I've been trying to get CME realtime open interest for some time now. I've tried dxFeed but it updates only 4 times a day. I've tried CQG but they didn't have OI at all.
So is there a market data provider which gives you a realtime open interest for CME futures like NQ? I really like to use open interest for my daytrades.
Currently I am using Quantower but I can switch to ATAS if needed.
This is how it looks with dxFeed + Quantower (with lower intervals also):
Can you help answer these questions from other members on futures io?
OI is updated at the end of day on their website. dxFeed updates it 4 times a day. I am 100% positive that CME is watching OI in realtime itself and there is data feeds which do have realtime OI. But it might be that the pricing is not suitable for retail users.
Currently I've checked CQG and dxFeed and this week I'm going to check Rhitmic and ask from a few different support channels also.
I've seen some evidence suggesting that intraday open interest can be a useful tool. If that's something that really interests you, perhaps try looking at different exchanges. I've seen data from futures markets in Shanghai? I've only ever been able to find end of day from the CME.
