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Multi-Charts Volume / Open Interest Supported Data Feeds?
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Multi-Charts Volume / Open Interest Supported Data Feeds?

  #1 (permalink)
Trading for Fun
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Multi-Charts Volume / Open Interest Supported Data Feeds?

Does anyone know / or have used Multi-charts with a data feed provider that supports Open Interest?

I know TradeStation offers this, and supports this per bar, and I am looking for a data provider that supports this with Multi-Charts.

If anyone has used Multi-Charts w/ a broker that does support Open Interest per bar, please let me know what data feed supported this.

I am going to start researching each data provider that multi-charts supports, and inquire about this.

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  #2 (permalink)
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  #3 (permalink)
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DTN IQ feed provides this data. After testing it works well.

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  #4 (permalink)
Patience my young padawan
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c12345 View Post
DTN IQ feed provides this data. After testing it works well.

IMO it doesn't work at all because IQFeed plots the front month OI data only. So everytime that contract approaches expiration OI naturally falls giving a misleading signal.

Please see below pictures. The first two show a difference between IQFeed and CFTC COT weekly for Soybeans 5/12/15.

The last one shows a picture from Barchart for the Daily "Continuation" contract. Now I am not sure how Barchart computes the continuation of Open Interest but I assume its the sum of all contracts for a given instrument at a point in time and not the front month only (if that makes sense). This is the one that CFTC publishes weekly and I believe offers a trading signal.


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  #5 (permalink)
Patience my young padawan
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Answer from IQFeed

Just trying to give some closure to this thread, here's the answer from IQFeed:

Unfortunately we donít have to total commodity OI in IQFeed yet (just the individual contracts OI). Itís going to take a little development to make it available and likely would be a few months.

We do have it available in ProphetX if you would have interest in looking at that platform.

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  #6 (permalink)
Trading for Fun
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Commodity OI and Contract OI as well as Commodity Volume and Contract Volume are certainly provided by CQG with their charting front-ends (which are IC and QTrader). Those are also available as Quote Spreadsheets numeric data (I'm currently seeing them on my screens) and can also be exported into Excel. Not sure if it works with MC though. I do not have MultiCharts so I can't check it but you can try.


Last edited by Alphachase; August 7th, 2015 at 04:29 PM.
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  #7 (permalink)
Patience my young padawan
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@Alphachase do you know if you are able to backtest a strategy with Total Open Interest using CQG?
If so, what CQG product? There are several in their webpage and I am not familiar with that platform.

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  #8 (permalink)
Trading for Fun
Nicosia, Cyprus
 
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Platform: X_Trader Pro, TWS, CQG, Sierra Charts
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ElChacal View Post
@Alphachase do you know if you are able to backtest a strategy with Total Open Interest using CQG?
If so, what CQG product? There are several in their webpage and I am not familiar with that platform.

I'll check it out for you either tonight or during the WE (it will require some programming) but most likely yes b/c programming of indicators is very easy on those platforms. The Volume/OI study is available on both Integrated Client and QTrader.
Basically QTrader isn't that expensive ($40 per month) and you can also request a free 2-week trial.

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  #9 (permalink)
Trading for Fun
Nicosia, Cyprus
 
Futures Experience: Advanced
Platform: X_Trader Pro, TWS, CQG, Sierra Charts
Broker/Data: Interactive Brokers, Data: CQG, TTNEt
Favorite Futures: crude arbitrage, spreads, energy, grains
 
Posts: 191 since Dec 2013
Thanks: 28 given, 104 received

@ElChacal
I checked it out for you and yes you can backtest an entry or exit signal (based on OI study) on QTrader. I didn't know what you were looking for but I applied entry/exit signals (Simple MA of OI Commodity and OI Commodity cross) and successfully performed the backtest.
However you can also apply more complex study signals for a backtesting.
So, you can just request 2-week free demo and give it a try.

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  #10 (permalink)
Patience my young padawan
Houston, TX/USA
 
Futures Experience: Intermediate
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Broker/Data: IB / IB
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Posts: 314 since Nov 2014
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Thanks @Alphachase I will look into it. I hope the language is more C# oriented.

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