MY_CME eod OI vs CFTC eow OI

18 thg 9, 2018

Daily e-o-d Open Interest as published by CME.
As CFTC COT Open Interest relates to last Tuesday, here you can have an idea how things evolved day-by-day since then.
As CME total OI is not accessibl as data, here I sum OI of the next 9 outstanding contracts, which gives a fair idea of the trend in OI

26 thg 9, 2018

Phát hành các Ghi chú

One can input a "preliminary" e-o-d Open Interest if published hereon CME site
cmegroup.com/market-data/volume-open-interest/metals-volume.html as the "final" data becomes available on tv quite late

26 thg 9, 2018

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fixed colors

13 thg 10, 2018

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fixed offset of CME "final" OI, -1 on weekends,-2 weektime, as OI should be public within the next day, and relates to the previous day. But noton weekends...anyway you get the meaning

19 thg 10, 2018

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offset fix

25 thg 11, 2018

Phát hành các Ghi chú

Cleaned code, now sums OI of the next 20 contracts. Good for gold and E-mini.
WTI is not too suitable, as it has dozens of conracts active for the next 3/4 years .

15 thg 3, 2019

Phát hành các Ghi chú

Added new input "number of contracts"
This script uses the QUANDL:CHRIS datasets, that records CME e-o-d data by quandl, and is exported daily to tradinview
The number of outstanding contracts CME differs from product to product
eg Gold has 16 oustanding contracts, E-mini has 4, NatGas has 43!
The scripts has max 20. You can add as many as you like in the source code,but toomuch typing for me

// NUMBER OF CONTRACTS
// eg:
// CME Vol and Open Interesst page eg. for GOLD:
// cmegroup.com/trading/metals/precious/gold_quotes_volume_voi.html?optid=7489&optionProductId=7488
// Totals Volume & OI (last line of table) are not exported by CME to quaandl

// CME data is recorded&exported daily by quandl.com to tradingview
// via the che CHRIS/CME datasets
// quandl.com/data/CHRIS
// Eg. Nat GAs cntract n. 20, field n. 7(OI)
// quandl.com/data/CHRIS/CME_NG20 (@quandl.com)
// this data is (should be) exported daily to tradinview
// tradingview.com/e/?symbol=QUANDL:CHRIS/CME_NG20|7 (TradingView)

// This script tries to sum all the fut cntrcts' Vol&OI to obtain a fair total
//
// Number of outstanding cntrcts per commodity differ.
// eg E-mini (ES) has 4 contracts, Gold(GC) 16 cntrcts, NatGas(NG) has 43, WTI(CL) has 38 etc
// see doc by quandl:
// s3.amazonaws.com/quandl-production-static/Ticker+CSV's/Futures/continuous.csv

29 thg 3, 2019

Phát hành các Ghi chú

This latest version sets automatically the number of outstanding contracts' OI to sum up
basen on the ticker future code
data is taken from QUNDL:CHRIS/CME_ dataset
// Number of outstanding cntrcts per commodity CME differ.
// eg E-mini (ES) has 4 contracts, Gold(GC) 16 cntrcts, NatGas(NG) has 43, WTI(CL) has 38 etc
// this script now gets the n.of outstandig cntrcts' OI to sum from the following table:
// s3.amazonaws.com/quandl-production-static/Ticker+CSV's/Futures/continuous.csv