Support Board
Date/Time: Fri, 29 Nov 2024 22:38:45 +0000
docs for Open Interest wrong/flipped for descriptions of daily Historical vs IntraDay
View Count: 409
| [2022-12-22 02:53:30] |
| uM8137 - Posts: 183 |
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SC Version 2439, Denali data feed, symbol ESH23 set to continuous contract, volume rolled. The documentation and the behavior of the Open Interest study is flipped, when comparing an intra-day daily bar (1-0-0) bar setting, with a Historical daily bar. Open Interest currently says: "Open Interest is only available for Historical Daily data type of charts, not Intraday charts. Therefore, the study only makes sense on Historical Daily data type of charts. When used on an Intraday chart, it will give the same values as the Number of Trades study." However the v2439 Open Interest study does the opposite. The historical bar's Open Interest study shows the number of trades. Meanwhile, the intraday daily bar's Open Interest study does work. I would suggest this is actually a good thing, and the documentation should simply be revised to reflect this. I would also suggest that, since this issue took a couple of hours to research of my time, and I've seen many other users share the same confusion[1], that the Historical daily bar's version of the Open Interest study should actually show the open interest, the same way the intraday daily bar currently does. This would save much confusion, and actually present the actual Open Interest data, which is available on a daily basis, when it is labelled as such. The current substitution of total number of trades is quite misleading. [1] being just one example: ES Open Interest on Daily Chart Not Accurate ; there were many other discussions of the same on a traderoom chat. Screenshots, and a chartbook to allow easy reproduction: See posts #5 and #6 of Problem with Open Interest on a Historical Daily Chart direct links: Problem with Open Interest on a Historical Daily Chart | Post: 331618 Problem with Open Interest on a Historical Daily Chart | Post: 331627 Date Time Of Last Edit: 2022-12-22 03:00:21
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| [2022-12-22 03:29:43] |
| Sierra_Chart Engineering - Posts: 17266 |
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The documentation is definitely correct. You will never get Open Interest data from Intraday chart data. That is definite. We are not going to make any reference to other threads you have linked to. We will not allow ourselves to be burdened in this way. The documentation is 100% correct. There is absolutely no open interest data whatsoever in Intraday chart data. It is nonexistent. 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: 2022-12-22 03:30:09
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| [2022-12-22 04:07:45] |
| uM8137 - Posts: 183 |
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Ok. Let's take the documentation at face value then. (The choice to substitute Number of Trades for the real Open Interest numbers here is to blame for the confusion. Better just not to show it if it is not present.) Still the two questions remain, referring to the attached screenshot, which is what was shown before but now with both studies on both charts: On the daily historical Open Interest, why does the Open Interest match exactly the Number of Trades? Which one is wrong? Why does the daily intraday bar's Number of Trades not match that of the Historical daily bar's Number of trades? Which one is right? |
Attachment Deleted.  historical_vs_intraday_number_of_trades.PNG / V - Attached On 2022-12-22 04:05:59 UTC - Size: 304.01 KB - 83 views |
| [2022-12-22 06:02:32] |
| uM8137 - Posts: 183 |
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To answer the first of these questions rigorously, I pulled from IQFeed both through SierraChart and through a non-SierraChart application to have an independent control to compare to Denali data. What I concluded about the Historical (daily) bars: The IQFeed and Denali Open Interest match, and further that identical number is what is shown on the Historical (Daily) bar's Open Interest. To repeat, the Open Interest on the Historical chart is correct. Therefore the number of trades study, shown on the Historical (Daily) bar, is wrong. To give a specific example, compare the number of trades and Open Interest for yesterday, 2022 December 20 on a Historical (daily) chart: Open Interest, from Denali, though SierraChart v2439: 1,976,545
Open Interest, from IQFeed, through non-Sierra application: 1,976,545 Number of trades, from IQFeed, through non-Sierra application: 1,019,601 Number of trades, from IQFeed, through SierraChart v2439: using History (daily) chart: 1,976,545 << wrong, copies OpenInterest number Instead of computing the actual number of trades, it is apparently just repeating the daily Open Interest number. This happens on both IQFeed and Denali, so it is a study computation bug, not a data feed issue. The second question, about the studies on the intraday daily chart, remains open for SierraChart. Date Time Of Last Edit: 2022-12-22 06:18:06
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| [2023-01-04 20:33:45] |
| Sierra_Chart Engineering - Posts: 17266 |
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Refer to the documentation here for Number of Trades: Number of Trades 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 |
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