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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 As I mentioned I am a swing trader. I reverse my position on average every 4 days. And 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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Hello momentom,
Many thanks for your reply. You are definitely right when saying that open interest is of no relevance for a daytrader.
Believe me, for me the open interest does have some significance. If there was no significance to OI nobody would have deviced the Herrick Payoff Index that analyses volume, price changes, and open interest changes to determine the amount of money flowing into or out of a futures contract.
http://www.forexrealm.com/technical-...off-index.html
As I mentioned I am a swing trader. I reverse my position on average every 4 days. OI can change (which often happens) by as much as 70% durring these 4 days.
Below are some of my findings:
- if OI is 40 thousand and I work with my oscillators on bars that shows, e.g. volume of 1000 contracts then my oscillators work perfectly;
- but when the OI rises to as much as 80 thousand my oscillators are less accurate (to say it gently) on 1000 contracts' bars (and I have to adjust the settings of my oscillators or use time bars) - this is my biggest pain in the ass. Why shouldn't a machine filter the volume bars by OI?
I believe this seems somewhat abstract to guys who do not have OI in ticks.
I was merely interested if there is any software that I can produce volume bars filtered by OI.
Regards