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
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
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offset fix
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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 .
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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
// 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
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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