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Re: Bars Based on Contracts' Volume As % of Open Interest
Why do you think that open interest has any relevence? There is a huge amount of daytrading that does not give any change in open interest.
Most charting packages have Volume bars that allow you to chart bars of a constant volume. Most traders that use this form of charting use an amount of volume that gives the number of bars persession that suits their style. As a daytrader, I use volume bars that give me between 200 and 300 bars per session.
If you really want to have volume bars dependant on open interest, its a matter of looking at open interest periodically and then manually changing the number of contracts required to create your volume bar.
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