Open interest for futures contracts. I have Zenfire and IB. I asked Zenfire and they said they supply it in there feed and to use the Ninja open interest indicator, but I couldn't find it, and I ask NT support and they said they don't support it ... so I thought maybe there is some addon.
This is my knowledge, if you know better, please comment:
(1) Open Interest for futures is only available after the close and is published via a daily report.
(2) I am not aware of any source of intraday real-time open interest for futures.
(3) Some exchanges have an offer for their clearing members to download options open interest every ten or twenty minutes. Consider open interest as a sort of balance sheet at a given moment.
(4) Zenfire data is mainly intraday data, NT cannot display daily data of Zenfire. So if Zenfire cannot display daily data, what do you want with daily open interest from Zenfire?
So you want to do a backtest with daily data using open interest from Zenfire? I am afraid that I still do not understand, what you are looking for...
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ok, in my Bible, the Encylclopedia of Trading Stategies, the only system that they tested that worked (use their criteria for 'work') was one that used open interest and the results in their words where 'Stella'.
They where trading daily. So how can I get daily Open interest data into NT (or another trading platform) and start backtesting ?
However, I do not think that this can be used for a strategy using open interest. If you are really serious about this, you would want to have a look at something like CSI Data and the software that uses it. You would want to have acces to total open interest (all contract months combined) and single contract open interest.
I am not aware to what extent TradeStation has appropriate data.
Also you would want to use COT data. These are only published once per week, but this would be good enough to use as a filter for your strategy. COT data show open interest separately for groups of traders. The categories have been recently expanded for commodities, so they now include swap dealers and managed money along with the long time reported commercials, large and small traders.
Realtime Open Interest can be found in TradeStation8
Real-time Open Interest can be found in TradeStation8, today i connected OwnData2.7+IB with TradeStation8, there is "OPENINT" standing for Open Interest in TradeStation8. I can write a Easy-Language indicator to show Open Interest as following:
========Start of ShowOpenInt Indicator============
[LegacyColorValue = true];