yld Curve",      bgcolor=bg_row, text_color=c_dim, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 4, curve_shape_full, bgcolor=curve_shape_bg, text_color=c_txt, text_size=size.small)
    table.cell(dash, 2, 4, curve_slope_lbl,  bgcolor=curve_slope_bg, text_color=c_txt, text_size=size.small)

    // ---------- ROW 5: ZN FUTURES ----------
    // ZN UP = bonds bid = risk-off pressure on equities (show cyan — informational)
    // ZN DN = bonds sold = risk-on (show neutral)
    zn_val_str  = str.tostring(zn_now, "#.000") + dir_arrow(zn_dir_int)
    zn_stat_str = zn_dir_int > 0 ? "BIDDING" : zn_dir_int < 0 ? "SELLING" : "FLAT"
    zn_dir_col  = zn_dir_int > 0 ? c_conf    : zn_dir_int < 0 ? c_warn    : c_flat

    table.cell(dash, 0, 5, "ZN Futures", bgcolor=bg_row, text_color=c_dim, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 5, zn_val_str,   bgcolor=bg_row, text_color=zn_dir_col, text_size=size.small)
    table.cell(dash, 2, 5, zn_stat_str,  bgcolor=zn_dir_col, text_color=c_txt, text_size=size.small)

    // ---------- ROW 6: EQUITY CONFIRMATION ----------
    eq_conf_bg  = eq_conf_lbl == "CONFIRMED" ? c_conf :
                  eq_conf_lbl == "DIVERGING" ? c_div  : c_neut
    eq_icon_str = eq_conf_lbl == "CONFIRMED" ? "✓ CONFIRMED" :
                  eq_conf_lbl == "DIVERGING" ? "⚠ DIVERGING" : "— NEUTRAL"
    // Sub-label shows actual directions for quick verification
    zn_eq_dirs  = "ZN" + dir_arrow(zn_dir_int) + "  ES" + dir_arrow(eq_dir_int)

    table.cell(dash, 0, 6, "Eq Confirm", bgcolor=bg_row, text_color=c_dim, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 6, zn_eq_dirs,   bgcolor=bg_row, text_color=c_dim, text_size=size.small)
    table.cell(dash, 2, 6, eq_icon_str,  bgcolor=eq_conf_bg, text_color=c_txt, text_size=size.small)

    // ---------- ROW 7: FOOTER ----------
    table.cell(dash, 0, 7, "TF: " + data_tf + "m", bgcolor=bg_hdr, text_color=c_dim, text_size=size.tiny, text_halign=text.align_left)
    table.cell(dash, 1, 7, "BMD " + VER,            bgcolor=bg_hdr, text_color=c_dim, text_size=size.tiny)
    table.cell(dash, 2, 7, "iyoshikawa",             bgcolor=bg_hdr, text_color=c_dim, text_size=size.tiny)

// ============================================================================
// ALERTS
// ============================================================================
alertcondition(eq_conf_lbl == "DIVERGING",
     "⚠ Bond/Equity DIVERGING",
     "Bond-Equity relationship is DIVERGING — macro dislocation or stress event. ZN and ES moving in same direction.")

alertcondition(y10_roc_lbl == "SHARP",
     "⚠ 10Y Yield ROC SHARP",
     "10Y Yield Rate-of-Change is SHARP — potential macro catalyst in play. Check news calendar.")

alertcondition(curve_shape_lbl == "INVERTED",
     "⚠ Yield Curve INVERTED",
     "Yield Curve is INVERTED (10Y < 2Y) — recession signal active. Reduce risk-on conviction.")

alertcondition(curve_shape_lbl == "INVERTED" and eq_conf_lbl == "DIVERGING",
     "🚨 Curve INVERTED + Bond/Equity DIVERGING",
     "CRITICAL: Yield curve inverted AND bond/equity relationship breaking down. High macro risk.")

alertcondition(y10_dir_int > 0 and y10_roc_lbl == "SHARP" and eq_conf_lbl == "DIVERGING",
     "🚨 Yield SURGING + Equity DIVERGING",
     "10Y yield spiking SHARP while bond/equity relationship is diverging. Potential disorderly move.")