giancapino

Open Interest:CME e-o-d vs CFTC e-o-w

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CFTC only publishes total OI on fridays, related to last Tuesday.
But what happened since last Tuesday?
CME Vol & Open Interest data is recorded&exported daily by quandl.com to tradingview
via the che CHRIS/CME datasets
https://www.quandl.com/data/CHRIS

Eg. Nat Gas next outstanding cntract n. 20, field n. 7(OI)
@quandl.com:
https://www.quandl.com/data/CHRIS/CME_NG...
is exported @tradingview:
https://www.tradingview.com/e/?symbol=QU...

Every outstanding contract's OI & vol is exported (black column), but not the total (yellow line):
http://tiny.cc/z7t94y

This script sums up all the existing outstanding contract's OI for the future (the black column), so one can have an idea of the total OI for the day (Yellow line).

As numer of outstanding contracts varies from future to future,Eg:
E-mini (ES) has 4 contracts, Gold ( GC ) 16 cntrcts, NatGas( NG ) has 43, WTI( CL ) has 38 etc
the scrips tries to guess how many exist for it and sums them up, to have the total OI for tha day

Number ofoutstanding contracts exported by quandl.com to tradingview is taken from
https://s3.amazonaws.com/quandl-production-static/Ticker+CSV%27s/Futures/continuous.csv


There are 2 params you can enter on the script:
* override the ticket symbol on the chart ,if script cannot guessit or you need a different one
* enter the "preliminary" OI that is published by CME early the next day, butb not yet exported by quandl to tradingview

This script is Open so anyone can copy and modifyit for its use.
Please post comments and ideas if you find it useful
I try to keep a log of my work here:
https://www.tradingview.com/chart/GC1!/tFbdrGlM-giancapino-5-views/
Hilangkan dari Skrip-Skrip Favorit Tambahkan ke Skrip-Skrip Favorit

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