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Open Interest Study

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[2024-12-21 18:22:19] #1 [Go To First Post]
User480109 - Posts: 49
For futures traded on CME Globex, how is this study gets its value? Does it have the same value as CME reported figures at end of day? Also, for composite symbols like a spread, how is open interest calculated between the two legs? What if leg1 is a positive figure and leg2 is a negative?

[2024-12-21 23:06:58] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 18784
Yes: Does it have the same value as CME reported figures at end of day? However, the Open interest data for a day may not be available until the end of the next day. We do not know. You need to ask the exchange: Also, for composite symbols like a spread, how is open interest calculated between the two legs? What if leg1 is a positive figure and leg2 is a negative? Logically though a spread will not have any open interest. Only the individual legs do. We think that is how it works. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-12-21 23:21:05

[2024-12-22 22:05:35] #3 [Go To First Post]
User480109 - Posts: 49
This link here is to CME SOFR futures which has OI and change. https://www.cmegroup.com/markets/interest-rates/stirs/one-month-sofr.volume.html. It looks like by the timestamp of last updated, CME updates these values for previous trading date the next day around 9am to 10am. Does SC automatically update these values as soon as CME updates them? Also, yes the OI is reported on an individual outright basis, but the OI study can be applied to composite symbols. What is the calculation SC does behind the scenes so to speak? I think a spread can have OI change as it is two different outrights and if a new long position is opened at the same time as a new short position, then OI would both increase?

[2024-12-23 14:25:48] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 18784
Does SC automatically update these values as soon as CME updates them? Not sure about this because the end of day futures data comes from another provider. There is no calculation for open interest for custom symbols: What is the calculation SC does behind the scenes so to speak? Spreads do not have open interest. This we are very sure about. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-12-23 14:26:19

[2024-12-23 16:14:41] #5 [Go To First Post]
User480109 - Posts: 49
Thanks for your feedback, just out of curiosity, when the OI study is applied to spreads, it does output a value. What is this value coming from?

[2024-12-23 22:34:15] #6 [Go To First Post]
Sierra_Chart Engineering - Posts: 18784
Tell us the spread symbol. And is this a Historical Daily or Intraday chart? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-12-28 14:47:21] #7 [Go To First Post]
User480109 - Posts: 49
Please try SR3Z25-SR3H26, i have a Numbers Bar chart for this symbol and each column is one day of data

[2024-12-29 02:02:15] #8 [Go To First Post]
Sierra_Chart Engineering - Posts: 18784
A true Historical Daily chart has no open interest: https://www.sierrachart.com/image.php?Image=1735437699587.png In the case of Intraday data, what you are seeing is the number of trades per bar, which is well documented with the Open Interest study. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-12-29 02:02:40

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