Pls help on open interest strategies w.r.t US Tech 100, DAX futures and options
Hello, can you be a little more precise in your question?
Hi Ivan,
Thanks for reaching out !
Open Interest (OI) data in Futures & Options reflects on longs winding up (OI decreases and price falls) / short covering (OI decreases and price shoots up) / fresh longs ( both OI and price moves up, in tadem) / short build up (both OI and price moves down, in tandem). These would provide good signals to trade with greater confidence, and take cues from market moves.
Also, in certain markets Trading view application provide it as technical indicator (open interest) that enables to easily find the signals by having the chart of Futures alongwith ATM put n call of an index/security of interest.
So, support on this would be high appreciated !!
Hi!
In PRT we do not have open interest. Maybe it will be incorporated in the new version.
In the following code we can make an approximation:
// Example of Open Interest and Volume interpretation signals in ProRealTime
// Set parameters to adjust sensitivity
period = 14 // Period for average price and volume calculation
volumeThreshold = 1.5 // Factor to identify unusual volume
// Calculate average volume and price variation
averageVolume = Average[period](Volume)
averagePrice = Average[period](Close)
// Signal for long unwinding or short covering
if (Volume < averageVolume) and (Close < averagePrice) then
longSignal = -1 // Long unwinding signal
r=0
g=255
else
if (Volume < averageVolume) and (Close > averagePrice) then
shortSignal = 1 // Short covering signal
r=255
g=0
endif
endif
// Signal for new longs or short build-up
if (Volume > averageVolume * volumeThreshold) and (Close > averagePrice) then
longSignal = 1 // New longs signal
drawtext("▲",barindex,volume)coloured("green")
r=0
g=255
else
if (Volume > averageVolume * volumeThreshold) and (Close < averagePrice) then
shortSignal = -1 // Short build-up signal
drawtext("▼",barindex,volume)coloured("red")
r=255
g=0
endif
endif
RETURN volume coloured(r,g,0,105)style(histogram), averageVolume style(line,2)coloured("blue"), averageVolume * volumeThreshold style(dottedline,2)coloured("fuchsia")
Hi Ivan,
Firstly, appreciate your time and effort !
As you know, Open Interest (OI) is an unique, dynamic real time data on outstanding contracts in Futures n Options segment and if assumed from volume then it wouldn’t flash the right signal.
Hope, OI data will be provided by PRT, which would be a valuable asset, indeed.
But no luck, so far !!