[mister ed]

Also Tresor - on first inspection the chart seems to show an ever-increasing OI (with the occasional wiggle) ... can you explain it a little further?

Originally Posted by mister ed »

Tresor - really fascinating idea ... and how cool is it to get OI that is so much more up-to-date than what is offered on US exchanges!

I am going to look more closely at your chart ... great thread thanks.

Hello mister ed,

The screen that I attached shows only one day. Interesting conlusions may be drawn when looking at a few days' charts.

The picture that is attached to this post shows the following (I can't edit the picture, so I will decribe it):

a) on 10 paz (10 Oct) the price reached 3960 at a higher OI, on 11 paz (11 Oct) the price reached again 3960 but at a lower OI (divergence???) - so I shorted; the future fell from 3960 to 3790 (4.2%) - good earning.

b) on 25 paz (25 Oct) the price reached 3950 at a higher OI, on 29 paz (29 Oct) the price reached 3980 at a much lower OI (the smart money was selling; dumb money was buying); the price fell 5%. the dumb money did not see the huge double top and the price fell another 5%. look how quickly OI was closing their position starting from 6 lis (6 Nov).

A few weeks ago I changed my charting software from a Polish one (which is a crap) - it freezes my computer and switched into MultiCharts. I personally believe that MultiCharts with their new beta is far better for charting than tradestation.

Unfortunately, any good charting software that is made is designed primarily for US market (which lack OI in ticks)

The purpose that I started this thread is that I no longer want to look at divergences between price action and OI or extreems between price and OI. Extreemes between price and OI work similarily to a relation between and index and implied volatillity on options (silimilar logic for reverasal is used to s&p and vix).

I just wanted some braniacs like you guys to confirm / deny what I discovered, namely that if the volume bars were OI adjusted there would be no need to change parametres of indicators every time OI changes dramatically.

If this is the changing OI to blame for then we should talk to our software providers to create another type of bars that would be called ''contract volume - OI adjusted'' or something

Or at least they should make it possible in their software to connect OI in ticks for their European customers so that we could use a correlation indicators on price - OI

Guys, your thoughts?

[thrunner]

Originally Posted by 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.

Originally Posted by 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.