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

Viewing 5 posts - 1 through 5 (of 5 total)
  • Author
    Posts
  • #239934 quote
    newbeedive
    Participant
    New

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

    #239948 quote
    Iván González
    Moderator
    Master

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

    #239958 quote
    newbeedive
    Participant
    New

    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 !!

    #240053 quote
    Iván González
    Moderator
    Master

    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")
    newbeedive thanked this post
    #240085 quote
    newbeedive
    Participant
    New

    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 !!

Viewing 5 posts - 1 through 5 (of 5 total)
  • You must be logged in to reply to this topic.

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


ProOrder support

New Reply
Author
author-avatar
newbeedive @newbeedive Participant
Summary

This topic contains 4 replies,
has 2 voices, and was last updated by newbeedive
1 year, 2 months ago.

Topic Details
Forum: ProOrder support
Language: English
Started: 11/04/2024
Status: Active
Attachments: No files
Logo Logo
Loading...