Hi.

I follow the ES future contract, namely "yours" continuous contract and there's no history for open interest.

Is it possible to create a history for it?

Regards

Hello pyro, we do have Open Interest in daily history for this contract available in IQFeed. Can you tell me how you are retrieving the data from IQFeed?
Edited by DTN_Steve_S on Apr 1, 2010 at 01:57 PM

Hi Steve.

I use Multicharts.

Your answer indicates that the lack of open interest history for ES is very specific to this contract or exchange.

Is this correct? Is there a reason/rule for this to happen?

No, that is not what I intended to imply.

We have the data available even for this contract in the feed.

Notice the attached screenshot

I would guess that Multicharts is using an old history request method that does not include open interest (only a guess). If you haven't contacted them about this issue, I would recommend doing so (since the data is certainly available in the feed).

I think I've interpreted your "daily data" wrong.

When you said daily I interpreted as intraday, but you were actually talking about daily.

I, on the other hand, I'm talking about the lack of history within intraday data, namely, 1 minute bars.

My computer is runing for the past 3 and a half days, and I have open interest history for this 3 and a half days on my 1 minute charts.
The problem is that this weekend I'll reset my computer and I won't have access to that data anymore.

Are you saying that the MC supposed problem affects also intraday data or only daily data?

We don't have open interest for intraday data.

However, we also do not provide open interest in the feed except for the data that is provided in daily history.

Does the open interest data that you have in your chart update throughout the day or is it simply the previous day's open interest value repeated at each interval?

If that is not the open interest, what is it?

I use 1 minute bars and the open interest indicator that comes with Multicharts updates every minute also.

Just to be sure, I compared the open interest indicator with volume and though the patterns are very similar (bar volume height), the values are different.

So the question maintains, where is MC acquiring those open interest values?

I'm fairly certain that open interest cannot be calculated based upon the data we provide in the feed. As a result, I can't answer where MC might be getting that data. I would recommend directing thier support to this thread to get that question answered.