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»Forums Index »IQFeed Developer »IQFeed Developer Support »New Historical Message (HDX) Option Open Interest
Author Topic: New Historical Message (HDX) Option Open Interest (7 messages, Page 1 of 1)

EspressoE
-Interested User-
Posts: 30
Joined: Mar 8, 2006


Posted: Feb 23, 2009 12:47 AM          Msg. 1 of 7
The Open Interest field in HDX seems to always be zero. When is this going to be available?

For example, the following request should show open
Request:
HDX,MQF BO,5


Results:
 
2009-02-20 23:44:22,2.10,1.68,1.68,1.97,308,0,
2009-02-19 23:44:22,2.22,1.94,2.22,1.94,176,0,
2009-02-18 23:44:22,2.36,2.09,2.12,2.09,225,0,
2009-02-17 23:44:22,2.36,2.04,2.04,2.14,298,0,
2009-02-13 23:44:22,3.20,3.10,3.20,3.19,52234,0,
!ENDMSG!,


Should be:

 
2009-02-20 23:44:22,2.10,1.68,1.68,1.97,308,495,
2009-02-19 23:44:22,2.22,1.94,2.22,1.94,176,415,
2009-02-18 23:44:22,2.36,2.09,2.12,2.09,225,369,
2009-02-17 23:44:22,2.36,2.04,2.04,2.14,298,215,
2009-02-13 23:44:22,3.20,3.10,3.20,3.19,52234,2332,
!ENDMSG!,


Thanks,

Eric

DTN_Steve_S
-DTN Guru-
Posts: 2086
Joined: Nov 21, 2005


Posted: Feb 23, 2009 01:03 PM          Msg. 2 of 7
The servers do not currently store this data. I have sent the request to the server team to find out more information. I'll update this when I have more information.

EspressoE
-Interested User-
Posts: 30
Joined: Mar 8, 2006


Posted: Feb 26, 2009 08:07 AM          Msg. 3 of 7
When will this be fixed?

-Eric

EspressoE
-Interested User-
Posts: 30
Joined: Mar 8, 2006


Posted: Mar 20, 2009 10:04 PM          Msg. 4 of 7
Hi Steve,

Did the server team get back to you on when they might be able to get Option Open Interest in the historical messages?

Just out of curiosity, how do you receive the Open Interest? Does that come from the exchange directly on a tick-by-tick basis, or is it computed at the end of the day? Is it possible to reconstruct the open interest from the previous open-interest value and the tick data?

DTN_Steve_S
-DTN Guru-
Posts: 2086
Joined: Nov 21, 2005


Posted: Mar 24, 2009 03:45 PM          Msg. 5 of 7
My apologies for not responding before, as expected, the servers have simply never stored this information. Unfortuantely I do not have an ETA at this time for how long it would take to implement.

As far as calculating open interest from the feed, we do not calculate this (it is provided to us from the exchange). Since we do not have information about the parties involved in the trades, I do not believe it would be possible to calculate this on a tick by tick basis from the feed.
 

 

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