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»Forums Index »Archive (2017 and earlier) »Data and Content Support »volume and open interest of stock option

Author	Topic: volume and open interest of stock option (16 messages, Page 1 of 1)
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 17, 2010 08:28 PM Msg. 1 of 16 I retrieve volume and open interest of stock option from iqfeed. For example, for the IBM May 2010 130.000 call, my result for the April 16, 2010 is volume 11705, open interest 14060. I checked yahoo finance , their results are Volume 3287, Open Interest 20092. I am wondering whether I get it correctly from iqfeed. Could you check for me? What causes such differences? Besides, is open interest field contained and updated in every tick? Thanks a lot.
steve1986 -DTN Evangelist- Posts: 119 Joined: Apr 13, 2009	Posted: Apr 18, 2010 09:48 AM Msg. 2 of 16 you can't get open interest until the end of the day, when the market releases this information. there's no way to tell just from a single transaction if this is going to increase or decrease open interest.
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 08:13 AM Msg. 3 of 16 support, could you answer my first two questions?
DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007	Posted: Apr 19, 2010 08:30 AM Msg. 4 of 16 Hello zzly4bible, we are checking on this right now. Once I have an answer for you I will post it here for you. Curtis Thompson curtis.thompson@dtn.com Trading Markets Customer Service 1-800-397-7000 x3614
DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007	Posted: Apr 19, 2010 09:50 AM Msg. 5 of 16 Hello zzly4bible, after checking with our Market data services dept. After the Market actually opened we received the correct Open Interest. It seems that we get the previous days OI only after the market has opened for th new day. As to the Volume we are matching correctly with what the exchange has sent us and what they are showing. If you have any other problems or questions please let us know. Curtis Thompson curtis.thompson@dtn.com Trading Markets Customer Service 1-800-397-7000 x3614
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 10:19 AM Msg. 6 of 16 Curtis, Thanks for the answer. Please confirm if I understand correctly: For every tick in a day, it contains the OI field of the same value, that is, the previous day's open interest. Could you please check for me whether the volume is 11705 for IBM May 2010 130.000 call on April 16, 2010 in IQfeed?
DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007	Posted: Apr 19, 2010 10:30 AM Msg. 7 of 16 Hello zzly4bible, if I understand the Open Interest yes that is correct that it will just show the previous day's OI until it is sent after the Market has closed. As to the Volume I am seeing the 11705 Volume but for Thursday April 15th, 2010 not Friday the 16th. For Friday I am seeing a Volume of 11210. Curtis Thompson curtis.thompson@dtn.com Trading Markets Customer Service 1-800-397-7000 x3614
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 11:11 AM Msg. 8 of 16 Does the stock option data in iqfeed come from only one exchange? I am confused why I see different number at different sites? for example, if you goto bigcharts http://bigcharts.marke****ch.com/quickchart/quickchart.asp?symb=IBM100522C00130000&sid=&o_symb=IBM100522C00130000&freq=1&time=4&x=60&y=13 the number is >300K.
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 11:14 AM Msg. 9 of 16 sorry i can not change the ** in the link as "", so it should look like http://bigcharts.marke**ch.com/........
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 11:15 AM Msg. 10 of 16 should be like marke****ch.com
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 11:16 AM Msg. 11 of 16 marke****ch I do not know why I cannot input this term
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 11:18 AM Msg. 12 of 16 ok, last try. let me put in two words, that is market watch
DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007	Posted: Apr 19, 2010 12:13 PM Msg. 13 of 16 Hello xxly4bible, I have checked our Volume Data to what Big Charts is showing and Big Charts is showing the Volume for Friday of over 300k, which is not correct since we are showing a Volume of 11210. We have compared this to several sources and they are all matching what we are showing except for BigCharts. Where they are getting such a high Volume number I am not sure as you would need to contact them. Curtis Thompson curtis.thompson@dtn.com Trading Markets Customer Service 1-800-397-7000 x3614
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 12:22 PM Msg. 14 of 16 is iqfeed's option feed data coming from the combination of several exchanges?
DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007	Posted: Apr 19, 2010 12:42 PM Msg. 15 of 16 Hello zzly4bible, after checking with our Market Data Services dept here, the Options data is coming from Multiple Option exchanges that are part of the Option Clearing Corp. Curtis Thompson curtis.thompson@dtn.com Trading Markets Customer Service 1-800-397-7000 x3614
zzly4bible -Interested User- Posts: 22 Joined: Apr 12, 2010	Posted: Apr 19, 2010 12:58 PM Msg. 16 of 16 thanks!