Bars Based on Contracts' Volume As % of Open Interest

[thrunner]

	Quote:	Tresor
	our exchenges offer 'open interest' data in ticks, while US exchanges offer 'open interest' data daily only. Open interest in my local exchange varies from 50,000 to 80.000 during a week -

Could you please define what your exchange's definition of open interest is? How is it calculated?
In the US exchanges and data feed suppliers, OI is often defined as 'Down Volume' or 'Down Ticks' for intraday tick data.

[Tresor]

	Quote:	thrunner
	Could you please define what your exchange's definition of open interest is? How is it calculated? In the US exchanges and data feed suppliers, OI is often defined as 'Down Volume' or 'Down Ticks' for intraday tick data.

Hello thrunner,

Remember you from elitetrader

Open interest are all opened (not closed) position. E.g. if OI is 70,000 and I will open 1 long position (buy 1 contract) and at the same time you will open a short position (sell 1 contract) then the OI will be 70,001.

Just to explain the concept that I have in my mind:

I tried for many months to be always in a winning position. There was on my monitor (i) price chart and (ii) several stochastics below: 30 sec stochastic, 3 minute stochastic, 10 minute stochastic, 30 minute stochastic, and so on.

What stroke me was that when there were small changes in OI I could have very profitable trades when looking only at two stochastics. When there was huge volatility in OI I often got many conflicting signals.

I heard from some smart guys that supply and demand make the price move. Volume is very important as volume always preceeds price (and this sort of statements with which I agree). You can draw valuable conclusions based on volume - no doubt about it!

Now, part of equation are: demand and supply (you know these from bid/ask table), volume up / volume down (you can read how much volume goes into bull or bear trade from indicators). The only variable to this equation that you lack i how OI changes. For sure the are some other variables. But this one seems somewhat unexploited to me.

A volume bar of 1,000 contracts at OI of 50,000 is for sure something different that a volume of 1,000 contracts at OI of 120,000. Don't you think?

But still the candle you get on your chart is the same. And its weight, unfortunately, to your oscillators is still the same.

Therefore I thought that a filter would be needed here.

Sounds interesting?

[BlowFish]

thrunner I think the accepted definition is "the total number of options and/or futures contracts that are not closed or delivered on a particular day." Of course if you are getting real time OE then you would know this tick by tick rather than day by day. For every buyer there is a seller of course but OE tells you if they are trading to open or trading to close.

Put another way its the number of open positions held by traders.