Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)

"IQFeed version 4 is a real screamer compared to anything else I have seen." - Comment from Tom
"Thanks for all of your help. Great customer service deserves to be recognized which one the reasons I've been a customer of DTN for over 10 years!" - Comment from Stuart
"I used to have *******, but they are way more money for the same thing. I have had no probs with data from DTN since switching over." - Comment from Public Forum Post
"I have to tell you though that using the IQFeed API is about the easiest and cleanest I have seen for some time." - Comment from Jim
"The people at Nirvana have very nice things to say about your company and I can see why! Price and service is a potent combination." - Comment from Ed
"You have an excellent product !!!!!!" - Comment from Arely
"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"I like you guys better than *******...much more stable and a whole lot fewer issues." - Comment from Philip
"As a past ******* customer(and not a happy one), IQ Feed by DTN is a much better and cheaper product with great customer support. I have had no problems at all since switching over." - Comment from Public Forum
"If you are serious about your trading I would not rely on IB data for serious daytrading. Took me a while to justify the cost of IQ Feed and in the end, it's just a 2 point stop on ES. Better safe than sorry" - Comment from Public Forum
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»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)

-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

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,

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,



-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.

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

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


-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 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.


Time: Sat October 24, 2020 4:19 PM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003