Pls help on open interest strategies w.r.t US Tech 100, DAX futures and options

• 11/04/2024 at 12:12 PM #239934
  newbeedive

  Pls help on open interest strategies w.r.t US Tech 100, DAX futures and options

  

  newbeedive

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  11/04/2024 at 3:21 PM #239948
  Iván

  Hello, can you be a little more precise in your question?

  

  Iván

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  11/04/2024 at 9:33 PM #239958
  newbeedive

  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 !!

  

  newbeedive

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  11/07/2024 at 10:47 AM #240053
  Iván

  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")

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  // 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")

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  newbeedive

  

  Iván

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  11/07/2024 at 7:03 PM #240085
  newbeedive

  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 !!

  

  newbeedive

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