MY_CME eod OI vs CFTC eow OI

18 wrz 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 wrz 2018

Informacje o Wersji

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 wrz 2018

Informacje o Wersji

fixed colors

13 paź 2018

Informacje o Wersji

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 paź 2018

Informacje o Wersji

offset fix

25 lis 2018

Informacje o Wersji

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 mar 2019

Informacje o Wersji

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 mar 2019

Informacje o Wersji

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