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» Open Interest - One More Time
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| Author | Topic: Open Interest - One More Time (6 messages, Page 1 of 1) |
 shortorlong -Interested User- Posts: 16 Joined: Jan 31, 2008 |
Posted: Feb 12, 2008 01:40 AM
Msg. 1 of 6
My application is successfully computing implied volatility and the greeks - very cool..
I do not yet have a plan for calculating Open Interest for options. Open interest is defined as 'The amount of outstanding contracts on a specific underlying security.' It is not the same as Volume because it only counts the sum of (BuyToOpen + SellToOpen orders) - (BuyToClose + SellToClose orders). I may be able to tally this value by looking at tick-data, but for 50 000 option symbols just for the Nasdaq, that is a LOT of tick data. It's prohibitively too much (I only pull minute-based data because I look at all 50 000 symbols). So - How can I calculate open interest for options? How are other IQFeeders doing this? Does it exist somehow in historic or streaming pulls and I just haven't found it? If not, can IQFeed provide guidance on if/when they can add this to their data? Extremely grateful for any help.. |
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dkobelt -Interested User- Posts: 14 Joined: Jan 2, 2007 
Can I have More Data please? :) |
Posted: Feb 12, 2008 09:12 AM
Msg. 2 of 6
The Open Interest is supposed to be the open interest.... The number of contracts out there. I thought DTN had that information. It seems to have changed.
Other sources do show the correct Open Interest. For example, http://www.optionsxpress.com/OXNetTools/Chains/index.aspx?SessionID=&Symbol=AAPL&Range=4&lstMarket=0&ChainType=&AdjNonStdOptions=OFF&lstMonths=&FromVB6=True That shows the Open interest for SPY DK as 12,780 contracts. The odd part is that this information has been screwed up by DTN (in my opinion) for a while now. We were getting the true number, now I only have the true number for stocks starting with letters from A to D. I am trying to find another data source where I can get this information reliably. I appreciate the difference between Volume (what really is traded) and Open Interest (what is out there). I was both items. I WAS getting this from DTN. I am now looking for a data service that WILL give this to me again.... and then I wont have to fight with mysterious changes anymore. Yes, I'm disappointed. I've openly lost my interest in DTN. ;) |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Feb 12, 2008 11:32 AM
Msg. 3 of 6
IQFeed does carry open interest as a field. We don't store historical OI data on equity options however (we do for futures). If you can provide more data about what you are missing, it would help us to look into it.
The example you gave mentioned that SPY DK has 12,780 for OI. We actually match CBOE for SPY DK which is The April 2008 Calls with a 115 strike. The OI is 56. Could you have meant SFB DK, which we do show an OI of 12780 (again, matching CBOE)? Jay Froscheiser DTN - Trading Markets |
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shortorlong -Interested User- Posts: 16 Joined: Jan 31, 2008 |
Posted: Feb 12, 2008 04:21 PM
Msg. 4 of 6
Ah, if I understand correctly then, open interest is included with the streaming real-time quote, but not included in the history database, is that correct?
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Feb 12, 2008 04:22 PM
Msg. 5 of 6
That is correct.
Jay Froscheiser DTN - Trading Markets |
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shortorlong -Interested User- Posts: 16 Joined: Jan 31, 2008 |
Posted: Feb 12, 2008 09:16 PM
Msg. 6 of 6
I've just finished testing grabbing open interest from the streaming feed instead of the historical feed and it works great. I've never look at the streaming feed until now, but it seems to provide all I'll need.
Thanks Jay, I'm good to go for now. |
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