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Open Interest change in options
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Open Interest change in options

  #1 (permalink)
Trading Apprentice
Moscow + Russia
 
Futures Experience: Intermediate
Platform: Metatrader and TOS
Favorite Futures: Forex
 
Posts: 2 since Nov 2014
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Open Interest change in options

Hello. Sorry for my english, it is not my native language.
I have system based on analysis of options, I use it to trade forex. Need to calculate open interest change online. The idea is to construct a diagram where the open interest is changing in online mode through the day. Anyone have idea how to do this using excel?
P.S. I trade EUR/USD.

P.P.S. I think I've placed the post not to the right section. Admin, move it to the right section, please.


Last edited by Giovanni14; January 21st, 2015 at 07:11 AM.
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  #2 (permalink)
Trading Apprentice
Fairfield, Ohio
 
Futures Experience: Intermediate
Platform: ThinkorSwim
Favorite Futures: Stocks, Options
 
Posts: 4 since Dec 2014
Thanks: 1 given, 0 received

You may want to ask your question in the foreign language (Russian) section of the Trader's Hideout.

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  #3 (permalink)
Elite Member
Budapest Hungary
 
Futures Experience: Intermediate
Platform: TOS, Interactive Brokers
Favorite Futures: Options
 
Posts: 13 since May 2012
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Giovanni14 View Post
Hello. Sorry for my english, it is not my native language.
I have system based on analysis of options, I use it to trade forex. Need to calculate open interest change online. The idea is to construct a diagram where the open interest is changing in online mode through the day. Anyone have idea how to do this using excel?
P.S. I trade EUR/USD.

P.P.S. I think I've placed the post not to the right section. Admin, move it to the right section, please.

You can do this in three steps with TOS.

1) Select your instrument on the Trade page and configure the columns of the options chain to include open interest.

2) On the upper right hand corner (Trade page) select Export to Microsoft Excel. Go to MS Excel and copy paste. Now in Excel you will see the entire options chain which is DDE based and is live data as long as TOS is open. Go to another worksheet and just link to the desired cell containing the open interest, make graphs or whatever you need.

3) If you need to capture an entire day of open interest to see how it has changed over the course of the day then it gets more tricky. You need a macro. You can find a great macro on this site with the exact same purpose.
Simple Copy and Update Cell Value Every Minute

Best

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  #4 (permalink)
Administrator: Retired Backtester
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The first question is from where are you going to grab your data. IB, Yahoo, ...?

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  #5 (permalink)
Trading Apprentice
Moscow + Russia
 
Futures Experience: Intermediate
Platform: Metatrader and TOS
Favorite Futures: Forex
 
Posts: 2 since Nov 2014
Thanks: 1 given, 0 received


sam028 View Post
The first question is from where are you going to grab your data. IB, Yahoo, ...?

Hello.
I use thinkorswim+Excel.

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